stochastic methods in credit risk modelling,valuationand hedging

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1、StochasticMethodsinCreditRiskModelling,ValuationandHedgingIntroductiontoCreditRiskandCreditDerivativesTomaszR.BieleckiNortheasternIllinoisUniversityt-bielecki@neiu.eduIncollaborationwithMarekRutkowskiPart1:PortfolioCreditRiskMeasuringcreditrisk.Portfolioanalysis.CVaRmodels.CreditMetri

2、cs.CreditGrades.Counterpartycreditrisk.Referencecreditrisk.2Part2:CreditDerivativesCounterpartycreditrisk.Referencecreditrisk.Classificationofcreditderivatives.Totalreturnswaps.Creditdefaultswaps.Spreadlinkedswaps.Creditoptions.3Part3:MathematicalModellingMerton’smodelofcorporatedebt.B

3、lackandCoxapproach.Intensity-basedapproachtocreditrisk.Hybridmodels.Impliedprobabilitiesofdefault.Markovmodelsofcreditratings.Marketriskandtermstructuremodels.4CreditRisk:Modelling,ValuationandHedgingPart1:PortfolioCreditRiskThecentralpointisthequantitativeestimateoftheamountofeconomi

4、ccapitalneededtosupportabank´srisk-takingactivitiesMeasuringCreditRiskCreditriskmodelsshouldcapture:SystematicvsIdiosyncraticRiskSourcesCreditspreadrisk,Downgraderisk(creditrating),Defaultrisk(defaultprobability),Recoveryraterisk(recoveryrate),Exposureatdefault(lossgivendefault),Portfo

5、liodiversification(correlationrisk),HistoricalProbabilitiesvsRisk-NeutralProbabilities.6PortfolioAnalysisIWhatisreallyimportant:Concentrationrisk,BasleCommittee25%rule;Herfindahl-HirshmanIndexDiversificationeffect,Ratingstructure,CVaR,CreditValue-at-RiskRisk-adjustedperformancemeasures

6、,Capitaloptimisation,Sensitivityandstresstestanalysis.7PortfolioAnalysisIIHowshouldwedefineandmeasurecreditriskofaportfolioofloansorbonds?Whatarethemeasuresofcapitalprofitabilitythebankshouldapply?Whatistherisk-returnprofileofthebank’screditportfolio?Whatisthecapitalamountrequiredforth

7、eassumedratingofthebank’screditportfolio?Importantquestionstoriskmanagers:8PortfolioAnalysisIIIWhichcreditexposuresrepresentthehighestrisk-adjustedprofitability?Whatarethemainfactorsaffectingthebank’screditportfoliorisk-adjustedprofitability?Whatarethemainsourcesofthebank’screditrisk