【风险管理】信用风险模型

Default correlations can have significant impact on
portfolio potential loss. KMV finds that
correlations typically lie in the range 0.002 to
0.15.
8%
8%
Correlation = 1
Issues in Credit Risk Modelling
Risk Management Symposium September 2, 2000
Bank of Thailand
Chotibhak Jotikasthira
Overview
• BIS regulatory model Vs Credit risk models • Current Issues in Credit Risk Modelling • Brief introduction to credit risk models
– Purpose of a credit risk model – Common components – Model from insurance (Credit Risk+) – Credit Metrics – KMV
• Model comparison
Bank of Thailand
Risk Management Symposium - September 2000
Unexpected loss
8%
Assumption: All loans are of equal size, and correlations between different counterparties are 0.15.
2. Historical statistics from Standard & Poor’s CreditWeek April 15, 1996.
Bank of Thailand
Risk Management Symposium - September 2000
Page 6
BIS Regulatory Model Vs Credit Risk Models
Credit Rating Probability of Default
AAA
0.00%
AA
0.00%
A
0.06%
Credit Rating Probability of Default
BBB
0.18%
BB
1.06%
B
5.20%
Fra Baidu bibliotek
CCC
19.79%
Note: 1. Probability of default is based on 1-year horizon.
Risk Management Symposium - September 2000
Page 5
BIS Regulatory Model Vs Credit Risk Models
Big difference in probability of default exists across different credit qualities.
2. Ignores the potential for credit risk reduction via loan diversification
These potentially result in too large a capital requirement!!!!!
Bank of Thailand
Page 3
BIS Regulatory Model Vs Credit Risk Models
Credit Risk Models - Credit Risk+ - Credit Metrics - KMV - Other similar models
Bank of Thailand
Risk Management Symposium - September 2000
Page 2
BIS Regulatory Model Vs Credit Risk Models
BIS Risk-Based Capital Requirements
All private-sector loans (uncollateralized) are subjected to an 8 percent capital reserve requirement, irrespective of the size of the loan, its maturity, and the credit quality of the borrowing counterparty.
BIS model requires 8% of total.
8% 8%
Correlation = 0.15
Actual exposure is only 6% of total.
Bank of Thailand
Risk Management Symposium - September 2000
Page 7
Page 4
BIS Regulatory Model Vs Credit Risk Models
Disadvantages of BIS Regulatory Model
1. Does not capture credit-quality differences among private-sector borrowers
BIS Regulatory Model Vs Credit Risk Models
The capital requirement to cover unexpected loss decreases rapidly as the number of counterparties becomes larger.
Note: Some adjustments are made to collateralized/guaranteed loans to OECD governments, banks, and securities dealers.
Bank of Thailand
Risk Management Symposium - September 2000