信用風險管理模型(英文版)(ppt 57頁)

信用風險管理模型內容提要：
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
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.
Disadvantages of BIS Regulatory Model
1. Does not capture credit-quality differences among private-sector borrowers
2. Ignores the potential for credit risk reduction via loan diversification
Model from Insurance (Credit Risk+)
- Only two states of the world are considered- default and no default.
- Spread changes (both due to market movement and rating upgrades/downgrades) are considered part of market risk.
- Default probability is modeled as a continuous variable.

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