1金程教育FRM上海強化班講義信用風險強化習題講師吳軼CFA，FRM，CQF，SII日期2009年10月地點上海北京深圳專業來自百分百的投入COPYRIGHT2009BYGFEDU2吳軼職稱金程教育學術研發總監，金程教育資深培訓師，CFA（注冊金融分析師），FRM（金融風險管理師），CQF（特許金融工程師），SII（英國證券投資分析師），復旦大學金融工程碩士，復旦大學財務管理學士，香港理工大學金融數學學士，中歐國際工商管理學院中國金融研究中心研究員，國家外匯管理局儲備管理司風險管理處研究員，新加坡證券交易協會會員。授課目前為止，共講授CFALEVELI40次，CFALEVELII20次，CFALEVEL5次，FRM交通銀行內部培訓班2次，公開班5次，CFRM交通銀行內部培訓班2次，復旦MBA宏觀經濟學二次，復旦IMBA國際財務管理二次，復旦博士生高等金融計量2次，復旦碩士生金融時間序列分析2次和金融風險管理2次。倍受贊譽。著作參與編寫金融計量經濟學教程；ISTP收入英文論文（獨立作者）兩篇；數量經濟技術經濟研究兩篇論文；中國民營經濟創新國際論壇出版英文會議論文一篇；第二屆全國高等計量經濟學年會出版會議論文一篇；高盛亞洲內部產品研發報告一份；花旗銀行內部風險管理研究報告四篇；2007年全國博士生論壇管理學分論壇論文一等獎。客戶國家外匯管理局，高盛集團（亞洲）有限公司，北京高華證券有限公司，花旗銀行（中國）有限公司，萊曼兄弟（香港），德意志銀行上海分行，交通銀行總行。聯系電話8613917952237EMAILWUYI4020YAHOOCOMCN專業來自百分百的投入COPYRIGHT2009BYGFEDUMEASURINGCREDITRISK2006FRM73THEBIDASKSPREADISADETERMINANTOFLIQUIDITYRISKREFLECTINGTHECOSTOFTHESUPPLYOFIMMEDIACYINAMARKETWHICHOFTHEFOLLOWINGARENOTVARIABLECOSTTODEALERSOFSUPPLYINGIMMEDIACYVARIABLECOSTSMEANTHATTHECOSTTODEALERSRISESASTHENUMBEROFTRANSACTIONSORTHEDEMANDFORIMMEDIACYRISESAPROCESSINGORDERFLOWCOSTSBCREDITSURVEILLANCECOSTSFORCOUNTERPARTYCREDITWORTHINESSCINVENTORYCARRYINGCOSTSDHEDGINGCOSTSANSWERB信用監督成本是必須支付的固定成本。其他項都是可變的，隨著總量的變化而變化。3專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM95WHATWILLBETHELEASTEFFECTIVESTRESSTESTFORCREDITRISKACHANGINGDEFAULTCORRELATIONSBETWEENOBLIGORSBCHANGINGMARKETRATES,SUCHASINTERESTRATESANDFOREIGNEXCHANGERATESCCHANGINGLIQUIDITYFACTORS,SUCHASAVERAGETRADINGVOLUMESANDBIDOFFERSPREADSDCHANGINGCREDITSPREADSANDVOLATILITYANSWERB4專業來自百分百的投入COPYRIGHT2009BYGFEDUPROBABILITYOFDEFAULTPD2007FRM60THESPREADONAONEYEARBBBRATEDBONDRELATIVETOTHERISKFREETREASURYOFSIMILARMATURITYIS2ITISESTIMATEDTHATTHECONTRIBUTIONTOTHISSPREADBYALLNONCREDITFACTORSEG,LIQUIDITYRISK,TAXESIS08ASSUMINGTHELOSSGIVENDEFAULTRATEFORTHEUNDERLYINGCREDITIS60,WHATIS,APPROXIMATELY,THEIMPLIEDDEFAULTPROBABILITYFORTHISBONDA333B500C300D200ANSWERB5專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM41CONSIDERAPORTFOLIOOFSIXEQUALLYWEIGHTEDBONDSEACHBONDHASADEFAULTPROBABILITYOF4PERANNUM,ANDTHEDEFAULTSAREINDEPENDENTOFEACHOTHERWHATISTHEPROBABILITYTHATTHISPORTFOLIOWILLSEEITSFIRSTDEFAULTBYTHEENDOFTHESECONDYEARASSUMETHESAMEDEFAULTPROBABILITIESFORFIRSTANDSECONDYEARSFORTHESURVIVINGBONDSA43B39C78D24ANSWERD6專業來自百分百的投入COPYRIGHT2009BYGFEDUEXPOSUREATDEFAULTEAD2007FRM52BETABANKOWNSAPORTFOLIOOF10AARATEDBONDSFROM10DIFFERENTISSUERSWITHATOTALVALUEOFUSD200MILLIONTHEONEYEARPROBABILITYOFDEFAULTFOREACHISSUERIS5,ANDTHERECOVERYRATEFOREACHISSUEEQUALS40THEONEYEAREXPECTEDLOSSOFTHEPORTFOLIOISAUSD50MILLIONBUSD80MILLIONCUSD60MILLIONDUSD40MILLIONANSWERC7專業來自百分百的投入COPYRIGHT2009BYGFEDU2007FRM66SUPPOSETHERATEONCOMPANYASONEYEARZEROCOUPONBONDIS100ANDTHEONEYEARTBILLRATEIS80ASSUMETHETBILLISRISKLESSANDTHEPROBABILITYOFDEFAULTOFCOMPANYASBONDIS10WHATISTHELOSSGIVENDEFAULTOFCOMPANYABONDA182B818C200D800ANSWERA8專業來自百分百的投入COPYRIGHT2009BYGFEDU2006FRM90UNDERTHECOMPREHENSIVEAPPROACHFORTHEFOUNDATIONINTERNALRATINGSBASEDAPPROACHUNDERBASE2,WHICHOFTHEFOLLOWINGMETHODSISUSEDFORCALCULATINGTHEEFFECTIVELOSSGIVENDEFAULTLGDWHERELGDISTHEEFFECTIVELOSSGIVENDEFAULTCONSIDERINGRISKMITIGATIONMEASURESLGDISTHATOFTHESENIORUNSECUREDEXPOSUREBEFORERECOGNITIONOFCOLLATERAL45EISTHECURRENTVALUEOFTHEEXPOSUREIECASHLENTORSECURITIESLENTORPOSTEDEISTHEEXPOSUREVALUEAFTERRISKMITIGATIONALGDLGDE/EBLGDLGDEECLGDLGDEEDLGDLGDEEANSWERA9專業來自百分百的投入COPYRIGHT2009BYGFEDU2006FRM122CONSIDERTWOPORTFOLIOSONEWITHUSD100MILLIONCREDITEXPOSURETOASINGLEBRATEDCOUNTERPARTYTHESECONDWITHUSD100MILLIONINCREDITEXPOSURESPLITEVENLYBETWEEN50BRATEDCOUNTERPARTIESWHICHOFTHEFOLLOWINGISCORRECTATHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIOBTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISEQUALTOTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIOCTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOEQUALTOTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISEQUALTOTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIODTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOEQUALTOTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIO10專業來自百分百的投入COPYRIGHT2009BYGFEDUANSWERD如果信用產品的相關性下降，則信用風險下降。專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM139SUPPOSEBANKASELLSEXPOSUREINAMORTGAGEPORTFOLIOTOBANKBINORDERTODETERMINETHECREDITRISKOFSUCHATRANSACTION,ALLOFTHEFOLLOWINGMUSTBETAKENINTOACCOUNTEXCEPTAPROBABILITYOFDEFAULTOFTHEMORTGAGEPORTFOLIOBPROBABILITYOFDEFAULTOFBANKBCCORRELATIONBETWEENTHEDEFAULTOFBANKBANDTHEMORTGAGEPORTFOLIODCORRELATIONBETWEENBANKAANDBANKBANSWERD12專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM114YOUHAVEACREDITEXPOSURETOBANKTHREEWHICHOFTHEFOLLOWINGACTIONSWILLNOTREDUCEHISEXPOSUREASHORTINGTHEBONDSOFBANKTHREEBBUYINGPUTSONTHEEQUITYOFBANKTHREECENTERINGACREDITDEFAULTSWAPWITHBANKTHREEDOBTAININGCOLLATERALFROMBANKTHREEANSWERC13專業來自百分百的投入COPYRIGHT2009BYGFEDUISDA2006FRM102WHICHOFTHEFOLLOWINGISNOTCONSIDEREDANEVENTOFDEFAULTONTHEREFERENCEASSETUNDERLYINGACREDITDEFAULTSWAP,WITHTHE2003ISDADOCUMENTATIONABANKRUPTCYBRESTRUCTURINGCRATINGAGENCYDOWNGRADEDOBLIGATIONACCELERATIONANSWERCRATINGDOWNGRADE不是信用風險。14專業來自百分百的投入COPYRIGHT2009BYGFEDURECOVERYRATE2007FRM49THEMANAGEMENTOFABANKWANTSTOLIMITTHECREDITLOSSTOASPECIFICSECTORWITHIN5CONCENTRATIONLIMITISTHEMAXIMUMLOSSASAPERCENTAGEOFCAPITALDIVIDEDBYTHEINVERSEOFTHELOANLOSSRATEWITHANESTIMATEDRECOVERYRATEOF60,WHATSHOULDTHECONCENTRATIONLIMITTOTHATSECTORBEASAPERCENTAGEOFCAPITALA5B125C833D3ANSWERC15583360專業來自百分百的投入COPYRIGHT2009BYGFEDU2006FRM116WHICHOFTHEFOLLOWINGISNOTACOMMONLYUSEDMETHODFORGENERATINGARECOVERYRATEFUNCTIONANONPARAMETRICKERNELESTIMATIONBCUBICSPLINEESTIMATIONCASSUMETHERECOVERYRATEFOLLOWSABETADISTRIBUTIONDESTIMATECONDITIONALDENSITIESWITHGENERALIZEDMETHODOFMOMENTSANSWERBCUBICSPLINE估計是畫出YIELDCURVE使用的方法。16專業來自百分百的投入COPYRIGHT2009BYGFEDUCUMULATIVEANDMARGINALDEFAULTRATES2007FRM51MRROSENQVIST,ASSETMANAGERATBCDBANK,HOLDSAPORTFOLIOOFSEK200MILLIONTHEPORTFOLIOCONSISTSOFBBBRATEDBONDSASSUMETHATTHEONEYEARPROBABILITYOFDEFAULTIS4,THERECOVERYRATEIS60,ANDDEFAULTAREUNCORRELATEDOVERYEARSWHATISTHETWOYEARCUMULATIVEEXPECTEDCREDITLOSSONMRROSENQVISTSPORTFOLIOASEK640MILLIONBSEK635MILLIONCSEK960MILLIONDSEK948MILLIONANSWERB17專業來自百分百的投入COPYRIGHT2009BYGFEDU2006FRM15ASSUMETHEMARGINALMONTHLYDEFAULTRATESCONDITIONALONNOPREVIOUSDEFAULTFORAFIRMARE2EACHMONTHDURINGTHEFIRSTYEARAND3EACHMONTHDURINGTHESECONDYEARWHATISTHEMARGINALPROBABILITYOFDEFAULTINGOVERTHETHESECONDYEAR,CONDITIONALONNOTHAVINGDEFAULTEDTHEFIRSTYEARAINSUFFICIENTINFORMATIONTOANSWERTHEQUESTIONB306C360D474ANSWERB（12）12（13）12（12）12（1D）SURVIVALRATE18專業來自百分百的投入COPYRIGHT2009BYGFEDUCREDITRATING2006FRM103WHICHOFTHEFOLLOWINGISNOTMODELINGAPPROACHTOCREDITSCORINGAKNEARESTNEIGHBORCLASSIFIERMODELSBLOGITANDPROFITMODELSCFISHERLINEARDISCRIMINATESANALYSISDBAYESIANVECTORAUTOREGRESSIONANSWERD第四種不是信用評分的方式。19專業來自百分百的投入COPYRIGHT2009BYGFEDU2006FRM111WHICHOFTHEFOLLOWINGISNOTACORRECTSTATEMENTABOUTINTERNALCREDITRATINGSATHE“ATTHEPOINTINTIME”APPROACHMAKESHEAVYUSEOFECONOMETRICMODELINGTHATRELATESCURRENTFINANCIALVARIABLESTOESTIMATEDDEFAULTRISKBTHE“THROUGHTHECYCLE”APPROACHISFORWARDLOOKINGANDATTEMPTSTOINCORPORATEFUTUREECONOMICSCENARIOSINTOCURRENTDEFAULTRISKESTIMATESC“ATTHEPOINTINTIME”CREDITSCORESVOLATILITYISMUCHHIGHERTHAN“THROUGHTHECYCLE”SCOREVOLATILITYDASOUNDINTERNALSYSTEMUSES“ATTHEPOINTINTIME”SCORINGFORSMALLTOMEDIUMSIZEDCOMPANIESANDPRIVATEFIRMSAND“THROUGHTHECYCLE”SCORINGFORLARGEFIRMSANSWERB20專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM79WITHREGARDTOEVALUATINGSOVEREIGNRISK,WHICHOFTHEFOLLOWINGSTATEMENTSISINCORRECTABANKRUPTCYLAWDOESNOTTYPICALLYPROTECTINVESTORSFROMSOVEREIGNRISKBDEBTREPUDIATIONISAPOSTPONEMENTOFALLCURRENTANDFUTUREFOREIGNDEBTOBLIGATIONSOFABORROWERCDEBTRESCHEDULINGOCCURSWHENAGROUPOFCREDITORSDECLARESAMORATORIUMONDEBTOBLIGATIONSANDSEEKSTORESCHEDULETERMSDSOVEREIGNRISKCANBEACAUSEOFDEFAULTINANONGOVERNMENTALBORROWEROFHIGHCREDITQUALITYANSWERB21專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM74MOODYSESTIMATESTHEAVERAGERECOVERYRATEFORSENIORUNSECUREDDEBTTOBENEARESTTOA20B40C60D80ANSWERATHERECOVERYRATEONLOANSISTYPICALLYHIGHERTHANTHATONBONDSHENCE,THECREDITRATING,IFITINVOLVESBOTHPROBABILITYOFDEFAULTANDRECOVERY,SHOULDBEHIGHERFORLOANSTHANFORBONDS22專業來自百分百的投入COPYRIGHT2009BYGFEDU2005FRM59ASSUMINGTHE1YEARTBILLRATEOF425ANDTHERATEON1YEARZEROCOUPONCORPORATEBONDSIS775,WHICHOFTHEFOLLOWINGNUMBERSISCLOSESTTOTHEPROBABILITYTHATACORPORATELOANWILLBEREPAIDFULLYASSUMINGTHATTHECREDITSPREADISDUETOFIRMSPECIFICCREDITRISKALONEA9675B325C9621D379ANSWERA23專業來自百分百的投入COPYRIGHT2009BYGFEDUTRANSITIONMATRIX2007FRM87CONSIDERTHEFOLLOWINGONEPERIODTRANSITIONMATRIXIFACOMPANYISORIGINALLYINSTATEA,WHATISTHEPROBABILITYTHATTHECOMPANYWILLHAVEDEFAULTEDSTRICTLYBEFORETHEFOURTHTRANSITIONPERIODFROMNOWA0500B1875C1375D087524專業來自百分百的投入COPYRIGHT2009BYGFEDUANSWERCAABD0950050100048ABBD00508010004ABDD005010005SOADPROBABILITY0004800040005137525專業來自百分百的投入COPYRIGHT2009BYGFEDUTHEMERTONMODEL2005FRM101WHICHOFTHEFOLLOWINGSTATEMENTSABOUTTHETERMSTRUCTUREOFCREDITSPREADSINMERTONSMODELISCORRECTATHETERMSTRUCTUREOFCREDITSPREADSDEPENDSONTHEINITIALLEVERAGEOFTHEFIRMTHOSEWITHTHEHIGHESTLEVERAGECOULDHAVEADOWNWARDSLOPINGCREDITYIELDCURVE,WHILERELATIVELYSAFEFIRMSWOULDHAVEANUPWARDSLOPINGCURVEBTHETERMSTRUCTUREOFCREDITSPREADSDEPENDSONTHETREASURYTERMSTRUCTUREWHENTHETREASURYCURVEISSTEEP,THEEXPECTEDINCREASEINRATESMAKESTHEPRESENTVALUEOFCOUPONSSMALLERANDREDUCESTHEVALUEOFTHEDEBTINFUTUREPERIODS,MAKINGTHECREDITTERMSTRUCTUREUPWARDSLOPINGCTHETERMSTRUCTUREOFCREDITSPREADSISALWAYSUPWARDSLOPINGBECAUSEBONDHOLDERSCANNEVERRECEIVEMORETHANPARBUTMIGHTLOSEDUETODEFAULTANDTHOSEEXPECTEDLOSSESINCREASEWITHTHEBONDSMATURITYDTHETERMSTRUCTUREOFCREDITSPREADSISFLATBECAUSEMERTONSMODELASSUMESACONSTANTINTERESTRATEANSWERC26專業來自百分百的投入COPYRIGHT2009BYGFEDUKMVMODEL2007FRM111YOUDONTHAVEACCESSTOKMVSDATAYOURBOSSWANTSYOUTOESTIMATETHEPROBABILITYOFDEFAULTOFACREDITTODOSO,YOUUSETHEMERTONMODELBECAUSETHECREDITYOUARECONSIDERINGHASNOSYSTEMATICRISKINMERTONSMODEL,THEDISTANCETODEFAULTANDEXPECTEDDEFAULTFREQUENCYAREANEGATIVELYANDLINEARLYRELATEDBPOSITIVELYANDLINEARLYRELATEDCNEGATIVELYANDNONLINEARLYRELATEDDPOSITIVELYANDNONLINEARLYRELATE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