资源描述：
《毕博上海银行—CreditRiskMgmtSysAnalyticsCreditVAR.docx》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、精品文档，值得拥有CreditValueatRiskCreditvalue-at-risk(VAR)modelsperformthecalculationsneededforevaluatingcapitaladequacyandforidentifyingdesiredportfoliochanges.Credit-VARmodelsestimateboththevaluedistributionofanentirecreditportfolioandthemarginalcontributiontoVAR(
2、MVAR)ofeachexposurewithinthatportfolio.1Riskmanagersusethevaluedistributioninassessingcapitaladequacy.TheyusetheMVARmeasuresinguidingportfoliomanagement.TocomputetimelyestimatesofcreditVAR,onemustMaintainacurrent,comprehensive,accessibledatabaseoncreditexpos
3、uresDevelopatoolforcomputingthefuturevalueofexposuresconditionalontheborrower’srisk-ratingorexpected-default-frequency(EDF),andCreateamethodforestimatingthevolatilityovertimeoftheriskratingorEDFofeachborrowerandthecorrelationcoefficientsamongtheriskratingsor
4、EDFsofborrowers.WeillustratebelowthetypicalframeworkforcalculatingcreditVAR(seeExhibit1).Exhibit1:FlowDiagramforCreditVARModelDrawVAR,MVARResultsRatingsCreditVARDatabaseEngineVariance-RecalculateCovarianceValuesStructureAssemblingtheDatabaseonCreditExposures
5、Toidentifyeffectiveportfolio-managementactions,oneneedsaccurate,timelyestimatesofcreditVARandMVAR.Toobtainsuchestimates,thecredit-VARapplicationneedsreadyaccesstoanup-to-date,comprehensive,credit-exposuredatabase.Thisdatabasewillholdbothborrowerandfacilityin
6、formation.TheborrowerdatawillincludeacreditriskratingoranEDForbothaswellasindicatorsofindustryandlocationcompositionandofrelationshipswithotherborrowers.Theselatteritemsaffecttheestimationofcorrelationcoefficients.Thefacilitydatawilldescribeeachcreditexposur
7、etoeachborrower.ThisinformationwillIdentifythefacilitytypesuchastermloan,revolvingline,billdiscountfacility,financialletterofcredit,forwardexchangecontract,interestrateswap,andsoonDescribepricingincludingthespread,baserate,andfeesProvidedetailonstructuralfea
8、turesincludingthecommittedamount,tenor,amortizationschedule,seniority,collateral,andcovenantsSummarizethefacility’sstatusasindicatedbytheamountoutstanding,anticipatedfutureusage,and,foramarket-r
