《信用风险限额》PPT课件

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1、OutlineOverviewMarketConcernsCreditRiskLimitsCreditRiskModelsCreditRiskDiversificationCreditRiskManagementProcessOverview:CurrentStateoftheCreditMarketAlthoughFixedIncomehasrecentlyoutperformedequity,theCorporateBondmarkethasseverelyunderperformedTreasuriesThemarkethasexperienc

2、edrisingdefaults,downgrades,andanunprecedentednumberofInvestmentGradecreditsfallingintoHighYield(a.k.a.“FallenAngels”)“FallenAngels”areoverwhelmingtheHighYieldmarketastheynumber14ofthetop25issuersandcomprise20%ofthetotalamountoutstandinginHighYieldTelecom/Energyhavebeenatthecor

3、eofthefundamentaldeteriorationincreditwithoutsizedspendingtomeetunrealisticdemandexpectationsandaggressiveexpansionsintoenergytradinginutilitiesExtrememarketvolatilityandlimitedliquiditybestcharacterizesthecurrentstateofthecorporatebondmarketBanksarerestrictingaccesstoliquidity

4、andtheresultingilliquidityiscontributingtothecreditmarket’svolatilityPortfoliodiversificationisdifficulttoachievegiventhat33%ofamountoutstandingand42%ofnewissuevolumeareinthethetop25namesSurvivaldependsonminimizingtheoccurrenceandmagnitudeofdistressedcreditsMarketConcernsWhatis

5、contributingtothecurrentcreditvolatility?BearequitymarketandcorporatescandalsCreditrecession(stressedcreditmarket)LiquiditycrisisHistoricallylowratesEconomicrecoveryunclearABearMarketinEquityVolatilityathistorichighssince19973+yearsupsideoftechnologybubble2.5yearsofbubblebursti

6、ngandcorporatescandalsVolatilitymeasureof“%daysperyearS&P500Indexmovedgreaterthan+/-1%”inAugust2002was43%versus22%historicaveragesince1925Currentdownturndeepestsince1973-74andlongestsince1929-32or1946-49AtitsJuly2002low,theS&P500was48%belowitsMarch2000peakandthedeclinehasendure

7、dfor29months.Thismakesitthelongestbearmarketsince1946/49andtogetherwiththe1973/74cycle,thesteepestofthepost-WWIIperiod.(1)(1)TheBankCreditAnalyst,August2002ABearMarketinEquityValuationsarestillabovehistoricnormsonalmosteverymeasure(Price/Earnings,DividendYield,Price/Book,Price

8、/Sales),exceptforEarningsYield/BondYield(whichisnearfa