信用风险限额.ppt

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1、OutlineOverviewMarketConcernsCreditRiskLimitsCreditRiskModelsCreditRiskDiversificationCreditRiskManagementProcessOverview:CurrentStateoftheCreditMarketAlthoughFixedIncomehasrecentlyoutperformedequity,theCorporateBondmarkethasseverelyunderperformedTreasuriesThemarkethasexperiencedrisingdefaults,dow

2、ngrades,andanunprecedentednumberofInvestmentGradecreditsfallingintoHighYield(a.k.a.“FallenAngels”)“FallenAngels”areoverwhelmingtheHighYieldmarketastheynumber14ofthetop25issuersandcomprise20%ofthetotalamountoutstandinginHighYieldTelecom/Energyhavebeenatthecoreofthefundamentaldeteriorationincreditwi

3、thoutsizedspendingtomeetunrealisticdemandexpectationsandaggressiveexpansionsintoenergytradinginutilitiesExtrememarketvolatilityandlimitedliquiditybestcharacterizesthecurrentstateofthecorporatebondmarketBanksarerestrictingaccesstoliquidityandtheresultingilliquidityiscontributingtothecreditmarket’sv

4、olatilityPortfoliodiversificationisdifficulttoachievegiventhat33%ofamountoutstandingand42%ofnewissuevolumeareinthethetop25namesSurvivaldependsonminimizingtheoccurrenceandmagnitudeofdistressedcreditsMarketConcernsWhatiscontributingtothecurrentcreditvolatility?BearequitymarketandcorporatescandalsCre

5、ditrecession(stressedcreditmarket)LiquiditycrisisHistoricallylowratesEconomicrecoveryunclearABearMarketinEquityVolatilityathistorichighssince19973+yearsupsideoftechnologybubble2.5yearsofbubbleburstingandcorporatescandalsVolatilitymeasureof“%daysperyearS&P500Indexmovedgreaterthan+/-1%”inAugust2002w

6、as43%versus22%historicaveragesince1925Currentdownturndeepestsince1973-74andlongestsince1929-32or1946-49AtitsJuly2002low,theS&P500was48%belowitsMarch2000peakandthedeclinehasenduredfor29months.Thismakesitthelongestbearmarketsince1946/49andtogetherwiththe1973/74cycle,thesteepestofthepost-WWIIperiod.(

7、1)(1)TheBankCreditAnalyst,August2002ABearMarketinEquityValuationsarestillabovehistoricnormsonalmosteverymeasure(Price/Earnings,DividendYield,Price/Book,Price/Sales),exceptforEarningsYield/BondYield(whichisnearfa