财务报表分析与证券估值全套配套课件英文PPT中文PPT案例教学建议Chap020.ppt

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1、ChapterTwentyMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.Chapter20Preparedby:StephenH.Penman–ColumbiaUniversityWithcontributionsbyNirYehuda–NorthwesternUniversityMingcherngDeng–UniversityofMinnesotaPeterD.EastonandGreg

2、oryA.Sommers–NotreDameandSouthernMethodistUniversitiesLuisPalencia–UniversityofNavarra,IESEBusinessSchool20-2TheAnalysisofCreditRiskandReturnWhatYouWillLearnfromthisChapterHowdefaultriskdeterminesthepriceofcredit(thecostofdebtcapital)Whatdeterminesdefau

3、ltriskHowdefaultriskisanalyzedHowcreditscoringmodelsworkThedifferencebetweenTypeIandTypeIIerrorsispredictingdefaultsHowproformaanalysisaidsinassessingdefaultriskHowvalue-at-riskanalysisisusedtoassessdefaultriskHowfinancialstrategyworks20-3DefaultRiskand

4、DefaultPremiumsRequiredReturnonDebt=Risk-freeRate+DefaultPremiumThedefaultpremiumisdeterminedbytheriskthatthedebtorcoulddefaultSimilarterms:RequiredreturnondebtCostofdebtPriceofcredit20-4TheSuppliersofCreditPublicdebtmarketinvestorswhoinclude(long-term)

5、bondholdersand(short-term)commercialpaperholders.Commercialbanksthatmakeloanstofirms.Otherfinancialinstitutionssuchasinsurancecompanies,financehousesandleasingfirmsmakeloans,muchlikebanks,butusuallywithspecificassetsservingascollateral.Supplierstothefir

6、mwhogrant(usuallyshort-term)creditupondeliveryofgoodsandservices.20-5RatioAnalysisforDefaultEvaluationSteps:ReformulatefinancialstatementsCalculateratios20-6ReformulatingtheBalanceSheetforCreditAnalysisThekeyideainthereformulationofthebalancesheetistoor

7、derassetsbyliquidityandliabilitiesbymaturity.Annotateasyoureformulate.Issues:Detailondifferentclassesofdebtandtheirvaryingmaturitiesisavailableinthedebtfootnotes;thisdetailcanbebroughtontothefaceofreformulatedstatements.Debtofunconsolidatedsubsidiaries(

8、wheretheparentownslessthat50%,buthaseffectiveobligations)shouldberecognized.Long-termmarketablesecuritiesaresometimesavailableforsaleintheshort-termifaneedforcasharises.Long-termdebt(ofsimilarmaturity)canbepresentedonanetbasis.Re