【CFA二级笔记】固收：第四章信用分析模型

最新推荐文章于 2024-10-18 15:24:28 发布

仰卧起坐的民工

最新推荐文章于 2024-10-18 15:24:28 发布

阅读量1k

点赞数 22

分类专栏： CFA二级备考笔记文章标签：笔记

本文链接：https://blog.csdn.net/brooks_yu/article/details/141107779

版权

1 信用风险的度量

1.1 基本概念

1. Expected exposure is the projected amount of money the investor could lose if an event of default occurs, before factoring in possible recovery

2. Loss Given Default (LGD) is the amount of loss if a default occurs

3. Probability of default (POD) is the probability that the bond issuer will not meet its contractual obligationson schedule

4. Expected Loss:

Expected Loss = Probability of default * Loss Given Default

5. Probability of Survival (POS) is under the condition that no default happens before

6. Hazard rate (a.k.a. initial POD) is the conditional default rate, which means the default rate under the condition that no default happens before

The factors to consider in modeling credit risk are the expected exposure to default loss, the risk-neutral probability of default, and the loss given default.

1.2 重要公式

1.3 风险中性违约概率的计算（Risk-Neutral Probability of Default）

2 信用评估调整与风险债券估值

VND: the value for the corporate bond assuming no default

Credit valuation adjustment (CVA) is the value of the credit risk in present value term, which is the sum of PV of expected loss

信用估值调整（CVA）是指预期信用损失的现值。一般对于存在违约风险的债券而言，使用无风险利率对债券进行定价往往会高估该债券的价格，因此在实际中需要对有违约风险的债券进行估值上的调整以正确反映投资人所面临的信用风险，简而言之，信用估值调整（CVA）可以通过违约概率（POD）、违约损失率（LGD）等上述概念来计算

一个例题：

A fixed-income trader observes a 3-year, 5% annual payment corporate bond trading at $104 per $100 of par value The trader determines that the conditional POD for each date for the bond is 1.50%, given a recovery rate of 40%. The government bond yield curve is flat at 2.50%.

Q1. Based on these assumptions, does the trader deem the corporate bond to be overvalued or undervalued?
Q2. By how much?
Q3. If the trader buys the bond at $104, what are the projected annual rates of return?