目录如下，共212页

Table of Contents

Part I      Risk Measurement Framework

Chapter 1.   Introduction to CreditMetrics 5

1.1   The portfolio context of credit 5
1.2   Types of risks modeled 8
1.3   Modeling the distribution of portfolio value 8
1.4   Different credit risk measures 15
1.5   Exposure type differences 17
1.6   Data issues 20
1.7   Advanced modeling features 21

Chapter 2.   Stand-alone risk calculation 23

2.1   Overview: Risk for a stand-alone exposure 23
2.2   Step #1:  Credit rating migration 24
2.3   Step #2:  Valuation 26
2.4   Step #3:  Credit risk estimation 28
2.5   Choosing a time horizon 31

Chapter 3.   Portfolio risk calculation 35

3.1   Joint probabilities 36
3.2   Portfolio credit risk 38
3.3   Marginal risk 40

Chapter 4.   Differing exposure types 41

4.1   Receivables 42
4.2   Bonds and loans 43
4.3   Loan commitments 43
4.4   Financial letters of credit (LCs) 46
4.5   Market-driven instruments 47

Part II     Model Parameters

Chapter 5.   Overview of credit risk literature 57

5.1   Expected losses 57
5.2   Unexpected losses 60
5.3   A portfolio view 63

Chapter 6.   Default and credit quality migration 65

6.1   Default 65
6.2   Credit quality migration 66
6.3   Historical tabulation 67
6.4   Long-term behavior 70

Chapter 7.   Recovery rates 77

7.1   Estimating recovery rates 77
7.2   Distribution of recovery rate 80

Chapter 8.   Credit quality correlations 81

8.1   Finding evidence of default correlation 81
8.2   Direct estimation of joint credit moves 83
8.3   Estimating credit quality correlations through bond spreads 84
8.4   Asset value model 85
8.5   Estimating asset correlations 92

Part III   Applications

Chapter 9.   Analytic portfolio calculation 107

9.1   Three-asset portfolio 107
9.2   Marginal standard deviation 110

Chapter 10.   Simulation 113

10.1   Scenario generation 113
10.2   Portfolio valuation 116
10.3   Summarizing the results 117

Chapter 11.   Portfolio example 121

11.1   The example portfolio 121
11.2   Simulation results 122
11.3   Assessing precision 125
11.4   Marginal risk measures 129

Chapter 12.   Application of model outputs 133

12.1   Prioritizing risk reduction actions 133
12.2   Credit risk limits 135
12.3   Economic capital assessment 138
12.4   Summary 140

Appendices

Appendix A.   Analytic standard deviation calculation 147
Appendix B.   Precision of simulation-based estimates 149
Appendix C.   Derivation of the product of N random variables 153
Appendix D.   Derivation of risk across mutually exclusive outcomes 155
Appendix E.   Derivation of the correlation of two binomials 157
Appendix F.   Inferring default correlations from default volatilities 159
Appendix G.   International bankruptcy code summary 161
Appendix H.   Model inputs 163
Appendix I.   Indices used for asset correlations 166

Reference

Glossary of terms 173
Bibliography183
Index191
Table 1.1       Probability of credit rating migrations in one year for a BBB 9
Table 1.2       Calculation of year-end values after credit rating migration from BBB ($) 10
Table 1.3       Distribution of value of a BBB par bond in one year 11
Table 1.4       Year-end values after credit rating migration from single-A ($) 12
Table 1.5       All possible 64 year-end values for a two-bond portfolio ($) 12
Table 1.6       Probability of credit rating migrations in one year for a single-A 13
Table 1.7       Year-end joint likelihoods (probabilities) across 64 different states (%) 14
Table 1.8       One-year transition matrix (%) 20
Table 2.1       One-year transition matrix (%) 25
Table 2.2       Recovery rates by seniority class (% of face value, i.e., “par”) 26
Table 2.3       Example one-year forward zero curves by credit rating category (%) 27
Table 2.4       Possible one-year forward values for a BBB bond plus coupon 28
Table 2.5       Calculating volatility in value due to credit quality changes 28
Table 3.1       Joint migration probabilities with zero correlation (%) 36
Table 3.2       Joint migration probabilities with 0.30 asset correlation (%) 38
Table 4.1       Fee on undrawn portion of commitment (b.p.) 43
Table 4.2       Average usage of commitments to lend 45
Table 4.3       Example estimate of changes in drawdown 45
Table 4.4       Revaluations for $20mm initially drawn commitment 46
Table 4.5       Value of swap at the risk horizon in each rating state 51
Table 5.1       Moody’s corporate bond average cumulative default rates (%) 58
Table 5.2       Credit quality migration likelihoods for a BBB in one year 60
Table 5.3       Volatility of historical default rates by rating category 61
Table 6.1       Moody’s Investors Service: One-year transition matrix 68
Table 6.2       Standard & Poor’s one-year transition matrix – adjusted for removal of N.R.        69
Table 6.3       KMV one-year transition matrices as tabulated from expected default frequencies70
Table 6.4       Average cumulative default rates (%) 71
Table 6.5       Imputed transition matrix which best replicates default rates 72
Table 6.6       Resulting cumulative default rates from imputed transition matrix (%) 73
Table 6.7       “BB barrier” probabilities calculated from Table 6.6 matrix (%) 73
Table 6.8       “BB barrier” probabilities calculated from Table 6.6 matrix (%) 74
Table 6.9       Imputed transition matrix with default rate rank order constraint 74
Table 6.10     Estimate of debt market profile across credit rating categories 75
Table 6.11     Achieving a closer fit to the long-term steady state profile 76
Table 7.1       Recovery statistics by seniority class 78
Table 8.1       Inferred default correlations with confidence levels 82
Table 8.2       Historically tabulated joint credit quality co-movements 84
Table 8.3       Historically tabulated joint credit quality co-movement (%) 84
Table 8.4       One year transition probabilities for a BB rated obligor 87
Table 8.5       Threshold values for asset return for a BBB rated obligor 88
Table 8.6       Transition probabilities and asset return thresholds  for A rating 89
Table 8.7       Joint rating change probabilities for BB and A rated obligors (%) 90
Table 8.8       Countries and respective index families 94
Table 8.9       Industry groupings with codes 95
Table 8.10     Country-industry index availability 96
Table 8.11     Volatilities and correlations for country-industry pairs 98
Table 9.1       Transition probabilities (%) 107
Table 9.2       Instrument values in future ratings ($mm) 108
Table 9.3       Values of a two-asset portfolio in future ratings ($mm) 109
Table 10.1     Transition probabilities (%) 114
Table 10.2     Asset return thresholds 114
Table 10.3     Correlation matrix for example portfolio 115
Table 10.4     Scenarios for standardized asset returns 115
Table 10.5     Mapping return scenarios to rating scenarios 116
Table 10.6     Valuation of portfolio scenarios ($mm) 117
Table 11.1     Example portfolio 121
Table 11.2     Asset correlations for example portfolio 122
Table 11.3     Percentiles of future portfolio values ($mm) 125
Table 11.4     Portfolio value statistics with 90% confidence levels ($mm) 126
Table 11.5     Standard deviation of value change 130
Table G.1      Summary of international bankruptcy codes 161
Table H.1      Required inputs for each issuer 165
Table H.2      Required inputs for each exposure type 165