银行信贷衍生品建模和计算.ppt
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1、信贷衍生产品: 建模和计算,Credit Derivatives,2019/9/29,摘要,引言 信贷产品 法规和文档(Legal and Documentation) 行业规范(Regulatory environment) 复杂信贷产品 定价,计算技术和对冲(Hedge) 风险管理,2019/9/29,摘要,引言 信贷产品 法规和文档(Legal and Documentation) 行业规范(Regulatory environment) 复杂信贷产品 定价,计算技术和对冲(Hedge) 风险管理,2019/9/29,引言,风险市场(credit risk market) 公司债券 信贷
2、衍生产品(credit derivatives) 一种能把信贷风险从基础资产中剥离出来,便于交易和管理的衍生工具 基本功能: 风险有效转换,聚集,分散和重新包装,2019/9/29,信贷衍生产品的增长,Source: ISDA,2019/9/29,市场的参与者,Source:BBA 2003/2004 survey,2019/9/29,市场的参与者,2019/9/29,信贷衍生产品的创新,Source:BBA 2003/2004 survey,2019/9/29,交易的产品?,信贷违约互换(Credit Default Swap, CDS) 完全收益互换(Total Return Swap,
3、TRS) 信贷短期债券(Credit Linked Note, CLN) 信贷组合互换/债券 First-to-default basket, nth-to-default basket 信贷组合批次债券 信贷产品创新 Option, futures, indices, constant maturity etc.,2019/9/29,市场最新发展,CDS matching and confirmation Standardisation of documentation Tradable Credit fixings Market regulation,2019/9/29,摘要,引言 信贷产
4、品 法规和文档(Legal and Documentation) 行业规范(Regulatory environment) 复杂信贷产品 定价,计算技术和对冲(Hedge) 风险管理,2019/9/29,信贷违约互换(CDS),信贷溢价 credit spread,2019/9/29,信贷短期债券(CLN),Special Purpose Vehicle (SPV),息票+到期本金(没有违约),6% + 100,100(开始时),3.6% + 100,100(开始时),利率互换,2.4%,CDS,2019/9/29,摘要,引言 信贷产品 法规和文档(Legal and Documentatio
5、n) 行业规范(Regulatory environment) 复杂信贷产品 定价,计算技术和对冲(Hedge) 风险管理,2019/9/29,信贷组合第一个违约互换(FTD),2019/9/29,Senior Class A,Credit Tranched Securities,Special Purpose Vehicle,衍生债务抵押债券 (CDO),Diversified Pool of , typically, fixed income assets,Credit Risk Transfer through: - Cash “True Sale” - Synthetic using
6、“Credit Default Swaps”,Assets may comprise: Investment Grade Bonds / Loans HY Bonds Leveraged Loans Emerging Market Debt ABS / MBS,Assets,Liabilities,Transfer,Credit Risk Transfer for: - Balance Sheet Management - Credit Arbitrage,Mezzanine Class B/C/D,Subordinated,The above is indicative capital st
7、ructure only,AAA,AA to BBB,Not Rated,Ratings,CDO : Collateralized “Debt” Obligations, more encompassing term than other terms such as CBO (“Bonds”) and CLOs (“Loans”),2019/9/29,衍生债务抵押债券的特点,Efficient Portfolio Diversification Tool Gain Access to Assets, Otherwise Difficult to Access Choose Tranche de
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- 关 键 词:
- 银行信贷 衍生 建模 计算
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