Session信用風(fēng)險(xiǎn)管理

1、1會計(jì)學(xué)Session信用風(fēng)險(xiǎn)管理信用風(fēng)險(xiǎn)管理2021-12-122021-12-132021-12-142021-12-152021-12-16LTCM(長期信用資本管理公司)倒閉；2021-12-172021-12-182021-12-192021-12-1102021-12-1112021-12-1122021-12-1132021-12-1142021-12-1152021-12-1162021-12-117 貸款級別損失準(zhǔn)備金率（%）低質(zhì)量級別特別關(guān)注的其他資產(chǎn)0未達(dá)標(biāo)準(zhǔn)的資產(chǎn)20可疑資產(chǎn)50損失資產(chǎn)100高質(zhì)量級別合格/可履約02021-12-118貸款級別貸款級別債券評級債券評級

2、風(fēng)險(xiǎn)程度風(fēng)險(xiǎn)程度1AAA最小最小2AA溫和溫和3A平均（中等）平均（中等）4BBB可接受可接受5BB可接受但要予以關(guān)注可接受但要予以關(guān)注6B管理性關(guān)注管理性關(guān)注7CCC特別關(guān)注特別關(guān)注8CC未達(dá)到標(biāo)準(zhǔn)未達(dá)到標(biāo)準(zhǔn)9C可疑可疑10D損失損失2021-12-1192021-12-1202021-12-1212021-12-1222021-12-1232021-12-1242021-12-1252021-12-1262021-12-1272021-12-128信用等級AAAAAABBBBBBCCCDefaultAAA90.818.330.680.060.12000AA0.7090.657.790.64

3、0.060.140.020A0.092.2791.055.520.740.260.010.06BBB0.020.335.5986.935.361.170.120.18BB0.030.140.677.7380.538.841.01.06B00.110.240.436.4883.464.075.20CCC00.220.221.302.3811.2464.8619.79信用遷移矩陣信用遷移矩陣2021-12-12923412346661066(1)(1)(1)(1)Prrrr2021-12-130期限年期年期年期年期3.604.174.735.123.654.224.785.173.724.324.

4、935.324.104.675.255.635.556.026.787.276.057.028.038.2515.0515.0514.0313.522021-12-1312346661066108.66(10.0372)(10.0432)(10.0493)(10.0532)P 信用等級信用等級概率概率 （%）市值金額市值金額信用等級信用等級概率概率 （%）市值金額市值金額AAA0.02109.37BB5.30102.02AA0.33109.19B1.1798.10A5.59108.66CCC0.1283.64BBB86.95107.55Default0.1851.132021-12-13220

5、21-12-1332021-12-1342021-12-1352021-12-1362021-12-1372021-12-1382021-12-1392021-12-1402021-12-141 BEDFBAA-B抵達(dá)違約點(diǎn)的距離 DD年初資產(chǎn)價(jià)值離違約點(diǎn) 有DD之遠(yuǎn)企業(yè)中已年內(nèi)出現(xiàn)違約的企業(yè)數(shù)量經(jīng)驗(yàn)?zāi)瓿踬Y產(chǎn)價(jià)值離違約點(diǎn) 有DD之遠(yuǎn)的所有企業(yè)數(shù)量設(shè)定 A為資產(chǎn)價(jià)值，B為違約點(diǎn)， 為資產(chǎn)價(jià)值的波動性。2021-12-1422021-12-1432021-12-144標(biāo)普評級的值(%) 標(biāo)普評級的值(%) ( 0.00, 0.02( 0.86, 1.43( 0.02, 0.03( 1.43, 2.

6、03( 0.03, 0.04( 2.03, 2.88( 0.04, 0.05( 2.88, 4.09( 0.05, 0.07( 4.09, 6.94( 0.07, 0.09( 6.94, 11.78( 0.09, 0.14( 11.78, 14.00( 0.14, 0.21( 14.00, 16.70( 0.21, 0.31( 16.70, 17.00( 0.31, 0.52( 17.00, 18.25( 0.52, 0.86( 18.25, 20.002021-12-1452021-12-1462021-12-1472021-12-1482021-12-1492021-12-1502021-12-1512021-12-1522021-12-1532021-12-1542021-12-1552021-12-1562021-12-1572021-12-1582021-12-1592021-12-1602021-12-1612021-12-1622021-12-163期限年期年期年期年期3.604.174.735.123.654.224.785.173.724.324.935