管理信用風險——全球金融市場的巨大挑戰（第2版） Managing Credit Risk: The Great Challenge for Global Financial Markets

第1 章 信用風險：全球經濟的巨大挑戰 ·························································.1
1.1 改變對信貸的態度 .................................................................................................. 2
1.2 越來越多的國家借貸 .............................................................................................. 4
1.3 更多的杠桿，更多的機會，更多的風險 ............................................................ 6
1.4 銀行業的黃金時代 .................................................................................................. 8
1.5 由市場驅動的信用風險定價 ................................................................................. 9
1.6 信用管理對全球經濟至關重要 ............................................................................11
1.7 新的交易，新的風險 ............................................................................................ 12
1.8 新貸款人 ................................................................................................................ 13
1.9 管理信用風險的新方法 ....................................................................................... 14
1.10 技術拯救 .............................................................................................................. 15
原書參考文獻 ................................................................................................................. 16
第2 章 信用文化 ····················································································.18
2.1 一個現代化的風險管理框架 ............................................................................... 20
2.2 工作中的信用文化 ................................................................................................ 22
2.3 高盛：通過信用文化進行管理 ........................................................................... 23
2.4 摩根大通：根據傳統塑造新文化 ....................................................................... 26
2.5 是什麽讓信用文化發揮作用 ............................................................................... 28
原書參考文獻 ................................................................................................................. 30
第3 章 傳統金融行業參與者：銀行、儲蓄機構、保險公司、金融公司和
特殊目的實體 ··············································································.32
3.1 銀行及儲蓄機構 .................................................................................................... 34
3.2 競爭、集中和變化 ................................................................................................ 35
3.3 經驗和教訓 ............................................................................................................. 39
3.4 流動性：一種銀行特有的資源 ........................................................................... 40
3.5 保險公司 ................................................................................................................. 41
3.6 金融公司 ................................................................................................................. 42
3.7 特殊目的實體 ........................................................................................................ 44
原書參考文獻 .................................................................................................................. 45
第4 章 組合管理者：投資管理者、共同基金、養老基金和對沖基金 ···················.46
4.1 固定收益投資組合策略 ........................................................................................ 47
4.2 對沖基金 ................................................................................................................. 51
原書參考文獻 .................................................................................................................. 52
第5 章 結構化中樞：清算所、衍生產品交易商和交易所 ·································.53
5.1 交易所 ..................................................................................................................... 54
5.2 清算所 ..................................................................................................................... 55
5.3 凈額結算、抵押品和信用降級觸發器 ............................................................... 58
5.4 信用衍生產品公司 ................................................................................................ 59
5.5 結構化中樞的局限性 ............................................................................................ 60
原書參考文獻 .................................................................................................................. 61
第6 章 評級機構 ................................................................................................................... 63
6.1 遍及世界各地的評級機構 .................................................................................... 64
6.2 經評級發行債券的數量增長 ............................................................................... 66
6.3 評級過程 ................................................................................................................. 69
6.4 信用評級的業績表現 ............................................................................................ 71
6.5 信用評級與監管者 ................................................................................................ 76
6.6 新興趨勢 ................................................................................................................. 77
原書參考文獻 .................................................................................................................. 79
第7 章 古典信用分析 ·············································································.81
7.1 信用分析是一個專家系統 .................................................................................... 82
7.2 將分析重點從資產負債表轉向現金流 ............................................................... 82
7.3 信用分析：“上帝”在細節中 ............................................................................. 83
7.4 財務比率：沙灘上的腳印 ................................................................................... 86
7.5 中長期借款的行業分析 ....................................................................................... 88
7.6 傳統的信貸基礎依然存在，但銀行業實踐已經向前發展 ............................. 89
7.7 你可以吃蛋糕，但只能吃一小塊 ....................................................................... 90
原書參考文獻 ................................................................................................................. 91
第8 章 資產保證型貸款和融資租賃 ····························································.92
8.1 風險管理 ................................................................................................................ 94
8.2 越來越多的尊重 .................................................................................................... 96
8.3 資產保證型貸款的替代品 ................................................................................... 96
8.4 融資租賃 ................................................................................................................ 97
8.5 證券化和杠桿收購的根源 ................................................................................... 98
8.6 有利的結果 ............................................................................................................ 98
原書參考文獻 ................................................................................................................. 99
第9 章 信用風險模型簡介 ·······································································.100
9.1 模型——誰需要它們 .......................................................................................... 101
9.2 模型分類 .............................................................................................................. 101
9.3 投資組合管理模型 .............................................................................................. 105
9.4 重點前瞻 .............................................................................................................. 107
原書參考文獻 ............................................................................................................... 108
第10 章 基於會計數據和市場價值的信用風險模型 ········································.109
10.1 專家系統和主觀分析 ....................................................................................... 110
10.2 基於財務數據的信用評分系統 ....................................................................... 110
10.3 從單變量模型到多變量模型 ............................................................................ 111
10.4 Altman 的Z-Score 模型（1968） ................................................................... 112
10.5 Z-Score 模型和債券評級 ................................................................................. 115
10.6 非上市公司的Z ‘-Score 模型 ........................................................................... 116
10.7 非製造企業的Z" -Score 模型 .......................................................................... 117
10.8 新興市場評分模型與評分過程 ....................................................................... 118
11.12 KMV 模型的改良（1995—2006 年） ......................................................... 160
11.13 結束語 ............................................................................................................... 160
原書參考文獻 ............................................................................................................... 161
第12 章 消費者金融模型 ········································································.164
12.1 消費者信用評分模型 ....................................................................................... 167
12.2 消費者信用評分模型的設計 ........................................................................... 170
12.3 模型充分性的檢驗 ............................................................................................ 172
12.4 樣本外檢驗 ........................................................................................................ 174
12.5 優點和缺陷 ........................................................................................................ 174
12.6 動態信用風險管理系統 ................................................................................... 176
12.7 決策樹模型 ........................................................................................................ 178
12.8 神經網絡模型 .................................................................................................... 178
12.9 建立基於市場份額的信用評分模型 .............................................................. 179
12.10 下一步 .............................................................................................................. 180
原書參考文獻 ............................................................................................................... 181
第13 章 小企業、房地產和金融機構的信用模型 ···········································.183
13.1 小企業模型 ........................................................................................................ 183
13.2 住宅房地產模型 ................................................................................................ 185
13.3 商業房地產模型 ................................................................................................ 188
13.4 銀行模型 ............................................................................................................ 189
13.4.1 資產質量 .............................................................................................. 189
13.4.2 管理 ...................................................................................................... 190
13.5 異常臨界比率：離群值/匹配組 ...................................................................... 191
13.6 多變量或綜合測度 ............................................................................................ 191
13.7 基於市場價值的測度 ....................................................................................... 192
原書參考文獻 ............................................................................................................... 193
第14 章 信用風險模型的測試與實施 ··························································.195
14.1 內在信用價值模型 ............................................................................................ 196
14.2 有效模型的組成部分 ....................................................................................... 197
14.2.1 風險事件的定義 ................................................................................. 197
14.2.2 目標群體 .............................................................................................. 198
14.2.3 模型開發質量 ...................................................................................... 198
14.2.4 模型穩定性 .......................................................................................... 199
14.2.5 違約模型的預測能力 ......................................................................... 200
14.2.6 追蹤記錄 .............................................................................................. 201
14.2.7 模型對非上市公司的適用性 ............................................................. 202
14.2.8 模型識別 .............................................................................................. 202
14.2.9 《巴塞爾協議Ⅱ》與模型驗證 ......................................................... 203
14.2.10 實施 .................................................................................................... 203
14.2.11 引導測試 ............................................................................................ 204
14.3 信用風險模型的發展 ........................................................................................ 204
原書參考文獻 ................................................................................................................ 206
第15 章 關於公司違約率 ········································································.207
15.1 高收益債券違約率 ............................................................................................ 208
15.2 死亡率和累積違約率 ........................................................................................ 211
15.3 比較累積違約率 ................................................................................................ 215
15.4 違約年限 ............................................................................................................. 217
15.5 “墮落天使”的違約 ........................................................................................ 218
15.6 行業違約 ............................................................................................................. 220
15.7 預測違約率......................................................................................................... 223
15.8 基於發行人的違約率預測................................................................................ 223
15.9 基於美元的死亡率方法 .................................................................................... 224
15.10 關於預測違約率的最後一點說明 ................................................................. 225
15.11 杠桿貸款違約率 .............................................................................................. 225
15.12 結構化金融產品違約率 .................................................................................. 227
原書參考文獻 ................................................................................................................ 229
第16 章 信用風險建模與實踐中的違約回收率和違約損失率 ····························.231
16.1 引言 ..................................................................................................................... 231
16.2 第一代結構化模型：默頓模型 ....................................................................... 232
16.3 第二代結構化模型 ............................................................................................ 233
16.4 簡約化模型......................................................................................................... 234
16.5 信用風險價值模型 ............................................................................................ 236
16.6 PD-RR 關系的最新研究成果及其影響 ......................................................... 237
16.7 相關結果的影響和低迷期LGD ..................................................................... 240
16.8 一些參考資料 .................................................................................................... 242
16.9 回收率評級 ........................................................................................................ 243
16.10 回收率和順周期性 .......................................................................................... 245
16.11 進一步的經驗證據 .......................................................................................... 245
16.11.1 早期的經驗證據 ............................................................................... 246
16.11.2 更多的近期證據 ............................................................................... 247
16.12 結束語 .............................................................................................................. 251
原書參考文獻 ............................................................................................................... 252
第17 章 信用風險遷移 ···········································································.258
17.1 跟蹤評級遷移的方法 ....................................................................................... 260
17.2 評級變化的及時性和準確性 ........................................................................... 261
17.3 評級遷移結果比較 ............................................................................................ 262
17.4 對結果的影響 .................................................................................................... 266
17.5 信用風險遷移與貸款損失 ............................................................................... 268
17.6 未來的發展方向 ................................................................................................ 268
原書參考文獻 ............................................................................................................... 268
第18 章 投資組合方法介紹 ·····································································.271
18.1 當其他條件相同時，分散是最優的方法 ...................................................... 272
18.2 多個小賭註與一個大賭註 ............................................................................... 272
18.3 在信用投資組合中實施標準投資組合的問題 .............................................. 275
18.4 收益分佈 ............................................................................................................ 277
18.5 持有期 ................................................................................................................ 278
18.6 缺乏價格數據 .................................................................................................... 278
18.7 缺乏良好的數據 ................................................................................................ 279
18.8 相關矩陣的求解 ................................................................................................ 281
18.9 當前的投資組合方法 ....................................................................................... 282
18.10 預期損失與意外損失 ..................................................................................... 282
18.11 資本使用最優化 .............................................................................................. 286
18.12 不同的目標 ...................................................................................................... 288
原書參考文獻 ................................................................................................................ 289
第19 章 經濟資本與資本配置 ........................................................................................... 291
19.1 定價機制的使用 ................................................................................................ 292
19.2 銀行家們在資本配置方面的創新 ................................................................... 296
19.3 風險價值 ............................................................................................................. 300
19.4 經濟資本和監管資本 ........................................................................................ 301
19.5 經濟資本的估算與優化 .................................................................................... 302
原書參考文獻 ................................................................................................................ 303
第20 章 投資組合方法的應用 ··································································.305
20.1 MKMV 資產管理 .............................................................................................. 308
20.2 最優投資組合和有效邊界理論 ....................................................................... 308
20.3 信用評估的風險中性定價................................................................................ 309
20.4 資產價值的影響因素 ........................................................................................ 311
20.5 CreditMetrics ...................................................................................................... 313
20.6 違約相關性的處理 ............................................................................................ 316
20.7 CreditMetrics 的實踐與應用——CreditManager ........................................... 319
20.8 對CreditMetrics 的評價 .................................................................................... 320
20.9 CreditRisk+ .......................................................................................................... 321
20.10 麥肯錫公司的Wilson 模型 ............................................................................ 322
20.11 鐮倉公司的違約和概率模型 ......................................................................... 323
20.12 Altman 的優化方法 ......................................................................................... 324
20.13 投資組合風險和考慮意外損失的有效邊界 ................................................ 328
20.14 考慮意外損失下的投資組合風險 ................................................................. 330
20.15 Altman 投資方法的實證結果 ........................................................................ 331
20.16 銀行調控和投資組合建模 ............................................................................. 332
20.17 信用投資組合技術的未來 ............................................................................. 335
原書參考文獻 ................................................................................................................ 337
第21 章 信用衍生產品 ···········································································.343
21.1 信用衍生產品的一個例子................................................................................ 345
21.2 信用衍生產品的結構形式 ............................................................................... 347
21.2.1 信用違約互換 ..................................................................................... 348
21.2.2 合成擔保債務憑證 ............................................................................. 349
21.2.3 總收益率互換 ..................................................................................... 349
21.2.4 信用關聯票據 ..................................................................................... 350
21.2.5 指數互換 .............................................................................................. 351
21.3 信用衍生產品對風險空頭的作用 ................................................................... 351
21.4 信用衍生產品對風險買方的作用 ................................................................... 353
21.5 信用衍生產品的應用 ....................................................................................... 354
21.6 信用衍生產品並不是完美的 ........................................................................... 355
21.7 信用衍生產品的監管觀點 ............................................................................... 357
21.8 信用衍生產品的信用風險 ............................................................................... 358
21.8.1 交易對手風險 ..................................................................................... 358
21.8.2 風險模型 .............................................................................................. 359
21.9 信用衍生產品的估值 ....................................................................................... 360
21.10 目前的定價實踐 .............................................................................................. 361
原書參考文獻 ............................................................................................................... 364
第22 章 交易對手風險 ···········································································.365
22.1 衍生產品損失 .................................................................................................... 366
22.2 交易對手信用風險的重要性 ........................................................................... 368
22.3 衍生產品風險敞口 ............................................................................................ 369
22.4 利率互換 ............................................................................................................ 369
22.5 風險敞口和預期損失的計算 ........................................................................... 371
22.5.1 風險敞口計算 ..................................................................................... 372
22.5.2 損失的計算 .......................................................................................... 372
22.6 貨幣互換交易 .................................................................................................... 375
22.7 衍生產品信用風險管理 ................................................................................... 376
22.8 凈額清算協議 .................................................................................................... 376
22.9 衍生產品信用風險的結構化金融解決方案 .................................................. 377
22.10 對現有的衍生產品信用風險評估方法的評價 ............................................ 378
22.11 將信用風險與市場風險相結合 ..................................................................... 379
原書參考文獻 ............................................................................................................... 380
第23 章 國家風險模型 ...................................................................................................... 382
23.1 歷史背景 ............................................................................................................. 383
23.2 基本面分析——關鍵比率................................................................................ 387
23.3 國家評級系統 .................................................................................................... 389
23.4 國家風險評估面臨的挑戰................................................................................ 393
23.5 黑暗中總有一線光明 ........................................................................................ 394
23.6 國家風險管理 .................................................................................................... 395
原書參考文獻 ................................................................................................................ 396
第24 章 結構化金融 .......................................................................................................... 399
24.1 資產證券化的應用 ............................................................................................ 402
24.2 發行人的收益 .................................................................................................... 403
24.3 抵押貸款證券化 ................................................................................................ 405
24.4 其他資產證券化 ................................................................................................ 407
24.5 風險分割 ............................................................................................................. 408
24.6 高風險信用融資 ................................................................................................ 413
24.7 資產支持證券剖析 ............................................................................................ 414
24.8 資產支持證券的評估 ........................................................................................ 416
24.9 對銀行業的影響 ................................................................................................ 417
24.10 結構化金融的其他應用 .................................................................................. 418
24.11 證券化的風險 .................................................................................................. 420
24.12 結構化金融技術和投資管理 ......................................................................... 422
24.13 證券化的未來 .................................................................................................. 424
原書參考文獻 ................................................................................................................ 425
第25 章 新市場，新玩家，新玩法................................................................................... 428
25.1 擔保債務憑證：擔保貸款憑證和擔保債券憑證 .......................................... 431
25.2 抵押品組合的轉變 ............................................................................................ 433
25.3 不良債權市場 .................................................................................................... 435
25.4 買方從何而來 .................................................................................................... 437
25.5 4 個玩家，改變玩法 ......................................................................................... 438
25.5.1 對沖基金 .............................................................................................. 438
25.5.2 結構化投資工具 ................................................................................. 440
25.5.3 資產抵押商業票據 ............................................................................. 443
25.5.4 信用衍生產品公司 ............................................................................. 445
25.5.5 2007 年的真正挑戰 ............................................................................ 448
原書參考文獻 ............................................................................................................... 448
第26 章 市場混亂，均值回歸 ··································································.451
26.1 流動性風險是下一個挑戰 ............................................................................... 456
26.2 信用文化的重要性 ............................................................................................ 460
原書參考文獻 ............................................................................................................... 461