1、 外文翻译 Coping with credit risk MaterialSource:http:/econpapers.repec.org/scripts/search/search.asp?ft=credit+risk the level of default is constant and identical among borrowers. These implications could be lifted in future research on this theme. Keywords Credit rating, Risk analysis, Banking, Contra
2、cts, Capital markets Paper type Research paper Credit risk is pervasive throughout financial markets 1. Traditionally, various financial institutions have assumed the burden of credit risk. Banks bear the credit risk attached to bank loans and forward contracts. Credit insurance companies have provi
3、ded coverage for the commercial credit risk faced by suppliers of consumer and investment goods and services. Public insurers, such as the ECGD in the UK2, have specialized in the coverage of credit risk attached to export trade and overseas investment. Specialized institutions, such as factoring co
4、mpanies, have offered credit risk coverage as one component in a basket of financial services. More recently, the proliferation of financial contracts that entail counter-party default risk such as swaps, back-to-back loans, and derivative products have focused attention on ways to deal with credit
5、risk in the marketplace. Products, such as credit default swaps, credit spread options and total-rate-of-return swaps, have allowed firms and financial institutions to more effectively deal with credit risks 3. Indeed, a recent survey by the British Bankers Association estimates the market for credi
6、t derivatives to reach $4.8 trillion in notional principal, in 20044. In addition, insurance markets have reacted with an array of new products many with the backing of larger capital markets, such as insurance-linked securities and finite-risk contracts (Shimp, 1999). Much effort has gone into meas
7、uring the various parameters of credit risk 5. In particular, for institutions dealing with credit risk, a serious concern arises from the fact that credit risk has both an idiosyncratic and a systematic component. Counter-party default may arise as a consequence of factors unique to the borrower, s
8、uch as poor management and bad luck. It also may arise in the wider contexts of economic recessions, financial market crashes and political turmoil. This point is certainly underscored by the rate of defaults following the September 11 attacks on the World Trade Center in New York. The main point he
9、re is that defaults can be affected by various common factors, and that this results in default rates that are unstable over time. As an example, consider the market for corporate bonds that are rated by Standard & Poors. There were approximately $4.3 billion in defaults for 1997, whereas in 1991 th
10、e value of defaults exceeded $20 billion. Thus, credit risk entails an important systematic component and it has, conceptually, much in common with other types of risks where an accumulation of losses may also arise as a consequence of market-wide phenomena 6. In this paper, we develop a method for
11、coping with credit risk by decomposing this risk into idiosyncratic and systematic components that may be treated separately. We then show how some innovation in security design can aid in the treating of the systematic component. Since credit risk permeates many different types of financial (and no
12、n financial) contracts, we limit our attention to a financial institution that has a pool of contracts exposed to a credit risk. To be more concrete, we refer to a bank with a pool of outstanding loans, although our main ideas are easily generalized to other settings. Our model is rather stylized in
13、 order that we may focus on the credit-risk component. Thus, for example, we ignore several important components of overall risk, such as market risk. Also, we focus on the probability of default, with less attention given to the level of partial payback under bankruptcy. The systematic component of
14、 default risk is easy to quantify exposit: it basically consists of the difference between credit defaults in a given period and the statistical long-run average of these defaults. We show how this decomposition allows one to improve the management of the two risk components. In particular, we show
15、how financial contracts might be redesigned to allow for a more efficient risk sharing between borrowers, lenders and the capital markets. Although, to the best of our knowledge, derivative contracts written exclusively on the systematic component of the credit risk do not currently exist, we show h
16、ow existing methods can allow for the same result in risk sharing between the bank and the capital markets. We also introduce a type of oating -rate interest, in which the rate is set in arrears and is based on a composite index for systematic risk. This allows borrowers to retain a part of the syst
17、ematic risk generated by their own loans. Our paper must be viewed as largely normative. Such oating-rate products do not currently exist in the form we suggest. However, they are essentially a type of structured note, so that our proposed contracts should be viewed more as “evolutionary” than “revo
18、lutionary”. A method for isolating the systematic component of credit risk is introduced in the next section. Section 2 then develops a model of bank loans with three types of economic agents: firms, banks and capital-market investors. The banks have an intermediation role by contracting with firms
19、on one side and with the capital market on the other side. This section also describes our structured loans. The welfare effects of these loans are analyzed in section 3, while section 4 derives the optimal retention of systematic risk by banks when firms demand such loans. The fifth section conclud
20、es by stressing the main features of our model and pointing out directions for future research along the line introduced in this paper. 积极应对信贷风险 资料来源: http:/econpapers.hhs.se/article/ 作者: Harris Schlesinger 摘要 目标: 本文旨在提出一个经济主体之间的信用风险分配新方法。 方法:本文考虑了一些银行贷款受到信贷风险的制约,从而开发了一种方法,将信贷风险分成几个特殊的系统的成分。这些系统成分的产
21、生归因于特定时间内的信贷违约和长期平均违约在统计上的不同。 调查结果:本文显示了金融合同是如何可能被修改,以此来允许银行在自己的账目上经营特殊原件,而同时又允许系统原件被独立操作。这些系统成分能够在资本市 场上被保留,中止或是分享给借款人。对于后者,文章介绍了一种类型的浮动利率,这种利率制度是以拖欠为背景,建立在一种系统风险的财经指数基础上。这提高了风险在借款人、贷款人和资本市场之间分配的效率。 现实意义:本文由许多实际的意义,对与信贷风险由联系的金融工程师,借贷市场参与者,金融调节者和所有经济代理人都有很大的价值。它可能导致新的结构性票据在市场上出现。 创新:本文也阐述了风险分解的潜在利益。
22、当然,正如任何的创新方法,结构性合同的实现将提高实际性,在这里并没有提到。本文同时也出现了一些简单化的东西:忽视了市场 风险;借款人的违约水平保持不变而且相同。这些被简化的东西可以在今后的研究中提起。 关键词:信用等级,风险分析,银行,合同,资本市场 论文类型:研究型论文 信贷风险在金融市场中普遍存在。习惯上,各种金融机构都会设定信贷风险的承受度。银行通过银行贷款和远期合同来承受信贷风险。信用保险公司已经为消费者以及投资货物和服务的供应商所面临的商业信贷风险提供了保险范围。社会保险公司,比如英国的 ECGD 公司,已经专门研究了出口贸易和海外投资的信贷风险。专业机构,比如代理融通公司,已经提供
23、信贷风险保险覆盖,作为一揽子金融服务 的一个组成部分。最近,金融合同的激增导致厌恶违约风险 比如背靠背贷款,以及衍生产品 已经把重点都放在如何处理市场交易中的信贷风险。像信用违约掉期,信用分布选择和最终回报率掉期这些金融产品,已经可以确保公司和金融机构更有效地处理信贷风险问题。事实上,由英国银行家协会最近的调查评估来看, 2004 年,信用衍生品工具市场的名义本金达到 4.8 万亿美元。此外,保险市场已经与一些新的衍生产品起化学反应,其中有一些产品还有更大的资本市场背景,比如与保险挂钩的证券和有限风险合同。 许多的成果已经被用来测量信贷风险的各种参 数。特别是 , 为机构处理信用风险、一个严重
24、的问题来自于事实 , 信用风险不仅有特质和系统的组成部分。违约反对派认为可能会出现的因素 , 如借款人的管理不善和坏运气。它也可发生于更广泛的经济衰退中 , 金融市场的冲击及政治骚乱。这个观点被 9.11 事件后的利率违约印证。 这里阐述的一个主 要的观点是违约会受各种因素的的影响,那样会造成一定时期内违约率的不稳定。打个比方,考虑的是由标准普尔评级的公司债券市场。 1997 年大约有 43 亿美元的拖欠,而在 1991 年拖欠的价值超过 200 亿美元。因此,信贷风险包含了一个重要的系统组件,它也确实包含了,从理论上来说,与其他类型的风险由许多共同点,风险的积累也会最终导致广泛市场现象的结果
25、。 在本文中,我们发展了一种方法来应对信贷风险。我们将风险分成特质的和系统的成分,这样就可以分开处理了。我们再介绍一些创新有助于设计安全的处理系统的组成部分。由于信贷风险总是弥 漫于各种不同形式的金融合同当中,我们就将我们的注意力限制在某些金融机构的一些有着明显信贷风险的合同上。更具体的,我们参考银行一揽子未偿还贷款,尽管我们的主要想法会很容易地被推广到其它的设置中去。我们的模型比较程序化,以便于我们可以重点关注信贷风险元件。因此 , 例如 : 我们忽略了一些重要的组成部分 , 如整体风险市场风险。同时我们专注于违约的可能性,而忽视处在破产下的部分回报水平。 违约风险的系统因素很容易被量化暴露
26、:它基本上组成了 信贷违约和长期平均违约在统计上的不同。我们展示这个分解法如何让一个元件来提高对两个风险 元件的管理。特别的 , 我们展示金融合同如何可能被重新设计以允许更有效的使风险在借贷者 , 借款人和资本市场之间的共享。虽然 , 据我们所知 , 书面完全集中在衍生合同的信用风险的系统组成部分 , 我们当前没有显示现有的方法允许对同样的结果在银行和资本市场之间实现风险共享。我们还会介绍一种浮动利率利益 , 拖欠比率 , 以及综合指数对系统产生的风险。这允许贷款人保留部分由自己的贷款所产生的系统风险 。 我们的论文必须被视为主要规范。我们建议这样的浮动利率产品不能以当前的形式存在于市场上。然而 , 他们基本上表现出的是一种在结构化上的注意 ,所 以我们提出的合同应被更多的是“ 进化论”而不是“革命”。 一种隔离系统组成部分介绍了信贷风险的下一个部分。第二节得以发展银行贷款的模型与三种类型的经济代理人 : 公司、银行和交易的投资者。银行有一个调解的公司通过收缩作用在资本市场。这节也描述结构贷款。这些贷款的社会福利的影响在第 3 部分中进行了分析 , 而第四节的最优保留时 , 银行系统风险的公司需要此类贷款。第五部分通过强调订立的主要特色 , 我们的模型 ,指出今后的研究方向并沿传输线进行了介绍。
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