II. What Are Credit Derivatives?
Derivatives are defined as the exchange or contract which has economic values deriving from the reference assets or index. According to their types, there are overall forward, future, option, and swap. Derivatives are the financial derivatives, which are enabled to trade in the market while consisting of separating the credit risk only to the holder of basic p
Credit Rating Agency
A credit rating agency (CRA) is a company that
assigns credit ratings for
-issuers of certain types of debt obligations
-the debt instruments themselves
-even a country.
Three major global credit rating agencies
- Standard & Poor’s (S&P)
- Fitch IBCA
- Moody’s
credit rating
*Moody’s
21 levels (Aaa~C), If the level is lower t
credit growth.
a. Cyclicality of the minimum requirement
The Basel II framework increased the risk sensitivity and coverage of the regulatory capital requirement. Indeed, one of the most procyclical dynamics has been the failure of risk management and capital frameworks to capture key exposures – such as complex trading activities, resecuritisations and exposures to off-balance sheet
(International Convergence of Capital Measurement and Capital Standard)”를 발표
ㅇ BIS는 은행경영의 가장 중요한 리스크가 신용리스크(credit risk)라고 규정하고 기타 리스크(other risks)로서 투자리스크(investment risk), 이자율리스크(interest rate risk), 환리스크(exchang rate risk), 자산집중리스크(concentration risk) 등을 열거함
형식을 취해야 함
⑤ 통상 자산보유자가 SPV를 설립하는 관계로 자회사로서 연결되지 않도록 출자자의 구성, 지분율, 정관의 규정에 신중하여야 한다.
3. 신용보강기관(Credit Enhancer)
① 유동화증권이 원활하게 소화될 수 있도록 SPV의 신용을 보강해주는 은행․보험회사․금융보증회사
물품 도착이 실패하거나 부분적으로만 납품된 경우, 파손 등의 위험을 모두 수용하는 것
- 이용 : ∙ 구매업체가 불안정적인 상황에 있는 경우
∙ 구매업체의 신용이 불량한 경우(bad credit)
∙ 환율통제(exchange rate control)
∙ 물품이 주문제작(make-to-order)되는 경우
rates of growth in the markets. After the crisis however continued decrease as a result of tight credit conditions, reduced economic growth and a weak housing market.
The cash to flow assets, this is, the ratio that measures the liquidity of a bank was relatively low before the crisis, with percentages below one. During and after the crisis the ratio increased abruptly because additional liquidi
As a result, the default rate of six credit card firms averaged 28.28%
at the end of 2003. ( Surge in Bad assets and Liquidity shortages)
And the fiasco generated lots of credit defaulters, shaking Asia’s 4th
largest economy.
Overcoming Fiasco
Government: Increasing regulation in the card issuing market
Companies: Employing strict credit risk management strategies
Consumers:
credit card business. On the financial perspective is assuming that the credit card will get 250,000 new customers annually. They will use the average of five year averages of each country for inflation rate=5.6% Third, The economic growth rate in Asia-pacific countries are constantly increasing higher. It is also the chance to overcome limitations imposed on the number of branches allowed. Lastl
the market-to-book ratio of the firm
Together explanatory variables, and a constant, make up the vector Xit, which we use to predict failure at different horizons.
Vector Xit is a corporate character of financial state. It is a constant figure for respective companies.
A vector of our explanatory variables, including a constant,
Observed at the end of month t, failure at different horizons