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Credit risk has become the central focus of risk management in the last decade for a num ber of reasons. First, for a typical continental bank, credit risk is still the predominant risk category. Second, the new Basel Capital Accord of June 2004 allows for more advanced methods to assess the risk related with a bank's credit portfolio. Third, the markets to reallocate credit risk between agents experience the highest growth rate of all derivative markets. Fourth, from a theoretical and an empirical point of view, the modelling and valuation of credit risk is a more demanding problem than the analysis of market risk. Especially, the appropriate modelling of correlation effects, e.g. the correlation between defaults of different creditors or between default probabilities and recovery rates, is'still not satisfactory resolved. Collateralised Debt Obligations (CDOs) represent important derivatives to synthesise and reallocate the risk of banks' credit portfolios. These instruments are of specific interest as they, first, call for a determination of the whole loss distribution of a credit portfolio and not only for a few moments. Second and even more interesting, this loss distribution is carved into senior, mezzanine and junior tranches according to the needs and risk attitudes of the bank and the market.
Inhaltsverzeichnis
1 Introduction.- 1.1 Securitisation: traded portfolio credit risk.- 1.2 Contributions of the study.- 1.3 Outline of the study.- 2 Credit Risk Securitisation: Structures and Risk Factors.- 2.1 From cash-flow allocation to default loss transfer.- 2.2 Classification of structures.- 2.3 Literature review: modelling underlying portfolio credit risk.- 3 Underlying Credit Risk: a Reduced-Form Factor Model.- 3.1 Defaultable bond pricing.- 3.2 Factor model specification.- 4 Model Estimation.- 4.1 Outline of the estimation approach.- 4.2 Bond data for corporate spread estimation.- 4.3 Obtaining implied corporate spreads.- 4.4 Factor process estimation.- 4.5 Explanatory power of the model.- 4.6 Summary of results.- 5 CDOs: Valuation and Model Specification.- 5.1 A basic valuation model.- 5.2 Comparative-static analysis of model parameters.- 5.3 Summary of results.- 6 The Relevance of Credit Enhancements.- 6.1 Effect on tranche loss allocation.- 6.2 Spread accounts: dynamic improvement of overcollateralisation ratios.- 6.3 Full-portfolio risk transfer.- 6.4 Synthetic partial portfolio risk transfer.- 6.5 Summary and evaluation of the hedging quality of spread accounts.- 7 Empirical Pricing Comparison: the Case for Synthetic CBOs.- 7.1 Market environment and sample selection.- 7.2 Sample transactions.- 7.3 Rating assessments and tranche valuation.- 7.4 Discussion.- 8 Conclusion.- A Annotations to the CIR Model.- B Outline of the Kalman Filter Recursion.- C Complementary Tables.
Über den Autor / die Autorin
Dr. Antje Schirm ist wissenschaftliche Mitarbeiterin von Prof. Dr. Dr. h.c. Wolfgang Bühler am Center for Doctoral Studies in Economics and Management (CDSEM) und am Lehrstuhl für Finanzierung der Universität Mannheim.
Zusammenfassung
Credit risk has become the central focus of risk management in the last decade for a num ber of reasons. First, for a typical continental bank, credit risk is still the predominant risk category. Second, the new Basel Capital Accord of June 2004 allows for more advanced methods to assess the risk related with a bank's credit portfolio. Third, the markets to reallocate credit risk between agents experience the highest growth rate of all derivative markets. Fourth, from a theoretical and an empirical point of view, the modelling and valuation of credit risk is a more demanding problem than the analysis of market risk. Especially, the appropriate modelling of correlation effects, e.g. the correlation between defaults of different creditors or between default probabilities and recovery rates, is'still not satisfactory resolved. Collateralised Debt Obligations (CDOs) represent important derivatives to synthesise and reallocate the risk of banks' credit portfolios. These instruments are of specific interest as they, first, call for a determination of the whole loss distribution of a credit portfolio and not only for a few moments. Second and even more interesting, this loss distribution is carved into senior, mezzanine and junior tranches according to the needs and risk attitudes of the bank and the market.
