摘要 引言 信贷产品 法规和文档(Legal and Documentation) 行业规范（Regulatory environment) 复杂信贷产品 定价，计算技术和对冲(Hedge) 风险管理 2018/12/31

引言 风险市场（credit risk market) 信贷衍生产品(credit derivatives) 公司债券 一种能把信贷风险从基础资产中剥离出来，便于交易和管理的衍生工具 基本功能： 风险有效转换，聚集，分散和重新包装 2018/12/31

信贷衍生产品的增长 单个信贷 CDS 信贷指数 相关性 波动性 Source: ISDA 2018/12/31

市场的参与者 Due to various constraints faced by originator of assets, pool os assets and loans cannot be transferred on a clean sale basis. Therefore we use credit deriv technology to transfer credit and economic risk to an SPV. SPV transfer credit risk on an finded or unfunded basis. Banks trying to optimize capital requirements for pool of assets. Basle I classified all loans as equal risk weighted. Source:BBA 2003/2004 survey 2018/12/31

市场的参与者 2018/12/31

信贷衍生产品的创新 Due to various constraints faced by originator of assets, pool os assets and loans cannot be transferred on a clean sale basis. Therefore we use credit deriv technology to transfer credit and economic risk to an SPV. SPV transfer credit risk on an finded or unfunded basis. Banks trying to optimize capital requirements for pool of assets. Basle I classified all loans as equal risk weighted. Source:BBA 2003/2004 survey 2018/12/31

交易的产品？ 信贷违约互换(Credit Default Swap, CDS) 完全收益互换(Total Return Swap, TRS) 信贷短期债券(Credit Linked Note, CLN) 信贷组合互换/债券 First-to-default basket, nth-to-default basket 信贷组合批次债券 信贷产品创新 Option, futures, indices, constant maturity etc. 2018/12/31

市场最新发展 CDS matching and confirmation Standardisation of documentation Tradable Credit fixings Market regulation 2018/12/31

摘要 引言 信贷产品 法规和文档(Legal and Documentation) 行业规范（Regulatory environment) 复杂信贷产品 定价，计算技术和对冲(Hedge) 风险管理 2018/12/31

信贷违约互换(CDS) Protection 买家 Protection 卖家 银行甲 银行乙 某公司债券 信贷溢价 credit spread 违约事件发生时 100 债券 2018/12/31

信贷短期债券(CLN) 6% + 100 息票+到期本金（没有违约） 2.4% Special Purpose Vehicle (SPV) CDS 100（开始时） 3.6% + 100 100（开始时） 利率互换 2018/12/31

摘要 引言 信贷产品 法规和文档(Legal and Documentation) 行业规范（Regulatory environment) 复杂信贷产品 定价，计算技术和对冲(Hedge) 风险管理 2018/12/31

信贷组合第一个违约互换(FTD) Protection 买家 Protection 卖家 银行甲 银行乙 公司1债券 …… 公司5债券 信贷溢价 credit spread 违约事件发生时 100 违约债券 2018/12/31

衍生债务抵押债券 (CDO) Assets Liabilities Purpose Vehicle - Cash “True Sale” Credit Risk Transfer through: - Cash “True Sale” - Synthetic using “Credit Default Swaps” Ratings Senior Class A Diversified Pool of , typically, fixed income assets AAA Credit Tranched Securities Special Purpose Vehicle Transfer Mezzanine Class B/C/D AA to BBB Not Rated Subordinated Credit Risk Transfer for: - Balance Sheet Management - Credit Arbitrage Assets may comprise: Investment Grade Bonds / Loans HY Bonds Leveraged Loans Emerging Market Debt ABS / MBS CDO : Collateralized “Debt” Obligations, more encompassing term than other terms such as CBO (“Bonds”) and CLOs (“Loans”) The above is indicative capital structure only 2018/12/31

衍生债务抵押债券的特点 Efficient Portfolio Diversification Tool Gain Access to Assets, Otherwise Difficult to Access Choose Tranche depending upon Risk Appetite Customized “Portfolio” meets Investors’ Requirements Higher Spread than similarly Rated Assets Investors receive higher spread premium relative to single name investments for a similar level of risk 2018/12/31

摘要 引言 信贷产品 法规和文档(Legal and Documentation) 行业规范（Regulatory environment) 复杂信贷产品 定价，计算技术和对冲(Hedge) 风险管理 2018/12/31

CDS公平溢价 违约概率(p) 恢复率(recovery rate) CDS 现金流 Fixed leg S Floating leg 2018/12/31

Semi-analytic Model for STCDO n obligors Random vector of default time: α1,…, αn Joint Distribution and Survival functions: F(t1,…tn)=Q(α1≤t1,…, αn ≤tn) S(t1,…tn)=Q(α1>t1,…, αn >tn) Q – pricing measure F1,…,Fn; S1,…,Sn; marginal distribution and survival functions Copula function C: F(t1,…tn)=C(F1(t1), …, Fn(tn)) Ei – nominal; δi – recovery rate; Mi = Ei * δi – loss given default; A latent factor V such that conditionally on V, default times are indep: pti|V = Q(αi ≤t | V) cond default prob; qti|V = Q(αi >t | V) cond survival prob; So cond joint survival prob: S(t1,…tn | V)=∏ qtii|V 2018/12/31

STCDO (continued) Aggregated loss process: L(t) = ∑ Mi Ni(t) Ni(t) -- default indicator process PV of default leg = E[ (L(t)-K)+ ], where K is the tranche’s attachment Semi-analytic techniques applied for the computation of loss expection FFT and recursive How to represent default time? 2018/12/31

David Li’s 1-factor model Gaussian vector, v1, …, vn Gaussian cdf 2018/12/31

Stochastic Correlation Correlation parameters Stochastic Correlation Independent stochastic correlation with distribution function F 2018/12/31

Student t Copula W ---- independent from the 2nd part and an inverse Gamma distribution with parameters equal to v/2. V, ----- independent Gaussian random variables. ---- the distribution function of the standard univariate Student t 2018/12/31

Double t Copula Proposed recently by Hull & White (2004) Latent variables: --- independent t-distribution random variables. --- degrees of freedom for Default time: 2018/12/31

Clayton Copula Consider a positive random variable V (1-fatcor), std. Gamma distribution with Shape parameter of Independent uniform random variables also independent from V Default time. 2018/12/31

摘要 引言 信贷产品 法规和文档(Legal and Documentation) 行业规范（Regulatory environment) 复杂信贷产品 定价，计算技术和对冲(Hedge) 风险管理 2018/12/31

市场风险管理(market risk) Credit VaR Interest rate risk monitor 2018/12/31

信贷风险管理(credit risk) 多维性信贷风险控制 信贷证券组合的风险分析 2018/12/31

国内金融资产结构 国内金融市场融资结构(2003) 直接金融 (2003 12515亿） 贷款 3万亿 (85%); 直接融资 5340亿(15%):股票、国债、企业债券 直接金融 (2003 12515亿） 政府债券比重 ：6280亿元（占比50.2％） 政策性银行金融债发行4520亿元（占比36.1％） 股票发行1357亿元（占比10.8％） 企业债券发行量358亿元（占比2.9％） 2018/12/31

2003年直接融资比重 2018/12/31

CD离我们有多远？ 建立风险产品交易市场 吴晓灵:稳步发展企业债券市场 优化金融资产结构 (2005-01，第九届中国资本市场论坛 ） 周小川：国有商行改制后如何抑制不良贷款增长(2004-07-26 　中国经济周刊 ) 吴晓灵:稳步发展企业债券市场 优化金融资产结构 (2005-01，第九届中国资本市场论坛 ） 苏宁：科学规划 统筹安排 积极推进中国债券市场发展 （2005年6月26日首届中国债券市场论坛 ） 周小川 ：吸取教训 以利再战 （2005年10月20日中国债券市场发展高峰会 ） 2018/12/31