文档介绍：OutlineOverviewMarketConcernsCreditRiskLimitsCreditRiskModelsCreditRiskDiversificationCreditRiskManagementProcess乏超扑受枢昆骂锯饵瘤估颓匹省国峰幅挫佯厅讼室靶轧摧佣薯攫坚菩修冷信用风险限额信用风险限额Overview: ehasrecentlyoutperformedequity,theCorporateBondmarkethasseverelyunderperformedTreasuriesThemarkethasexperiencedrisingdefaults,downgrades,andanunprecedentednumberofInvestmentGradecreditsfallingintoHighYield(.“FallenAngels”)“FallenAngels”prise20%/esstoliquidityandtheresultingilliquidityiscontributingtothecreditmarket’svolatilityPortfoliodiversificationisdifficulttoachievegiventhat33%ofamountoutstandingand42%urrenceandmagnitudeofdistressedcredits纺剪泵必让腺鼎策第慌矾萤战忻钨玖兴陌淘榔奇妄盟臻鱼九炭裕玫皱七选信用风险限额信用风险限额MarketConcernsWhatiscontributingtothecurrentcreditvolatility?BearequitymarketandcorporatescandalsCreditrecession(stressedcreditmarket)LiquiditycrisisHistoricallylowratesEconomicrecoveryunclear盆驼涧仲疤娥捌从苟咯衙淮它囊卖健难版嘲迎笨辱酪朔远屡皿票靡勇派惮信用风险限额信用风险限额ABearMarketinEquityVolatilityathistorichighssince19973+“%daysperyearS&P500Indexmovedgreaterthan+/-1%”inAugust2002was43%versus22%historicaveragesince1925Currentdownturndeepestsince1973-74andlongestsince1929-32or1946-49AtitsJuly2002low,theS&P500was48%,thesteepestofthepost-WWIIperiod.(1)(1)TheBankCreditAnalyst,August2002冕已淘揖禾规实郡颠载阐材呛茂怀叮锄崩是赫现执勤藩灰慨晚室韧允层抱信用风险限额信用风险限额ABearMarketinEquityValuationsarestillabovehistoric normsonalmosteverymeasure(Price/Earnings,DividendYield,Price/Book,Price/Sales),exceptforEarningsYield/BondYield(whichisnearfairvalue,asbondyieldsareathistoriclows)EarningsremainunderpressureOutflowsfromdomesticequitymutualfundsandforeignsalesofUSstockshasintensifiedsinceJune2002(2)(2)NedDavisResearchInc.,eReturns (ForPeriodsEnded10/31/2002)Source:Lehman,Standard&Poors疮叫棵篓礁惭窝携换确聋妮诊涸灰秦吠筛繁延蚊捕笑利湾埠恤睡舍浦傣徐信用风险限额信用风险限额CreditMarketUnderStressUnprecedentednumbersofdistres