文档介绍：Outline
Overview
Market Concerns
Credit Risk Limits
Credit Risk Models
Credit Risk Diversification
Credit Risk Management Process
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Overview: Current State of the Credit Market
Although Fixed e has recently outperformed equity, the Corporate Bond market has severely underperformed Treasuries
The market has experienced rising defaults, downgrades, and an unprecedented number of Investment Grade credits falling into High Yield (. “Fallen Angels”)
“Fallen Angels” are overwhelming the High Yield market as they number 14 of the top 25 issuers prise 20% of the total amount outstanding in High Yield
/Energy have been at the core of the fundamental deterioration in credit with outsized spending to meet unrealistic demand expectations and aggressive expansions into energy trading in utilities
Extreme market volatility and limited liquidity best characterizes the current state of the corporate bond market
Banks are restricting access to liquidity and the resulting illiquidity is contributing to the credit market’s volatility
Portfolio diversification is difficult to achieve given that 33% of amount outstanding and 42% of new issue volume are in the the top 25 names
Survival depends on minimizing the occurrence and magnitude of distressed credits
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Market Concerns
What is contributing to the current credit volatility?
Bear equity market and corporate scandals
Credit recession (stressed credit market)
Liquidity crisis
Historically low rates
Economic recovery unclear
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A Bear Market in Equity
Volatility at historic highs since 1997
3+ years upside of technology bubble
years of bubble bursting and corporate scandals
Volatility measure of “% days per year S&P 500 Index moved greater than +/- 1%” in August 2002 was 43% versus 22% historic average since 1925
Current downturn deepest since 1973-74 and longest since 1929-32 or 1946-49
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