(1) S

1
??? ??????

• ??????
• 1??????????
• (1) SP ????
• ?SP ?????,AAA????(??)??????AA, A, BBB, BB,
  B, and CCC
• (2) Moody ????
• ?Moody ?????, Aaa ????(??)??????Aa, A, Baa,
  Ba, B, and Caa

2
2??????????

• (1)BBB (or Baa) ??????????(?BBB ), BBB (or Baa)
  ???????????? (???????Junk Bonds)?
• (2)????? or -? 1,2 or 3???
• ??????SP???? ? -?? ,??,?????
  ?????BBB?,???????? BBB?,??????,???????A??
• ???????Moody????1,2 or 3??? , 1???????,
  2???????,3??????????,????? ?????Baa1 ?,????????
  BBB?,??????,???????A??

3
??????(Credit Spreads)

• 1???????
• ??????????????(zero curve)????????????????
• y(t, T)???????????(function of T),????????????????
  ?????
• 2???
• ?????A ?????????????????,??????????????,????????
  ??????,???,5???????????????????????
• 5.95 - 5 95 bps

4
(No Transcript)
5
?????????

• 1???????????
• Merton????????????????????,????,????Merton???,
  ????????????,?????????????,??,???????????????????
• ??Black and Scholes model???,?????????????????,?
  ????????????????
• ? P ?????100??????t???????? ???????
• ht x ?t t ? t ?t???????????
• Lt ????????,???????????
• ??

6
  

•  
• ???????,?
• ??,????P?
• PRiskFreeBondPrice-(ExpectedLoss)
  RiskFreeBondPrice

7
2?Example

• ????,?
• (1)?????????  (principal1)
•  
• (2)??????????? (principal1)
• ??,???????0.2497 (1-0.9489/0.9512)
• ???,?????????????????????????
• (ExpectedLoss) 0.2497

8
2?Example

• (3)???,??A??????????????????
• ?0.9950 ????
• ???????????????? 0.7453 ?
• 0.7453 0.9950 - 0.2497
• ???????,?????????  
•     
•  

9
 

10
3?????

• ??????????,??????
• H(T1,T2) ???(??)?,??T1 ?T2?????????
• y (T ) ????T???????????
• y (T )????T??????????
• P (T ) ?T?? ?1??????????
• P(T )?T?? ?1?????????
• ???????????????
•  ??,
•   ? 
• ???,

11
Example

• ??5??10???BBB??????????????????????130 bps ?170
  bps.
• ??????,
• ??,H(5,10) 0.1563-0.629 0.0934.
• ?, ???BBB???????,??5???10????????????????9.34?

12
??????

• ???????????????????????
• ???????????????
• Average Cumulative Default Rates ()
• (SP Credit, April 15, 1996, Hull Table 23.2,
  page 627)
•   

13
??????????????

• 1??????????????????????????????????
•  ??A??????????????????????????50
  bps?????,?5-year period???,????????????2.47 (
  )?
•      ?????????30 (L5-year70).,????????
• ht? t ( ExpectedLoss) / Lt
  2.47/0.7 3.53.
• ??0.67 ???????5??
• 2??????????
• (1)????????????
• (2)??????????????????????20???????

14
(3)?????????

• ?????????????????????????????????????????????????
  ?,???????45 bps (50bps-0.7 x 0.67)
• ??????????????
• ?????????????,????????????????????????,?????????
  

15
???????

•  ?????(???????)?????????????????????????????
  ??????????????
• ?????????
• 1????????????????????
• 2????????????,?????????5???????,???????????????
  ????????????????????(????????)?

16
??????

•   ???????????????????????????????????????
• ??,???????????????,10????1988??6??????,???????????
  ???????????8 (????????)?
• ????????????, ??????????????,??????????????,??,???
  ?????????
• ????????????,???????????????????,???????,??????
  ?????????,???????????

17
?????????

• 1??????(Total Return Swaps )
• ????????,??????????????( payer and a receiver
  )?
• ??????,?????????????????,??????????????(???????)?
  ???,?????????????????????(payments),? 3-month
  LIBOR??? ?
• ???????????????????????????????????
• ???????????????????(??????)????,??????????????????
  ?????????????????,??,?????????????????????????????
  ?,????????????

18
Example.

• ??Textron????? 10 years????????,?????LIBOR
  60bps ????????99 ½,????????3?????,???????LIBOR
  100bp(3????????),??Textron?????
• ???????Textron?????????????????????
• ?????????LIBOR 25bp ,????????????????????????,??
  ????????  
• ??Textron?????????,????????,?????????????
• ??Textron?????????,????????,???????????

19
2???????

• ?????????????????????????
• ????????????????????,?????????????????????????????
  ??????????????,?????????????????
• ?????????????????????(??????????),????????????????
  ?????????,????????????????????

20
3???????

• ???????????????????????? ?????????????????,???????
  ?? (?,? A ? BBB for instance) ??????
• ???????????????????????????????????????,???????,
  ?????????????????????????? ?????????????????????

21
4???????

• ????????, ????(??)???????????????,????????????
• ??,????????,??? Seattle,??? Miami
  ????????????,??,???????????, ???????????????,?????
  ????????????????????? ????????,?????? New
  York??? AAA ???????????????????????????? Seattle
  ?????New York ???5.0 ???,???LIBOR????? ?The
  Miami?????New York ???LIBOR 10bp
  ???,??5.0??????? ?????????New York ?????, New
  York ????10bp??????????????????? ?

22
5????????(Credit spread Derivatives)

• ?????????????????????????
• ???????????????,???????????????,?????????????????
  ???????????,?????????,??????????????????,?????????
  ???