管理信用風險——全球金融市場的巨大挑戰（第2版） Managing Credit Risk: The Great Challenge for Global Financial Markets

本書針對專業金融人士編寫，詳細討論了全球信用市場的情況，涉及從對沖基金作為主要參與者的出現，到評級機構不斷增長的影響力等各方面。在對這些問題有了深入理解之後，讀者將閱讀到一些目前最有效的信用風險管理工具、技術和可用的工具，包括針對小型企業、房地產和新興市場公司的信用模型、信用風險建模和實踐中的違約回收率和違約損失、基於會計數據和市場價值的信用風險模型、信用風險模型的測試和實施、最流行的信用衍生品形式，以及用於分析交易對手信用風險的方法等。在討論信用風險管理的同時，作者巧妙地將金融市場中的新興趨勢與所提到的新方法結合起來，這將使讀者能夠迅速將書中概述的教訓應用於當今充滿活力的信用環境。

第1 章 信用風險：全球經濟的巨大挑戰 ·························································.1
1.1 改變對信貸的態度 .................................................................................................. 2
1.2 越來越多的國家借貸 .............................................................................................. 4
1.3 更多的杠桿，更多的機會，更多的風險 ............................................................ 6
1.4 銀行業的黃金時代 .................................................................................................. 8
1.5 由市場驅動的信用風險定價 ................................................................................. 9
1.6 信用管理對全球經濟至關重要 ............................................................................11
1.7 新的交易，新的風險 ............................................................................................ 12
1.8 新貸款人 ................................................................................................................ 13
1.9 管理信用風險的新方法 ....................................................................................... 14
1.10 技術拯救 .............................................................................................................. 15
原書參考文獻 ................................................................................................................. 16
第2 章 信用文化 ····················································································.18
2.1 一個現代化的風險管理框架 ............................................................................... 20
2.2 工作中的信用文化 ................................................................................................ 22
2.3 高盛：通過信用文化進行管理 ........................................................................... 23
2.4 摩根大通：根據傳統塑造新文化 ....................................................................... 26
2.5 是什麽讓信用文化發揮作用 ............................................................................... 28
原書參考文獻 ................................................................................................................. 30
第3 章 傳統金融行業參與者：銀行、儲蓄機構、保險公司、金融公司和
特殊目的實體 ··············································································.32
3.1 銀行及儲蓄機構 .................................................................................................... 34
3.2 競爭、集中和變化 ................................................................................................ 35
3.3 經驗和教訓 ............................................................................................................. 39
3.4 流動性：一種銀行特有的資源 ........................................................................... 40
3.5 保險公司 ................................................................................................................. 41
3.6 金融公司 ................................................................................................................. 42
3.7 特殊目的實體 ........................................................................................................ 44
原書參考文獻 .................................................................................................................. 45
第4 章 組合管理者：投資管理者、共同基金、養老基金和對沖基金 ···················.46
4.1 固定收益投資組合策略 ........................................................................................ 47
4.2 對沖基金 ................................................................................................................. 51
原書參考文獻 .................................................................................................................. 52
第5 章 結構化中樞：清算所、衍生產品交易商和交易所 ·································.53
5.1 交易所 ..................................................................................................................... 54
5.2 清算所 ..................................................................................................................... 55
5.3 凈額結算、抵押品和信用降級觸發器 ............................................................... 58
5.4 信用衍生產品公司 ................................................................................................ 59
5.5 結構化中樞的局限性 ............................................................................................ 60
原書參考文獻 .................................................................................................................. 61
第6 章 評級機構 ................................................................................................................... 63
6.1 遍及世界各地的評級機構 .................................................................................... 64
6.2 經評級發行債券的數量增長 ............................................................................... 66
6.3 評級過程 ................................................................................................................. 69
6.4 信用評級的業績表現 ............................................................................................ 71
6.5 信用評級與監管者 ................................................................................................ 76
6.6 新興趨勢 ................................................................................................................. 77
原書參考文獻 .................................................................................................................. 79
第7 章 古典信用分析 ·············································································.81
7.1 信用分析是一個專家系統 .................................................................................... 82
7.2 將分析重點從資產負債表轉向現金流 ............................................................... 82
7.3 信用分析：“上帝”在細節中 ............................................................................. 83
7.4 財務比率：沙灘上的腳印 ................................................................................... 86
7.5 中長期借款的行業分析 ....................................................................................... 88
7.6 傳統的信貸基礎依然存在，但銀行業實踐已經向前發展 ............................. 89
7.7 你可以吃蛋糕，但只能吃一小塊 ....................................................................... 90
原書參考文獻 ................................................................................................................. 91
第8 章 資產保證型貸款和融資租賃 ····························································.92
8.1 風險管理 ................................................................................................................ 94
8.2 越來越多的尊重 .................................................................................................... 96
8.3 資產保證型貸款的替代品 ................................................................................... 96
8.4 融資租賃 ................................................................................................................ 97
8.5 證券化和杠桿收購的根源 ................................................................................... 98
8.6 有利的結果 ............................................................................................................ 98
原書參考文獻 ................................................................................................................. 99
第9 章 信用風險模型簡介 ·······································································.100
9.1 模型——誰需要它們 .......................................................................................... 101
9.2 模型分類 .............................................................................................................. 101
9.3 投資組合管理模型 .............................................................................................. 105
9.4 重點前瞻 .............................................................................................................. 107
原書參考文獻 ............................................................................................................... 108
第10 章 基於會計數據和市場價值的信用風險模型 ········································.109
10.1 專家系統和主觀分析 ....................................................................................... 110
10.2 基於財務數據的信用評分系統 ....................................................................... 110
10.3 從單變量模型到多變量模型 ............................................................................ 111
10.4 Altman 的Z-Score 模型（1968） ................................................................... 112
10.5 Z-Score 模型和債券評級 ................................................................................. 115
10.6 非上市公司的Z ‘-Score 模型 ........................................................................... 116
10.7 非製造企業的Z" -Score 模型 .......................................................................... 117
10.8 新興市場評分模型與評分過程 ....................................................................... 118
11.12 KMV 模型的改良（1995—2006 年） ......................................................... 160
11.13 結束語 ............................................................................................................... 160
原書參考文獻 ............................................................................................................... 161
第12 章 消費者金融模型 ········································································.164
12.1 消費者信用評分模型 ....................................................................................... 167
12.2 消費者信用評分模型的設計 ........................................................................... 170
12.3 模型充分性的檢驗 ............................................................................................ 172
12.4 樣本外檢驗 ........................................................................................................ 174
12.5 優點和缺陷 ........................................................................................................ 174
12.6 動態信用風險管理系統 ................................................................................... 176
12.7 決策樹模型 ........................................................................................................ 178
12.8 神經網絡模型 .................................................................................................... 178
12.9 建立基於市場份額的信用評分模型 .............................................................. 179
12.10 下一步 .............................................................................................................. 180
原書參考文獻 ............................................................................................................... 181
第13 章 小企業、房地產和金融機構的信用模型 ···········································.183
13.1 小企業模型 ........................................................................................................ 183
13.2 住宅房地產模型 ................................................................................................ 185
13.3 商業房地產模型 ................................................................................................ 188
13.4 銀行模型 ............................................................................................................ 189
13.4.1 資產質量 .............................................................................................. 189
13.4.2 管理 ...................................................................................................... 190
13.5 異常臨界比率：離群值/匹配組 ...................................................................... 191
13.6 多變量或綜合測度 ............................................................................................ 191
13.7 基於市場價值的測度 ....................................................................................... 192
原書參考文獻 ............................................................................................................... 193
第14 章 信用風險模型的測試與實施 ··························································.195
14.1 內在信用價值模型 ............................................................................................ 196
14.2 有效模型的組成部分 ....................................................................................... 197
14.2.1 風險事件的定義 ................................................................................. 197
14.2.2 目標群體 .............................................................................................. 198
14.2.3 模型開發質量 ...................................................................................... 198
14.2.4 模型穩定性 .......................................................................................... 199
14.2.5 違約模型的預測能力 ......................................................................... 200
14.2.6 追蹤記錄 .............................................................................................. 201
14.2.7 模型對非上市公司的適用性 ............................................................. 202
14.2.8 模型識別 .............................................................................................. 202
14.2.9 《巴塞爾協議Ⅱ》與模型驗證 ......................................................... 203
14.2.10 實施 .................................................................................................... 203
14.2.11 引導測試 ............................................................................................ 204
14.3 信用風險模型的發展 ........................................................................................ 204
原書參考文獻 ................................................................................................................ 206
第15 章 關於公司違約率 ········································································.207
15.1 高收益債券違約率 ............................................................................................ 208
15.2 死亡率和累積違約率 ........................................................................................ 211
15.3 比較累積違約率 ................................................................................................ 215
15.4 違約年限 ............................................................................................................. 217
15.5 “墮落天使”的違約 ........................................................................................ 218
15.6 行業違約 ............................................................................................................. 220
15.7 預測違約率......................................................................................................... 223
15.8 基於發行人的違約率預測................................................................................ 223
15.9 基於美元的死亡率方法 .................................................................................... 224
15.10 關於預測違約率的最後一點說明 ................................................................. 225
15.11 杠桿貸款違約率 .............................................................................................. 225
15.12 結構化金融產品違約率 .................................................................................. 227
原書參考文獻 ................................................................................................................ 229
第16 章 信用風險建模與實踐中的違約回收率和違約損失率 ····························.231
16.1 引言 ..................................................................................................................... 231
16.2 第一代結構化模型：默頓模型 ....................................................................... 232
16.3 第二代結構化模型 ............................................................................................ 233
16.4 簡約化模型......................................................................................................... 234
16.5 信用風險價值模型 ............................................................................................ 236
16.6 PD-RR 關系的最新研究成果及其影響 ......................................................... 237
16.7 相關結果的影響和低迷期LGD ..................................................................... 240
16.8 一些參考資料 .................................................................................................... 242
16.9 回收率評級 ........................................................................................................ 243
16.10 回收率和順周期性 .......................................................................................... 245
16.11 進一步的經驗證據 .......................................................................................... 245
16.11.1 早期的經驗證據 ............................................................................... 246
16.11.2 更多的近期證據 ............................................................................... 247
16.12 結束語 .............................................................................................................. 251
原書參考文獻 ............................................................................................................... 252
第17 章 信用風險遷移 ···········································································.258
17.1 跟蹤評級遷移的方法 ....................................................................................... 260
17.2 評級變化的及時性和準確性 ........................................................................... 261
17.3 評級遷移結果比較 ............................................................................................ 262
17.4 對結果的影響 .................................................................................................... 266
17.5 信用風險遷移與貸款損失 ............................................................................... 268
17.6 未來的發展方向 ................................................................................................ 268
原書參考文獻 ............................................................................................................... 268
第18 章 投資組合方法介紹 ·····································································.271
18.1 當其他條件相同時，分散是最優的方法 ...................................................... 272
18.2 多個小賭註與一個大賭註 ............................................................................... 272
18.3 在信用投資組合中實施標準投資組合的問題 .............................................. 275
18.4 收益分佈 ............................................................................................................ 277
18.5 持有期 ................................................................................................................ 278
18.6 缺乏價格數據 .................................................................................................... 278
18.7 缺乏良好的數據 ................................................................................................ 279
18.8 相關矩陣的求解 ................................................................................................ 281
18.9 當前的投資組合方法 ....................................................................................... 282
18.10 預期損失與意外損失 ..................................................................................... 282
18.11 資本使用最優化 .............................................................................................. 286
18.12 不同的目標 ...................................................................................................... 288
原書參考文獻 ................................................................................................................ 289
第19 章 經濟資本與資本配置 ........................................................................................... 291
19.1 定價機制的使用 ................................................................................................ 292
19.2 銀行家們在資本配置方面的創新 ................................................................... 296
19.3 風險價值 ............................................................................................................. 300
19.4 經濟資本和監管資本 ........................................................................................ 301
19.5 經濟資本的估算與優化 .................................................................................... 302
原書參考文獻 ................................................................................................................ 303
第20 章 投資組合方法的應用 ··································································.305
20.1 MKMV 資產管理 .............................................................................................. 308
20.2 最優投資組合和有效邊界理論 ....................................................................... 308
20.3 信用評估的風險中性定價................................................................................ 309
20.4 資產價值的影響因素 ........................................................................................ 311
20.5 CreditMetrics ...................................................................................................... 313
20.6 違約相關性的處理 ............................................................................................ 316
20.7 CreditMetrics 的實踐與應用——CreditManager ........................................... 319
20.8 對CreditMetrics 的評價 .................................................................................... 320
20.9 CreditRisk+ .......................................................................................................... 321
20.10 麥肯錫公司的Wilson 模型 ............................................................................ 322
20.11 鐮倉公司的違約和概率模型 ......................................................................... 323
20.12 Altman 的優化方法 ......................................................................................... 324
20.13 投資組合風險和考慮意外損失的有效邊界 ................................................ 328
20.14 考慮意外損失下的投資組合風險 ................................................................. 330
20.15 Altman 投資方法的實證結果 ........................................................................ 331
20.16 銀行調控和投資組合建模 ............................................................................. 332
20.17 信用投資組合技術的未來 ............................................................................. 335
原書參考文獻 ................................................................................................................ 337
第21 章 信用衍生產品 ···········································································.343
21.1 信用衍生產品的一個例子................................................................................ 345
21.2 信用衍生產品的結構形式 ............................................................................... 347
21.2.1 信用違約互換 ..................................................................................... 348
21.2.2 合成擔保債務憑證 ............................................................................. 349
21.2.3 總收益率互換 ..................................................................................... 349
21.2.4 信用關聯票據 ..................................................................................... 350
21.2.5 指數互換 .............................................................................................. 351
21.3 信用衍生產品對風險空頭的作用 ................................................................... 351
21.4 信用衍生產品對風險買方的作用 ................................................................... 353
21.5 信用衍生產品的應用 ....................................................................................... 354
21.6 信用衍生產品並不是完美的 ........................................................................... 355
21.7 信用衍生產品的監管觀點 ............................................................................... 357
21.8 信用衍生產品的信用風險 ............................................................................... 358
21.8.1 交易對手風險 ..................................................................................... 358
21.8.2 風險模型 .............................................................................................. 359
21.9 信用衍生產品的估值 ....................................................................................... 360
21.10 目前的定價實踐 .............................................................................................. 361
原書參考文獻 ............................................................................................................... 364
第22 章 交易對手風險 ···········································································.365
22.1 衍生產品損失 .................................................................................................... 366
22.2 交易對手信用風險的重要性 ........................................................................... 368
22.3 衍生產品風險敞口 ............................................................................................ 369
22.4 利率互換 ............................................................................................................ 369
22.5 風險敞口和預期損失的計算 ........................................................................... 371
22.5.1 風險敞口計算 ..................................................................................... 372
22.5.2 損失的計算 .......................................................................................... 372
22.6 貨幣互換交易 .................................................................................................... 375
22.7 衍生產品信用風險管理 ................................................................................... 376
22.8 凈額清算協議 .................................................................................................... 376
22.9 衍生產品信用風險的結構化金融解決方案 .................................................. 377
22.10 對現有的衍生產品信用風險評估方法的評價 ............................................ 378
22.11 將信用風險與市場風險相結合 ..................................................................... 379
原書參考文獻 ............................................................................................................... 380
第23 章 國家風險模型 ...................................................................................................... 382
23.1 歷史背景 ............................................................................................................. 383
23.2 基本面分析——關鍵比率................................................................................ 387
23.3 國家評級系統 .................................................................................................... 389
23.4 國家風險評估面臨的挑戰................................................................................ 393
23.5 黑暗中總有一線光明 ........................................................................................ 394
23.6 國家風險管理 .................................................................................................... 395
原書參考文獻 ................................................................................................................ 396
第24 章 結構化金融 .......................................................................................................... 399
24.1 資產證券化的應用 ............................................................................................ 402
24.2 發行人的收益 .................................................................................................... 403
24.3 抵押貸款證券化 ................................................................................................ 405
24.4 其他資產證券化 ................................................................................................ 407
24.5 風險分割 ............................................................................................................. 408
24.6 高風險信用融資 ................................................................................................ 413
24.7 資產支持證券剖析 ............................................................................................ 414
24.8 資產支持證券的評估 ........................................................................................ 416
24.9 對銀行業的影響 ................................................................................................ 417
24.10 結構化金融的其他應用 .................................................................................. 418
24.11 證券化的風險 .................................................................................................. 420
24.12 結構化金融技術和投資管理 ......................................................................... 422
24.13 證券化的未來 .................................................................................................. 424
原書參考文獻 ................................................................................................................ 425
第25 章 新市場，新玩家，新玩法................................................................................... 428
25.1 擔保債務憑證：擔保貸款憑證和擔保債券憑證 .......................................... 431
25.2 抵押品組合的轉變 ............................................................................................ 433
25.3 不良債權市場 .................................................................................................... 435
25.4 買方從何而來 .................................................................................................... 437
25.5 4 個玩家，改變玩法 ......................................................................................... 438
25.5.1 對沖基金 .............................................................................................. 438
25.5.2 結構化投資工具 ................................................................................. 440
25.5.3 資產抵押商業票據 ............................................................................. 443
25.5.4 信用衍生產品公司 ............................................................................. 445
25.5.5 2007 年的真正挑戰 ............................................................................ 448
原書參考文獻 ............................................................................................................... 448
第26 章 市場混亂，均值回歸 ··································································.451
26.1 流動性風險是下一個挑戰 ............................................................................... 456
26.2 信用文化的重要性 ............................................................................................ 460
原書參考文獻 ............................................................................................................... 461