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1、PortfolioCreditRiskThomasC.WilsonINTRODUCTIONANDSUMMARYInordertotakeadvantageofcreditportfolioFinancialinstitutionsareincreasinglymeasuringandman-managementopportunities,however,managementmustagingtheriskfromcreditexposuresattheportfoliolevel,firstanswersev
2、eraltechnicalquestions:Whatistheriskinadditiontothetransactionlevel.Thischangeinper-ofagivenportfolio?Howdodifferentmacroeconomicspectivehasoccurredforanumberofreasons.Firstisthescenarios,atboththeregionalandtheindustrysectorrecognitionthatthetraditionalbin
3、aryclassificationoflevel,affecttheportfolio’sriskprofile?Whatistheeffectofcreditsinto“good”creditsand“bad”creditsisnotsuffi-changingtheportfoliomix?Howmightrisk-basedpricingcient—apreconditionformanagingcreditriskattheport-attheindividualcontractandtheportf
4、oliolevelbeinflu-foliolevelistherecognitionthatallcreditscanpotentiallyencedbythelevelofexpectedlossesandcreditriskcapital?become“bad”overtimegivenaparticulareconomicsce-Thispaperdescribesanewandintuitivemethodnario.Thesecondreasonisthedecliningprofitabilit
5、yofforansweringthesetechnicalquestionsbytabulatingthetraditionalcreditproducts,implyinglittleroomforerrorexactlossdistributionarisingfromcorrelatedcrediteventsintermsoftheselectionandpricingofindividualtransac-foranyarbitraryportfolioofcounterpartyexposures
6、,downtions,orforportfoliodecisions,wherediversificationandtotheindividualcontractlevel,withthelossesmeasuredtimingeffectsincreasinglymeanthedifferencebetweenonamarked-to-marketbasisthatexplicitlyrecognisestheprofitandloss.Finally,managementhasmoreopportuni-
7、potentialimpactofdefaultsandcreditmigrations.1Thetiestomanageexposureproactivelyafterithasbeenorigi-importanceoftabulatingtheexactlossdistributionisnated,withtheincreasedliquidityinthesecondaryloanhighlightedbythefactthatcounterpartydefaultsandrat-market,th
8、eincreasedimportanceofsyndicatedlending,ingmigrationscannotbepredictedwithperfectforesighttheavailabilityofcreditderivativesandthird-partyguar-andarenotperfectlycorrelated,implyingthatmanage-antees,and
