风险管理新环境(ppt 41页)

两个热门话题
Two Current Hot Topics
The Game(新游戏)
Credit Risk, more specifically (信用风险)
Credit Derivatives (信用衍生品)
The Game Field (新环境)
New Regulatory Environment, more specifically (新监管要求)
 Basel II (巴塞尔协议)
What is Credit Derivative什么是信用衍生品
What is Credit Risk (什么是信用风险)
The risk that a company is unable/unwilling to make promised payment (不能按时支付)
What are Credit Derivatives (什么是信用衍生品)
Financial products that price & transfer credit risk (用于转移信用风险的金融产品)
Credit Default Swap (CDS), Asset Swap
Cash Flow Collateral Debt Obligation (CDO), Synthetic CDO
Nth-to-default baskets, Single Tranche CDO, CDO Option
Standardized Index Tranches, CDO Squared
Popular Dow Jones CDX.HY (Dow Jones 推出的CDS指数之一)
100 liquid BB/B-rated CDS ENTITIES, equally weighted. (一百家高风险公司组成)
Reset every 6 months
5 year is the most common maturity
Over 20 industries
Standardized 6 Loss Tranches (六个标准断)
0-3% Equity, 3%-7%, 7%-10%, 10%-15%, 15%-30%, 30%-100%
Investors buy & trade these tranches, just like buying stocks or any other financial products (象一般投资一样买卖)
HY stands for High-Yield (there is also CDX.IG for Investment Grade with 125 names) (Dow Jones还有其他指数)

 

 

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