An Integrated Approach to Credit Risk Management and the Valuation of Credit Derivatives

信用风险管理和信用衍生品估值的综合方法

• 批准号: LP0455464
• 负责人: Prof Erik Schlogl
• 金额: $ 5.82万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2005
• 资助国家: 澳大利亚
• 起止时间: 2005-03-22 至 2008-03-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0455464
• 关键词: Integrated; Approach; Credit; Risk; Management

Financial positions subject to risk of default typically involve three components: risk which is traded, diversifiable or neither. The project will analyse the relationship of these default risk components by rigorously modeling default dependence between obligors and harnessing the information in liquid market prices, such as credit spreads. On the basis of risk capital allocation, it will eliminate the arbitrariness in pricing non-traded risks. This will yield an integrated credit risk management methodology ready for the next generation of regulatory requirements currently under discussion by the Basel Committee on Banking Supervision.

面临违约风险的金融头寸通常涉及三个组成部分：可交易风险、可分散风险或两者都不是。该项目将通过严格建模债务人之间的违约依赖性并利用流动市场价格（例如信用利差）中的信息来分析这些违约风险组成部分的关系。在风险资本配置的基础上，消除非交易风险定价的随意性。这将产生一个综合的信用风险管理方法，以满足巴塞尔银行监管委员会目前正在讨论的下一代监管要求。