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

面临违约风险的金融头寸通常包括三个组成部分：交易风险、可分散风险或两者都不存在。该项目将通过对债务人之间的违约相关性进行严格建模，并利用信用利差等流动性市场价格中的信息，来分析这些违约风险成分之间的关系。在风险资本配置的基础上，消除非交易风险定价的随意性。这将产生一种综合的信用风险管理方法，为巴塞尔银行监管委员会目前正在讨论的下一代监管要求做好准备。

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.