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Roseline · 2020年07月08日

问一道题：NO.PZ2016082406000087

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A bank computes the distribution of its loan portfolio marked-to-market value one year from now using the CreditMetrics approach of computing values for rating transition outcomes using a rating agency transition matrix, current forward curves, and correlations among rating transition outcomes derived from stock returns of the obligors. In computing firm-wide risk using this distribution of its loan portfolio, the bank is most likely to understate its risk because it ignores

选项：

A.

The term structure of interest rates

B.

Rating drift

C.

Spread risk

D.

The negative correlation between the Treasury rates and credit spreads

解释：

ANSWER: C

CreditMetrics ignores spread risk. It does account for rating drift and the term structure of interest rates, albeit not their volatility.

老师好，这道题的答案选项是CreditMetrics model没有考虑spread risk, 题库里的NO.PZ2016082406000086这道题的选项是CreditMetrics model考虑了credit spread。而题库里NO.PZ2016082406000092这道题的答案又说KMV, CreditMetrics, CreditRisk +都没有考虑interst rates or credit spreads? 感觉86题和92题是互相矛盾的。


能否请老师把KMV, CreditMetrics, CreditRisk +， Credit Portfolio View这四个模型分别都考虑了哪些因素做个总结？感觉基础课上讲的也不是很清楚，做题的时候还遇到了好几道这样的题目。





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1 个答案

小刘_品职助教 · 2020年07月10日

同学你好，

你的困惑需要解决两个问题，

1）这四种方法的输出和过程大致是什么样的

2）你说的spread risk、credit spread 和changes in interest rate or credit spread

先说后一个问题，credit spread是指信用债与无风险之间的差异，比如无风险利率现在是2%，AAA评级的credit spread是100bps，那AAA评级的利率是3%。这是一个静态的概念。

spread risk和changes in interest rate or credit spread 是一个动态的概念，后者就不说了，对前者来说，比如原来AAA 评级的 credit spread是100bps，现在经济更差，credit spread是150bps，这个变动就是spread risk。（一般可以把这个理解成市场风险，所以在这几个模型中都没有考虑这个问题）

这四种方法具体来说，我觉得掌握输出和一般的思想就可以应对选择题：

KMV 输出的是违约概率，是用的很复杂的那个公式计算出来的，不涉及到定价问题，所以一般考得很少，你说的这几个都没有考虑；

Credit Risk+输出的是违约/不违约这两个结果，也不涉及定价问题，所以你可以认为都没有考虑；

Credit Metrics 输出的是未来这个债券的预计价值，他计算的时候是依照一个评级迁移矩阵来算的，按照每一个评级现在是什么定价来计算最后的价值，所以他考虑了credit spread，但没有动态的 spread risk 和 interest rate的变动；

Credit Portfolio比较高级，类似于输出了一个未来这个债券的预计价值，他首先总结了宏观的一个变量，然后通过对这个变量计算得到一个违约概率，然后在找到对应的评级矩阵，之后再来计算，比较综合。

像这几道题，我觉得还是解决第二点，会让你在选择的时候更快一些，四个模型比较如果我是出题人可能会以Credit Risk+和Credit Metrics的比较为大头，反正记得Credit Portfolio最高级就好～

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