Session信用风险管理

1、1会计学Session信用风险管理信用风险管理2021-12-122021-12-132021-12-142021-12-152021-12-16LTCM(长期信用资本管理公司)倒闭；2021-12-172021-12-182021-12-192021-12-1102021-12-1112021-12-1122021-12-1132021-12-1142021-12-1152021-12-1162021-12-117 贷款级别损失准备金率（%）低质量级别特别关注的其他资产0未达标准的资产20可疑资产50损失资产100高质量级别合格/可履约02021-12-118贷款级别贷款级别债券评级债券评级

2、风险程度风险程度1AAA最小最小2AA温和温和3A平均（中等）平均（中等）4BBB可接受可接受5BB可接受但要予以关注可接受但要予以关注6B管理性关注管理性关注7CCC特别关注特别关注8CC未达到标准未达到标准9C可疑可疑10D损失损失2021-12-1192021-12-1202021-12-1212021-12-1222021-12-1232021-12-1242021-12-1252021-12-1262021-12-1272021-12-128信用等级AAAAAABBBBBBCCCDefaultAAA90.818.330.680.060.12000AA0.7090.657.790.64

3、0.060.140.020A0.092.2791.055.520.740.260.010.06BBB0.020.335.5986.935.361.170.120.18BB0.030.140.677.7380.538.841.01.06B00.110.240.436.4883.464.075.20CCC00.220.221.302.3811.2464.8619.79信用迁移矩阵信用迁移矩阵2021-12-12923412346661066(1)(1)(1)(1)Prrrr2021-12-130期限年期年期年期年期3.604.174.735.123.654.224.785.173.724.324.

4、935.324.104.675.255.635.556.026.787.276.057.028.038.2515.0515.0514.0313.522021-12-1312346661066108.66(10.0372)(10.0432)(10.0493)(10.0532)P 信用等级信用等级概率概率 （%）市值金额市值金额信用等级信用等级概率概率 （%）市值金额市值金额AAA0.02109.37BB5.30102.02AA0.33109.19B1.1798.10A5.59108.66CCC0.1283.64BBB86.95107.55Default0.1851.132021-12-13220

5、21-12-1332021-12-1342021-12-1352021-12-1362021-12-1372021-12-1382021-12-1392021-12-1402021-12-141 BEDFBAA-B抵达违约点的距离 DD年初资产价值离违约点 有DD之远企业中已年内出现违约的企业数量经验年初资产价值离违约点 有DD之远的所有企业数量设定 A为资产价值，B为违约点， 为资产价值的波动性。2021-12-1422021-12-1432021-12-144标普评级的值(%) 标普评级的值(%) ( 0.00, 0.02( 0.86, 1.43( 0.02, 0.03( 1.43, 2.

6、03( 0.03, 0.04( 2.03, 2.88( 0.04, 0.05( 2.88, 4.09( 0.05, 0.07( 4.09, 6.94( 0.07, 0.09( 6.94, 11.78( 0.09, 0.14( 11.78, 14.00( 0.14, 0.21( 14.00, 16.70( 0.21, 0.31( 16.70, 17.00( 0.31, 0.52( 17.00, 18.25( 0.52, 0.86( 18.25, 20.002021-12-1452021-12-1462021-12-1472021-12-1482021-12-1492021-12-1502021-12-1512021-12-1522021-12-1532021-12-1542021-12-1552021-12-1562021-12-1572021-12-1582021-12-1592021-12-1602021-12-1612021-12-1622021-12-163期限年期年期年期年期3.604.174.735.123.654.224.785.173.724.324.935