信用風(fēng)險(xiǎn)模型與信用衍生產(chǎn)品

信用風(fēng)險(xiǎn)模型與信用衍生產(chǎn)品分析

王安興上海財(cái)經(jīng)大學(xué)金融學(xué)院Email：awang@電話：65903708參考教材DarrellDuffie,KennethJ.Singleton,CreditRisk:Pricing,Measurement,andManagement,PrincetonUniversityPress,2003.DavidLando,CreditRiskModeling:TheoryandApplications，PrincetonUniversityPress,2004.BerndSchmid,CreditRiskPricingModels:TheoryandPractice,SpringerVerlag2004(2ndEdition).TomaszR,Bielecki,andMarekRutkowski,CreditRisk:Moderling,ValuationandHedging,SpringerVerlag2002.SatyajitDas,CreditDerivatives:CDOsandStructuredCreditProducts,JohnWiley&Sons2005.相關(guān)文獻(xiàn)基本內(nèi)容信用風(fēng)險(xiǎn)分析原理信用分析信用風(fēng)險(xiǎn)定價(jià)模型信用衍生產(chǎn)品的應(yīng)用一淚、我信異用張風(fēng)濁險(xiǎn)它分懇析貪原售理基矛本皆概華念影左響副信遲用斑風(fēng)友險(xiǎn)炎的費(fèi)因油素公膚司蹤蝶信架用暮分驕析信綠用纖分連析穗報(bào)膊告基贏本硬信含用終分培析蓋方渠法一權(quán)、想信溪用暖風(fēng)椒險(xiǎn)鉆分瞧析鑄原領(lǐng)理基站本殘概準(zhǔn)念信哪用臘：聾完瘦全習(xí)履杰行寶債和務(wù)誦合撒約信胡用僻質(zhì)秒量杠：備完跪全俯履網(wǎng)行播債才務(wù)習(xí)合明約華的占意霜愿收和樂能惜力信陜用妻風(fēng)訓(xùn)險(xiǎn)秒：斯與汗未四預(yù)勒期回的郵信雨用燭質(zhì)裹量短變撓化狂有問關(guān)迎的艇價(jià)怒值眨變晶化果風(fēng)軋險(xiǎn)(逆含向脈選獵擇討與培道福德良風(fēng)付險(xiǎn))信是用失評荷級為：型信蛙用難風(fēng)嬌險(xiǎn)孩的屑量浮化有、裁模局型影京響幫信麥用胞風(fēng)濾險(xiǎn)箏的惡因匆素宏余觀書經(jīng)環(huán)濟(jì)奇、象行形業(yè)綢分著析勺、購公言司咱特旺性舍、概財(cái)騙務(wù)鞭狀宏況一沾、托信揮用吃風(fēng)際險(xiǎn)溫分墓析妹原冬理公財(cái)司信受用惹分朱析信節(jié)用木分捷析績：墻對膏公飲司荷的廟整踐體謊評諒價(jià)所叫謂爽信唱用躲風(fēng)和險(xiǎn)飛即坡借柜款選人獲無五力娃按惱照史合坦同愛條永款搜償吸還她本峽金養(yǎng)和(或)利辨息遍的女風(fēng)聽險(xiǎn)評比判培這聯(lián)家凍公獻(xiàn)司呢違斑約蘿的示可挽能嚷性骨以懼及棉違夾約灶后幕的繭期杯望驕損景失佩率通分過源以浩下堅(jiān)幾政個(gè)鈴方浪面怪綜齊合惡考厲慮塞來虛判恨定弟一軋家少公捧司柴償追還摘所耗欠戴本偷金炊和券利朵息柏的小可晉能疑性喜：云人(管無理勒層/人稼力慕資像源)、趁物(產(chǎn)下品/銷懸售業(yè)量)、后資鹿金(財(cái)棋務(wù)害狀佛況)、償宏燃觀謊經(jīng)述濟(jì)旁環(huán)蛇境谷的糠變婚化講，飽以濱及頁產(chǎn)羽業(yè)社結(jié)暗構(gòu)一升、麥信滅用京風(fēng)島險(xiǎn)鄉(xiāng)豐分呆析坊原傅理公季司信伏用侍分粗析公鞭司惰信例用殘的紛兩界大視支躍柱避：岔經(jīng)站營碼風(fēng)酷險(xiǎn)耀和思財(cái)箱務(wù)愚風(fēng)匯險(xiǎn)經(jīng)刮營簽風(fēng)川險(xiǎn)獎(jiǎng)：匹宏御觀敞經(jīng)漠濟(jì)拆環(huán)承境蘭，仰產(chǎn)架業(yè)懇結(jié)避構(gòu)隨，陰產(chǎn)咽業(yè)生特梢點(diǎn)固，逝在愉行塵業(yè)季中千的棗競原爭閥地況位額以社及桃管加理渾水圾平平等悔因踏素炕造繁成價(jià)公稀司售利區(qū)潤加和蔥現(xiàn)嫁金居流奸波缸動(dòng)孤的偏風(fēng)堆險(xiǎn)財(cái)躲務(wù)掌風(fēng)欠險(xiǎn)瓦：為財(cái)每務(wù)障風(fēng)求險(xiǎn)通是渴指飾公棕司雖財(cái)犬務(wù)索結(jié)騎構(gòu)酸不宗合攀理緣瑞、解融假資遙不悔當(dāng)犧而稍導(dǎo)惰致閱投濟(jì)資蜘者陸預(yù)圈期嗎收胡益射下劣降睬的謀風(fēng)猜險(xiǎn)急。呢財(cái)?shù)竸?wù)墓風(fēng)鬼險(xiǎn)受主摟要岡來蜻自表融畝資尺而遙產(chǎn)毛生帥的藍(lán)財(cái)企務(wù)灘杠兔桿屆作助用相河互焰聯(lián)防系脹：店例傾如窯，居財(cái)都務(wù)輛問堤題(如鹽利容潤燃的孔提億高肌或農(nóng)下柜滑)，悲往杜往提是炸由換運(yùn)盟營列管尋理魯方遇面微的酸因奸素鞋造初成純的(如棄行難業(yè)驗(yàn)內(nèi)擦競袋爭腐，廈或咳投戲資摸失級敗)。矛甚猴至違擁弓有哭同槍樣批信置譽(yù)梢度妖的捎企坡業(yè)清由悼于繁經(jīng)滅營居狀且況筒不睛同啊，犯財(cái)處務(wù)芬狀巴況(資尾本蒜結(jié)瘡構(gòu)呈、耗利撕潤核、啄流旅動(dòng)潮性籃等)也捕會馬隨捐之換不窄同經(jīng)牌營蜓風(fēng)塵險(xiǎn)嗓越麻高步，尋對茅財(cái)威務(wù)蜂風(fēng)潤險(xiǎn)副的鋼判只斷生也辰需盈要理越蒸謹(jǐn)抬慎一馬、勾信柄用健風(fēng)何險(xiǎn)籍分領(lǐng)析宵原著理公地司信淺用沿分慚析公緒司櫻信惕用冶的窗兩呈大店支旗柱魚：蘿經(jīng)粥營眾風(fēng)詳險(xiǎn)束和旺財(cái)遞務(wù)喚風(fēng)娛險(xiǎn)信用分析經(jīng)營風(fēng)險(xiǎn)(定性分析)財(cái)務(wù)風(fēng)險(xiǎn)(定量分析)1．宏觀經(jīng)濟(jì)環(huán)境&產(chǎn)業(yè)結(jié)構(gòu)1．財(cái)務(wù)決策2．產(chǎn)業(yè)特點(diǎn)2．現(xiàn)金流預(yù)測3．行業(yè)中的競爭地位3．利潤4．管理水平4．資本結(jié)構(gòu)5．財(cái)務(wù)彈性一擁、董信巧用怠風(fēng)旱險(xiǎn)英分歡析終原席理公鉆司鬧信為用績分濁析信亂用墳分膠析辰注嘆意車事漿項(xiàng)如較果瓦想檔通響過映財(cái)石務(wù)握報(bào)覺告土掌提握紅公棵司圓的僅真鵝實(shí)紫狀累況降，況那敘么飄無融論揉在喬分直析趣過搞程狠中轎還此是陡在荒對雕結(jié)峰果灘進(jìn)從行懇解竟釋伍時(shí)似，紋都拜必皺須攜考梳慮羞質(zhì)辨方臣面郊的哈因劣素橋，趨如團(tuán)公底司臭的估管艱理量薄化雅信搬用凝風(fēng)蜂險(xiǎn)肺方疾法血存嗎在愿的捕問悶題急：(辟1肢)公桑司種是幅存丸續(xù)銀的認(rèn)實(shí)欄體笑，捉其梁信請譽(yù)號是午連暈續(xù)仆變仙化彎的(梨2兩)財(cái)執(zhí)務(wù)睡數(shù)姜據(jù)司的輩內(nèi)嬌涵遺會方隨伐著禽行漿業(yè)揪不曲同童而銹不鐮同(豆3否)不伍同林公超司孤其略財(cái)霜?jiǎng)?wù)目數(shù)揪據(jù)仁披鋪露覺的拋質(zhì)伴量父存區(qū)在織巨畜大集差糾異一尋、箭信拴用只風(fēng)驚險(xiǎn)完分怖析淺原店理信付用領(lǐng)分端析番報(bào)儉告報(bào)耕告腰形剛式一雅、射公讓司育歷按史/管乘理訊層二仆、督產(chǎn)鑄業(yè)系發(fā)墊展添趨粗勢三兩、作產(chǎn)傾品四曉、皂銷殊售/市尋場只占義有詢率五士、允財(cái)黎務(wù)叉狀符況六膝、蝦現(xiàn)腦金遮流貪預(yù)走測七祖、木信賣用妨概紗況綿及龜投北資柱意們見一探、障信部用堵風(fēng)沃險(xiǎn)悟分甜析帖原鵲理信疊用惜分蜓析演報(bào)城告報(bào)球告跑內(nèi)孕容一聰至銷四躲屬丘于搞定代性垮分扁析(經(jīng)全營燭風(fēng)梅險(xiǎn)財(cái)分給析)五練、練六卷屬騾于瘋定旦量淹分架析(財(cái)淘務(wù)闖風(fēng)輪險(xiǎn)磚分幕析)分塞析決要博點(diǎn)定你性稠和腎定茄量絞互違為孔補(bǔ)盜充刺，迎定墓性察分興析室重包于奧定捕量毒分掏析經(jīng)和營兇管還理桐方序面鉗的托因奸素紋遲捏早禿會額體秧現(xiàn)戰(zhàn)在白財(cái)替務(wù)肉數(shù)描據(jù)際中經(jīng)徑營或風(fēng)影險(xiǎn)貨越放高窮，腫對彩財(cái)繳務(wù)太風(fēng)蘆險(xiǎn)霧的屬判列斷鼠也勢需領(lǐng)要憑越捷謹(jǐn)落慎對途同纖一號家擋公盆司帝做斯出刑不申同著的痛信網(wǎng)用葵評何價(jià)凝一誕般增是法由陡于鄙定擾性揮分綢析(經(jīng)城營胃風(fēng)艷險(xiǎn)鉤分顛析)的漢不供同濱而習(xí)非修定頌量掉分銷析(財(cái)遷務(wù)乎風(fēng)寧險(xiǎn)再分惰析)的嗽不標(biāo)同一回、映信夏用常風(fēng)渾險(xiǎn)浙分次析綱原麥理基則本現(xiàn)信方用鞠分者析尺方貧法要疾素蠅分寧析喜法財(cái)膀務(wù)軋比匹率蹲綜遷合帳分周析據(jù)法多顏?zhàn)兒屏抗殴谟梦蔑L(fēng)盯險(xiǎn)摧模癥型火法一所、回信辯用炮風(fēng)梯險(xiǎn)終分孝析女原啟理基飼本嚇信彎用竭分國析善方芽法要列素立分猶析么法“6銜C拘”要謠素稱分庫析禽法道炮德劣品沖質(zhì)(支C處h行a汁r滴a棉c赤t電e浪r偉)糕—北—個(gè)立性還流款球能申力(瞧C瞇a印p覽a網(wǎng)c踏i純t鑰y賠)資婦本六實(shí)挑力(怕C篇a傻p狼i玻t扶a診l統(tǒng))抵蒜押吵品(以C芝o污l際l融a桃t扶e蠟r存a賄l莊)經(jīng)翻營貢環(huán)象境醋條棚件(袍C機(jī)o該n音d船i扣t糖i瘦o孟n守)事爹業(yè)搬的彈連務(wù)續(xù)降性(義c這o妖n替t銀i聾n翼u吧i語t潔y重)一播、根信條用紅風(fēng)細(xì)險(xiǎn)饑分舅析桑原梳理基繳本妙信息用無分眠析攏方速法要肚素世分俱析涉法“5秘W川”要凳素?cái)r分濁析楚法借丑款魔人(掉W雕h暢o粥)借鐮款煉用敞途(象W蕉h煌y蕩)還姑款不期冤限(虧W冊h芳e練n汪)擔(dān)學(xué)保饑物(步W箭h貌a嚷t懷)如摟何屠還?？?五H材o潛w玻)一拖、肢信棍用寨風(fēng)饑險(xiǎn)果分柔析谷原塌理基扭本漆信剖用槳分段析倒方刑法要療素答分誼析設(shè)法“5乏P趕”因荒素欠分簽析撓法個(gè)外人魚因僻素(哥P尾e冰r小s哪o挖n蕩a朱l嫂)借啞款游目普的(肆P棒u剝r(jià)伙p風(fēng)o奮s立e頓)償積還(很P粉a組y艦m扶e殼n逼t匆)保喚障(懶P毅r攀o郊t壇e伙c他t剪i娘o類n霸)前濫景(邊P唱e坊r玩s沾p音e意c謝t您i遇v胸e涌)一叼、俱信涌用突風(fēng)搞險(xiǎn)回分白析質(zhì)原問理基乘本野信聞?dòng)帽挤至芪鰞r(jià)方筍法要女素鞭分?jǐn)澄鏊头樓劤缭u品估剝體害系雨：C遲A離M糾E護(hù)L資推本族充侮足背率(筑C蛋a閣p喪i茫t擠a建l盈a上d坐e咽q矩u食a仇c畝y慮)分伏析資馬產(chǎn)邀質(zhì)碗量(肝A平s渾s專e類t呼Q眨u厭a忠l己i過t深y掘)分襯析管茫理按水朱平(極M駕a駐n區(qū)a鏡g遷e炕m墓e振n掀t點(diǎn))分祖析收爆益防狀瓣況(宵E章a勇r栗n輸i衣n童g墓s息)分辟析流雹動(dòng)轉(zhuǎn)性(慈L序i叉q臂u稻i準(zhǔn)d克i很t脾y窄)分鎖析一濾、投信殊用診風(fēng)捉險(xiǎn)問分箏析狂原勁理基遷本息信含用懂分予析貼方墓法要客素室分匙析盛法要驅(qū)素啟分宰析兼法什的動(dòng)要封點(diǎn)將掩借為款假人斬品草質(zhì)嗽、挎還霸款鉗能蜂力故、書資旗本傻實(shí)替力餃、已擔(dān)咱保餡和躍經(jīng)東營裳環(huán)襖境尋條牛件豈或痛者狀借嚴(yán)款草人交、傳借慨款防用雹途續(xù)、校還撒款址期盒限晃、扛擔(dān)普保上物塑及挑如傾何壁還逼款桿等繁要趣素音逐革一雨進(jìn)隱行胖評爛分紋，改認(rèn)印識自貸煮款伏人輛的即整護(hù)體率狀馬況對哄于挑借泛款舒人榜的吐多采個(gè)繩方捏面膨進(jìn)焰行端綜京合耀評丑估岡，參確鈔定抱借軌貸談質(zhì)握量吧和貓信恰用斬等幼級也鹽是犬所己有悲信竿用腔分摔析享的笑基根本烈原載則爬和額基民礎(chǔ)當(dāng)。緒信盜用智分撥析葛的佳各研種竊方尾法鍋，處就基是結(jié)對劑這銀些狂方疊面款做縮慧判忙斷對飾評驢估防人模的么綜振合敏業(yè)期務(wù)寇能毀力捧、傭?qū)u業(yè)倦水勉平息要攤求毀較徹高不珍夠糖客賢觀辛，陸不浩同專的析人納對捆同錯(cuò)一酬公孫司炊的敢評病估鞋可侄能升不蛛同一存、搭信弟用申風(fēng)部險(xiǎn)成分盜析萍原污理基焦本點(diǎn)信題用芬分臨析唇方確法財(cái)伸務(wù)興比剪率鼓綜漸合價(jià)分墓析普法縣：隸杜緊邦鏈財(cái)節(jié)務(wù)暑分樣析榴體花系杠和侵沃股爾犁比福重窮評痕分剖法(將丹各捧項(xiàng)資財(cái)銅務(wù)蕩分咳析乖指敬標(biāo)弄作聲為慨一租個(gè)王整珍體葛，瞞系鳴統(tǒng)屠、管全共面碑、嫂綜猴合和地穗對柳企耕業(yè)棕財(cái)閑務(wù)還狀戰(zhàn)況術(shù)和鄭經(jīng)黨營飛情鼻況吉進(jìn)濕行只剖拉析剛、鐘解心釋厭和糕評貌價(jià))杜耐邦胃：邊財(cái)圖務(wù)泊指伐標(biāo)鋸系袍統(tǒng)巨全冒面談評肚價(jià)盒企妹業(yè)辜的漠償栽債哨能握力贏、宜營根運(yùn)媽能泊力飼、懸盈頂利交能雨力痰及婆其毀相門互斯之酬間餃的她關(guān)拜系泥。?；臼疤匾渣c(diǎn)膀是慈以偶凈敗資增產(chǎn)艱報(bào)堡酬待率犯、吧資蘆產(chǎn)為凈跪利凍潤懸率薄為輛核滋心野，坡將達(dá)償悉債植能兵力撤、繪資含產(chǎn)盛營申運(yùn)訪能蒜力太、顛盈總利肚能狹力陵有碼機(jī)例結(jié)情合差起備來絕濾對鼠定株價(jià)裹、喊如疊果壟擁列有行的豎信室息承僅饅僅孟是拋財(cái)望務(wù)行數(shù)棟據(jù)杜汪邦薦財(cái)僵務(wù)授分拘析么圖徑示一學(xué)、搶信墳用內(nèi)風(fēng)恨險(xiǎn)息分王析芝原昆理基廊本鋤信蛙用牧分垮析謙方脾法財(cái)輩務(wù)怖比甲率瞞綜生合晝分貫析臨法極：層杜墨邦瓣財(cái)聲務(wù)聞分缺析沙體拐系姻和婆沃梅爾春比君重滾評牢分衡法(將惠各繩項(xiàng)媽財(cái)愧務(wù)戒分樹析范指帶標(biāo)譯作千為胸一輕個(gè)愉整鮮體蘿，丑系晨統(tǒng)租、蕉全障面壺、蓄綜投合別地猴對倦企秒業(yè)蛛財(cái)創(chuàng)務(wù)獵狀叢況礙和照經(jīng)郊營比情縣況齊進(jìn)宿行叼剖錯(cuò)析著、剪解賊釋挖和周評立價(jià))沃季爾提：滔選福定剝的7項(xiàng)壞財(cái)切務(wù)乒比囑率側(cè)即扮：時(shí)流勵(lì)動(dòng)赤比喉率否、慎自暴有主資猴產(chǎn)伶對謹(jǐn)固惜定春資舞產(chǎn)尖比胡重溪、呢自驅(qū)有賠資怖產(chǎn)稀對腹負(fù)臉債鄭比爸率融、衛(wèi)應(yīng)臟收枕賬秩款蜜周洗轉(zhuǎn)藥率澆、騙存布貨紫周揀轉(zhuǎn)籍率輛、總固觸定星資路產(chǎn)升周羅轉(zhuǎn)腔率狡、敢自協(xié)有最資酒本振周賠轉(zhuǎn)參率歐。鉤以炎指攜標(biāo)鮮的