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balance sheets, analysis, 123 vs uncovered loans, 92, 98
bankruptcy credit balance assets, 54
expectation value of loss in, 20 21 credit limits, exceeding, 40
privileged salary claims and, 80 82 credit risk, 14, 16, 124
risk of, 78 79 credit shortfall risk, 64, 66
bankruptcy-resistant debt rate, 115 influence of individual parameters, 71 77
Basel Committee for bank supervision, 12, 13, Credit Suisse Group, 6, 7
145 credit-worthiness, 5
behavioural risks, 3, 9 credit-worthiness key figure, defining, 21
Black/Scholes approach cf KMV approach, 59 60 credit-worthiness risk, 9
bonds, 80 current account credit, 26 40
breakdown distribution probability value, 80 current account credit write-off risk hedging rate,
breakdown distribution rate probability, 78 37
Bretton Wood agreements, 15 current account loans, 52
customer considerations, 145
call put parity, 61
Cantonal Bank of Zürich, 6, 135, 143, 151 data limitations, 12
capital asset pricing model (CAPM), 15, 68, 71, death, risk of, 54, 71
121, 122, 123 debt rate, 65, 67 68, 121
cash flow statements, analysis, 122 123 discount rate, 71, 123 124
chaos theory, 15 discounted free cash flows, 121
clothing business, turn-around situation, 127 129 discretionary income, 71
company s value, 62
conflict between bank and borrowers, 125 126 earnings, declining, companies with, 114
continuous-time finance, 15 16 earnings statements, analysis, 122
168 Index
effective loan interest rate, 45 loan supervision, 114 115
effective profit contribution rate, 43, 45 loan terms, determination, 124
effective shortfall risk hedging rate, 43 44, 45 losses on loans, 5, 6
equity, return on, 108 10
exchange rate risk, 14 machine tools company, 129 130
management agreement, 54
financing companies, 142 143 marginal interest rate, 103 105, 115
financing cost rate, 8 market price of risk, 15
financing rate, 36 Market Risk Amendment, 12
fixed advance market risk premia, 15
with complete repayment, 50 51 market risks, 3, 14, 16
with partial repayments, 51 market value, 60 61
with regular repayments, 36 maturity transformation, 28 29
without repayments, 33 35 maximum debt, 114, 115
fixed interest loan without repayments, 47 48 maximum return on equity, 108 112
approximate solution, 48 50 maximum shortfall risk covered, 44
free cash flow, 68 mean shortfall risk, 48
minimum loan interest rate, 42, 45
gamma function values, 69, 70 Monte Carlo simulations, 14
mortgage, 143
insurance premiums, 139, 140 business 1985 99, case study, 135 138
interest rates combination of loans, 116 117
acceptability of, 112 shortfall risk, 99 100
risk, 14
invalidity, risk of, 54 net present value of loan transaction, 11
inventory limits, 39 neural networks, 14
investment income, 54
IT support, 143 operational risks, 3, 9, 14
option theory approach, 4
jump-diffusion model, 83 basic formulae, 60 63
limits to application, 82 84
KMV Corporation approach, 59 60 organisational measures, 143 144
legal interest rate cap, 71 partially covered loans, 108
liquidation value, 121 personnel, specialist, 141 142
liquidity risks, 3 portfolio of securities, loans against, 143
loan assessment, 40 41, 79 80 private debtors, 71
loan assessment offices, 141 142 privileged salary claims in case of bankruptcy,
loan business, problems in, 7 8 80 82
loan combinations, 103 117 probability, 31
partially covered loans, 108 probability model, 27 31
several loans, general case, 107 108 probability of cash flows being fulfilled, 27 28
three loans, 107 profit contribution rate, 9, 11, 36 37
two loans, 105 106 property assets, 54
loan commissions, 8 property price index, 135 136, 151
loan exposure models, 13 17
classical methods, 13, 14 rating system
modern credit risk analysis, 13, 14 16 amplification, for very competitive markets, 23
loan granted indefinitely, 29 need for, 19
loan interest rate, definition, 8 in terms of figures, example, 21 23
loan interest rate model, 8 9 repayment, acceptability of, 113
loan market value, 33 return on assets, 108 110
Index 169
return on equity, 108 110 standard rate of interest, 10 11
return rate, 108 110 stochastic calculus, 15
risk-adjusted loan interest rate per annum, 84 stockmarket risk, 14
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