[2008]Topic 51: Credit Risk Portfolio Models 相关习题 all, determine, developed, following

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AIM 1: Explain the four main reasons banks have developed credit portfolio tools.

The development and improvement of credit risk pricing models has helped in all of the following EXCEPT:

A) helping banks determine capital requirements.

B) allowing banks to use portfolio theory in the formation of new loans.

C) pricing of derivatives on risky assets.

D) None of the above (i.e., they are all the result of improved credit risk pricing models).

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The correct answer is D

The banks can use CRPMs to analyze the adequacy of their reserves. The CRPM can determine the capital requirements of individual loans, which allows the use of portfolio theory in the formation of new loans. CRPMs can help price derivatives on risky assets or pools of risky assets (e.g., collateralized credit obligations). The pricing information can also be used by ratings agencies.

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AIM 2: Discuss how the three risk drivers are modeled in the CreditMetrics model and list the four steps included in CreditMetrics.

1、Which of the following is not a step used in the CreditMetrics credit risk portfolio modeling process?

A) Generating correlated migration events.

B) Calibrating the multivariate non-normal distribution. 

C) Measuring “marked-to-model” losses.

D) Calculating the portfolio loss distribution.

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The correct answer is B

CreditMetrics is based on a multivariate normal distribution. The four main steps used by CreditMetrics is to: gather input data, generate correlated migration events, measure “marked-to-model” losses and calculate the portfolio loss distribution.

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2、With respect to computing the probability of default, CreditMetrics:

A) is a ratings-based model.

B) uses the Poisson distribution.

C) is useless.

D) None of the above.

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The correct answer is A

CreditMetrics is a ratings-based model. It uses probabilities from transition matrices that show the probability of an asset having its rating changed.

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3、With respect to computing loss given default, CreditMetrics:

A) uses simulations from the beta distribution.

B) uses a linear factor model.

C) is useless.

D) None of the above.

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The correct answer is A

For loss given default, the CreditMetrics uses simulations from the beta distribution. Each industry has a beta distribution calibrated to describe the recovery rates for defaults in that industry. Using the specific beta distribution associated with the position’s industry, CreditMetrics draws random recovery rates and assigns the values to the defaulted positions.

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4、The first step of CreditMetrics would include all of the following EXCEPT:

A) calibrating the Poisson distribution.

B) calculating the probability of default.

C) gathering yield curve data.

D) None of the above (i.e., they are all part of the first step of CreditMetrics).

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The correct answer is A

The Poisson distribution is not part of CreditMetrics. The first step consists of the gathering of inputs. The gathering includes calculating many measures such as probability of default, recovery rate statistics, factor correlations and their relationships to the obligors, yield curve data, and individual exposures that are distinct from the other inputs.