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Spread Curve CCC B A Treasuries Time to maturity
Spread Curve
CCC
B
A
Treasuries
Time to
maturity

 

 

 

 

Assets Value = + = V T V 0 F Probability of default Time
Assets Value
=
+
=
V T
V 0
F
Probability of default
Time

     

 

 

 

 

 

Exposure (percent of notional) 5 Maximum 4 3 2 Expected exposure 1 Time 0 1
Exposure
(percent of notional)
5
Maximum
4
3
2
Expected exposure
1
Time
0
1
2 3
4
5 6
7 8
9 10

Probability distribution of V

1

Probability distribution of V 1 Asset Value o E(V) 1 Expected growth of assets, net DD

Asset Value

o
o
Probability distribution of V 1 Asset Value o E(V) 1 Expected growth of assets, net DD
E(V) 1
E(V) 1

Expected growth of assets, net

Probability distribution of V 1 Asset Value o E(V) 1 Expected growth of assets, net DD
DD
DD

DPT = STD + ½ LTD

0

1 year

Time