TAILIEUCHUNG - Portfolio Credit Risk

Financial institutions are increasingly measuring and managing the risk from credit exposures at the portfolio level, in addition to the transaction level. This change in perspective has occurred for a number of reasons. First is the recognition that the traditional binary classification of credits into “good” credits and “bad” credits is not sufficient— a precondition for managing credit risk at the portfolio level is the recognition that all credits can potentially become “bad” over time given a particular economic scenario. The second reason is the declining profitability of traditional credit products, implying little room for error in terms of the selection and pricing of individual transactions, or for portfolio decisions, where diversification. | Portfolio Credit Risk Thomas C. Wilson Introduction and Summary Financial institutions are increasingly measuring and managing the risk from credit exposures at the portfolio level in addition to the transaction level. This change in perspective has occurred for a number of reasons. First is the recognition that the traditional binary classification of credits into good credits and bad credits is not sufficient a precondition for managing credit risk at the portfolio level is the recognition that all credits can potentially become bad over time given a particular economic scenario. The second reason is the declining profitability of traditional credit products implying little room for error in terms of the selection and pricing of individual transactions or for portfolio decisions where diversification and timing effects increasingly mean the difference between profit and loss. Finally management has more opportunities to manage exposure proactively after it has been originated with the increased liquidity in the secondary loan market the increased importance of syndicated lending the availability of credit derivatives and third-party guarantees and so on. Thomas C. Wilson is a principal of McKinsey and Company. In order to take advantage of credit portfolio management opportunities however management must first answer several technical questions What is the risk of a given portfolio How do different macroeconomic scenarios at both the regional and the industry sector level affect the portfolio s risk profile What is the effect of changing the portfolio mix How might risk-based pricing at the individual contract and the portfolio level be influenced by the level of expected losses and credit risk capital This paper describes a new and intuitive method for answering these technical questions by tabulating the exact loss distribution arising from correlated credit events for any arbitrary portfolio of counterparty exposures down to the individual contract level with

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