pitch irating
TRANSCRIPT
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Problema
Misurare la probabilità di default di un emittente è uno dei problemi centrali dell’analisi del rischio di
credito
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Come stimarla?
Stima delle probabilità di default con modello KMV
Value of Assets / Liabilities
Timet = 0 T = 1
year
Notional value of
liabilities
XT
Distribution of
market value of
assets
PD ≈ EDFTM
Distance
to default
(DD) in σ
Asset Volatility
Fonte: Moody’s Analytics
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La nostra proposta
Mercato primario:
Mercato secondario:
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Come funziona
Tabella di conversione Investment Grade
S&P/Fitch iScoring Moody’s iScoringAAA 10 Aaa 10AA+ 9 Aa1 9AA 8 Aa2 8AA- 8- Aa3 8-A+ 7+ A1 7+A 7 A2 7A- 7- A3 7-
BBB+ 6+ Baa1 6+BBB 6 Baa2 6BBB- 6- Baa3 6-
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Come funziona
Tabella di conversione NON Investment Grade
S&P/Fitch iScoring Moody’s iScoringBB+ 5+ Ba1 5+BB 5 Ba2 5BB- 5- Ba3 5-B+ 4+ B1 4+B 4 B2 4B- 4- B3 4-
CCC+ 3+ Caa1 3+CCC 3 Caa2 3CCC- 3- Caa3 3-CC 2 Ca 2C 1 C 1D 0 D 0
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Trasformazione delle probabilità di default in iRating
10 9 8 8- 7+ 7 7- 6+ 6 6- 5+ 5 5- 4+ 4 4- 3+ 3 3- 2 10.00
0.01
0.10
1.00
10.00
100.00 EDFTM (Expected Default Probabil-ities)
iRating
Prob
abili
tà d
i def
ault
in p
erce
ntua
le
EDF TM iRating0,006 10
0,015 9
0,020 8
0,025 8-
0,032 7+
0,041 7
0,053 7-
0,068 6+
0,088 6
0,114 6-
0,147 5+
0,199 5
0,291 5-
0,440 4+
0,746 4
1,529 4-
3,329 3+
6,144 3
9,695 3-
23,332 2
35,000 1
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Caso Lehman Brothers
Dinamicità del rating implicito nel prevedere il default di Lehman in largo anticipo.
Già a gennaio 2007 il titolo non era investment grade.
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Indicatori proprietari
Opportunità
Diaman Factor
Fair Value Price
iReturns
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Convergenza spread Mkt Vs Implied
Spread di mercato (Verde) convergono agli spread impliciti (Blu)
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Esempio di titolo selezionato
UPS 3.125 01/15/21 iScoring: 8-iRating: 9
Segnale Buy 8 SettembreFVP > Prezzo di mercato
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Cosa serve?
Strumento di screening
+3.700 emittenti+40.000 bonds