신용위험 측정 모형간 비교 : MMF를 이용한 실증연구

Abstract

The new BIS 1998 capital requirements for market risks allows banks to use internal models to assess regulatory capital related to both general market risk and credit risk for their trading book. This paper, first, reviews the currently proposed and industry sponsored Credit Value-at-Risk(VaR) methodologies: There are CreditMetrics proposed by J.P. Morgan, CreditRisk+ proposed by Suisse Financial Products(CSFP), EDF™ Credit Measure proposed by KMV, and CreditPortfolioView proposed by McKinsey. Second, this paper applies the CreditMetrics and CreditRisk+ models to MMFs that are currently trades in the Korean Financial Market. Specially for the CreditMetrics, this paper exams under conditions in both percentiles using simulation and normal distribution using mean and standard deviation. As the result, the CreditMetrics model shows that the mean Credit-VaR ratios to total face value of MMF are 6.9% and 9.39% at 95% and 99% of the confidence internals. For the CreditRisk+ model, mean Credit-VaR ratios to total face value of MMF are 2.82% and 4.52% at 95 and 99 percentiles. Thus, from this studies, it is obvious that a firm had better adapt the CreditMetrics methodologies to control risk if the firm experiences volatilities depending on market movement, and a firm had better adapt the CreditRisk+ methodologies to control risk if the firm only exposures to default risk.