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EUROPEAN MANAGERS OFFSITE MEETING

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Moody's KMV ??????????????? ????????, ??????????? ?????????? ?? ???????????? ????????? ... ??? ????? 20 ??? ???????? ???????? ??????? ??????? ?? ????? ... – PowerPoint PPT presentation

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Title: EUROPEAN MANAGERS OFFSITE MEETING


1
VIII ??????????? ????????????? ???????????
  • ????? ? ?????????? ???????
  • ??????? ????
  • ??. ????-?????????

2
Moodys KMV ??????????????? ?????????
  • Moodys KMV ??????????????? ????????,
    ??????????? ?????????? ?? ???????????? ?????????
  • ????????? ???????????? ????????? ??????????
    ???????? Moodys KMV ??? ????????? ??????,
    ???????????? ??? ??????????? ????????? ??????????

3
Moodys KMV ?????????????
  • ??? ????? 20 ??? ???????? ???????? ???????
    ??????? ?? ????? ????????????? ??????????
  • ?????? ? ?????????? ??????????? ????????????
    ???????? ????????? ??????? ?? ?????? ????????
    ??????
  • ??????? ???????? ??????? ?????, ???????????
    ????????, ?????????????? ?????, ????????? ??????,
    ??????????? ? ??????????
  • ???????? ???????? ???????? ???????? ? ????? ?????
    ???? ????? ??????????? ? ???-?????????,
    ???-?????, ???????, ????? ? ?????????
  • Moodys KMV
  • ?????????? ???????? ? ??????, ??????????? ?
    ?????????? ??????? ?? ????????? ??????

4
??????????? ?????????? ??? ?????????? ??????????
??????? 5 ??????
  • ??????????? ?????????
  • ????????????????? ????????
  • ?????? ???????? ? ????????? ???????? ????
  • ???????? ???????????? ? ???? ? ??????? ?????????
    ?????? CDS ? ??????????????
  • ????????? ?????????? ????????
  • ????????????? ???????? ????????? ? ?????????
  • ??????????? ????????? ???????
  • ??????? ??????????????
  • ??????????/???????????? ??????? ???????
    ??????????? ??????? ?????????
  • ??????????? ??????????? ??????? ? ?????? ???
    ??????? (LGD)
  • ????????????? ????????????/??????????????
    ???????? ??? ?????????? ??????????? ???????? ?
    ??????????? ?????????? ???????????
  • ???????????????? ???? ?? ???????? ?????????
  • ????, ??????????? ? ????????????? ?????? ???????
  • ???????? ?????????? ??????????? ?????????????

5
??????????? ?????????? ??? ?????????? ??????????
??????? 5 ??????
?????????? ?????? II ??????????
???????? (IRB-??????)
  • ??????????? ?????????
  • ????????????????? ????????

???? 3
?????????? ?? ????????
  • ?????? ???????? ? ????????? ???????? ????
  • ???????? ???????????? ? ???? ? ??????? ?????????
    ?????? CDS ? ??????????????
  • ????????? ?????????? ????????

???? 2
?????????? ???????
  • ????????????? ???????? ????????? ? ?????????
  • ??????????? ????????? ???????
  • ??????? ??????????????

???? 1
????????? ??????/ ??????????????
  • ??????????/???????????? ??????? ???????
    ??????????? ??????? ?????????
  • ??????????? ??????????? ??????? ? ?????? ???
    ??????? (LGD)
  • ????????????? ????????????/??????????????
    ???????? ??? ?????????? ??????????? ???????? ?
    ??????????? ?????????? ???????????
  • ???????????????? ???? ?? ???????? ?????????
  • ????, ??????????? ? ????????????? ?????? ???????
  • ???????? ?????????? ??????????? ?????????????

6
??????????? ?????????? ??? ?????????? ??????????
??????? 5 ??????
??????? Moodys KMV
  • ?????? Portfolio Manager
  • ?????? CreditMark
  • ?????? Portfolio Manager
  • ?????? CDO Edge
  • ?????? Deal Analyzer
  • ?????? Portfolio Manager
  • ?????? BaselCalc

???????? ???????????????????? ??
??????????????? ? ????? (?????????)?????????
??????????????????
  • ?????? RiskCalc
  • ?????? CreditEdge / CreditMonitor
  • ?????? LossCalc
  • ?????? Financial Analyst (MFA) ? Risk Advisor
    (MRA)
  • ?????? RiskAnalyst

7
?????????? ?????????? IRB ??? ????????
??????????
Credit risk originators
??????
??????
??????- ???????
8
?????? II ???????????? ????????? ???????????
????????
?? ???????? ?????? II
????????????? ???????
??????????? ????????
??????? ????????
9
???????????????????? ???????
??????????? ????????
???? ??????
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????
??????????? / ?????????? ??????

????? ? ??????????????
?????? ??????????
??? ????????
??????????? ???? ??????
??????????? ????????? ?? ?????? ?????? ? ???????
10
?????? RiskCalc ????????????? ? RiskAnalyst
11
??? ????? ????? ???????? ?????????? ??????
?????????? ?????? ??????????????
  • 1. ??????????
  • ??? ???????? ???????? ???? ???????? ? ?????
    ?????? ?????????????? ? ??????????? ?????? ??????
  • ???????? ?? ??? ???????? ? ?????? ???????
    ???????? ?? ????????? ?????????????? ????????,
    ????????, ??????? ????????, ?????? ?????????????
  • ????????? ???????????? ??? ????????? ?????????
    ????? ??? ????????? ?? ?????????? ?????? ?????
    ??? ????????? ???????? ?? ??? ?????????
    ?????????? ??????
  • ???????? ?????????? ???????????? ???? ?????????
    ??????????? ????????? ??? ??????? ???????????
  • 2. ????????????? ?????????
  • ????? ??????? ???????? ????? ???? ????????????
    ??? ??????????????? ? ????????????? ?????????
  • ??? ???????? ????? ?????? ??? ????? ??????
    ??????????? ??????
  • 3. ???????????? (?????????)
  • ??? ???????? ??????????? ? ???????????????
    ??????????? ???? ??????? ????????????? ??? ?
    ????? ???????????? ??????????, ??? ? ???
    ??????????? ? ???????? ????????????
  • ??? ? ?????????????? ????????? ????? ???????????
    ?????????, ???????? ? ??????????? ????????

12
????????? ??????? ??????????????? ???????
Moodys KMV
RiskAnalyst
???? ??????
RiskCalc CreditEdge
Val/Cal
???????? ???????
?????? ?????
Portfolio Manager BaselCalc
??????????? ????
?????????? ???????
????????? ?????????? ??????
????????? ???????? ?????
RiskAnalyst LossCalc
Update Portfolio RiskCalc CreditEdge
Risk Analyst RiskCalc CreditEdge
13
????????? ????????????? ???????? ? ?????????????
??????? ? ???????????
????????? ?????? ?? ?????? ????????, ????,
??????????, ?????
????????????? ???????
????????? ?????? ?? ????????, ?????? ? ??????
?????? ???????
?????????????? ??????
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