????????? ??????? (EL) = ??????????? ???????????????? (PD) x ????????? ???????? (EAD) x ???????? ???????? (LGD) - PowerPoint PPT Presentation

About This Presentation
Title:

????????? ??????? (EL) = ??????????? ???????????????? (PD) x ????????? ???????? (EAD) x ???????? ???????? (LGD)

Description:

Title: - : Author: Arthur Pokrikyan – PowerPoint PPT presentation

Number of Views:96
Avg rating:3.0/5.0
Slides: 10
Provided by: Arthu181
Category:
Tags: ead | lgd

less

Transcript and Presenter's Notes

Title: ????????? ??????? (EL) = ??????????? ???????????????? (PD) x ????????? ???????? (EAD) x ???????? ???????? (LGD)


1
????????? ???????????? ????????? ???????????????
?????????????? ??-???
  • ????????? ?????? ?????? ??????? ??????????

20.10.2013 ?????
2
?? ????????? ???????????? ????????? ???????????
?????
  • ??-??? ????????? ???????????? ?????????
    ???????????? ? ltlt????????? ?????? ????????
    ????????? ?????????? ????????????? ?????gtgt ??
    ???????
  • ?? ????????? ?????? ??????? ?????????? ? ???????
    ??????????? ??????? ?? ???????? ?????????
    ?????????? ??????????? ??????????? ????????? ???
    ????? ????????? ?????? ? ??-????? ????????
    ????????? ????? ?????? ????????? 0,05-? ?????
    (?????? 12, 13)
  • ????????? ??????????? ??????? ????????? ??, ???
    ?????????? ????????? ??????? ??? ????????????
    ????????? ?????????? ????????????? ????? (??????
    14)
  • ???????????? ????????? ????????? ??????? 217.93
    ????. ?, ??? ??????? ? ????????? ?????? ?
    ??-????? ???????? ????????? ????????? ???????
    30.76 -?
  • ???????????? ????? ??????? ?????? ???? ??????? ?
    ??? 1366.5 ???., ???? 83.5-? ????????? ?? ??????
    ??

3
????????? ???????????? ??????????? ????????
???????? ???????????? ????????? ????????????
???????? ??????? ???????? ???????
????????? ???????????? ????????? ???????? ???????? ????????? ???????????? ??????? ?????????? ????????? ??? ????????? ???????????? ????????? ???????? ?? ???????? ???????? ????????? ????????????, ???? ?????? ? ?? ???? ????????? ????????? (????? ???????????????, ?????????? ???????????????)
????????? ????????? ???????????? ?????????? ??????? ???????? ????????? ????????? ?????????????? ?????? ????? ??
???????????? ?????????? ???? ???????????? ??????????? ???????? ???? ????? ???????????? ????????? ??????????? ????????
???????????? ????? ??????? ??????????? ????????? ????????? ???????????? ????????? ????????? ?????????????
??????????? ??????????? ?????????? ????? ??????? ??????????????? ??????????? ??????????? ?????????? ????? ??????????????? ????? ???????
???????????? ??????? ???????????? ?????????????? ?? ???????? ???????
?????????? ????? ????? ????????? ???????? ?????????? ???????????????? ??-??
???????? ???????????? ????????????? ???????????? ???????? ???????????? ????????????? ??????????????
4
????????? ???????????? ???????????? ??????? ???
??????? ?????
????????? ??????? (EL) ???????????
???????????????? (PD) x ????????? ???????? (EAD)
x ???????? ???????? (LGD)
  • ??????
  • ????????? ??????? (EL) ???????????? ?????????
    ???????? ????? ??????? ???????????? ?????????
    ??????,
  • ??????????? ???????????????? (PD) ???????
    ??????????? ????????????????
  • ????????? ???????? (EAD) ???????????? ??????
    ????????? ????????,
  • ???????? ???????? (LGD) ????? ? ????? ??????
    ????????? ???? ??????????????????? ???????????
    ??????? ?????????????

5
????????-??????? ????? ??????? ???????????
??????????????? ????? ??????????
  • ??????
  • Z ??????? ????????? ? ????????? ?????? Xij
    ????? ??????????????,
  • Xij ???????? ????????? ?????????? ????????????
  • ?j ?????????????? ?????????? ???????????? ?
    ?????? ?????????? ????,
  • i ????????? ????
  • j ?????????? ????????? ???????? ?????

6
????????-??????? ????? ?j ????????????? ????????
?j
???????? ???????? ???? ??????? ???????????? ??????? / ?????? 4.641
???????? ??????????????? ?????? / ????????? ???????? -16.122
?????????? ???? ??????????? ??? ???????? ?????? / ??????????? ?????? -2.209
??????????????? ????? ???????? ???????? / ????????? ???????? -19.909
????? ??? Ln (????????? ????????) -1.218
??????????????????? ?????????? ???????? / ????????? ???????? 9.545
7
??????? ??????????? ??????????????? ?????????? ??
??????? ????????
z P(L) (x10-9)
ACBA-Credit Agricole Bank CJSC -25.2866 0.01043
AreximBank CJSC -25.0362 0.0134
InecoBank CJSC -24.5961 0.02081
AmeriaBank CJSC -23.5572 0.05879
Anelik Bank CJSC -23.3722 0.07073
Prometey Bank LLC -22.5778 0.15653
ArdshininvestBank CJSC -22.4349 0.18058
Converse Bank CJSC -22.2399 0.21946
VTB-Armenia Bank CJSC -22.1687 0.23565
ArmeconomBank CJSC -21.5605 0.4329
ArmbusinessBank CJSC -21.4153 0.50058
Artsakh Bank CJSC -20.8074 0.9193
UniBank CJSC -20.7884 0.93694
HSBC Bank Armenia CJSC -20.5985 1.13294
ProCredit Bank CJSC -20.5713 1.16414
BTA InvestBank CJSC -20.4203 1.35394
Ararat Bank OJSC -20.005 2.05086
Mellat Bank CJSC -19.9975 2.06626
Armenian Development Bank OJSC -19.8713 2.34424
ArmSwissBank CJSC -18.7039 7.53363
Biblos Bank Armenia CJSC -18.5807 8.52134
8
??????? ??????????? ??????????????? ??????????
????? ??? ??????????? ???????? ????????
????? ????????? PD, 10-9 ??????? ????? ????????? ????????? ????? ?????????? ???????? ???????? ????????
???? ???????? lt0.1 5 25 0,035 0,05
????? ???????? 0.1 2 11 64 0,055 0,05
????? ???????? 2gt 5 11 0,08 0,05
?????? ?????????? ????? ?????????? ?????
????????? ? ??????? ?????? ???? ????????? ,
?????????? ? ?????????????? ???????????, ?????
??? ???????? ?? ?????? ????????????? ??????
?????? CAMELS-?
9
????????????????
Write a Comment
User Comments (0)
About PowerShow.com