BBMetodologia CreditmetricsPaso 1Definir la matriz de probabilidades de transicinMatriz de probabilidades de transicin de Standard & PoorsAAAAAABBBBBBCCCDAAA90.818.330.680.060.12000AA0.790.657.790.640.060.140.020A0.092.2791.055.520.740.260.010.06BBB0.020.335.9586.935.31.170.120.18BB0.030.140.677.7380.538.8411.06B00.110.240.436.4883.464.075.2CCC0.2200.221.32.3811.2464.8619.79Paso 2Valuacin del precio del forward del bonoConstruir la curva de tasas (estas tasas incorporan la sobretasa o spread que refleje el riesgo crediticio)Categoriaao1ao2ao3ao4AAA3.60%4.17%4.73%5.12%AA3.65%4.22%4.78%5.17%A3.72%4.32%4.93%5.32%BBB4.10%4.67%5.25%5.63%BB5.55%6.02%6.78%7.27%B6.05%7.02%8.03%8.52%CCC15.05%15.02%14.03%13.52%CURVAS DE TASAS CON DISTINTAS CALIDADES CREDITICIASCALCULAR EL PRECIO DEL FORWARD DE CADA BONOConsidere un bono con calificacin BBB y tasa cupon de 6% (valor nominal de $100)F BBB =6 + 6 / 1.041 + 6 /( 1.0467 AL 2) + 6/ ( 1.0525 AL 3) + 106 / (1.0563 AL 4) 107.53TablaValor del creditoAAA109.3529079982107.5309438658AA109.1723708981A108.6429920935BBB107.5309438658BB102.0063855244B98.0859131807CCC83.6257911972D$35.27PASO 3 Medicin del riesgo de crdito Credit Var)Calculo del VaR para un crdito de calificaccin BBBProbabilidadValor delCambios delValor esperadoP( V - ) 2de transicinbonovalor de bono

AAA0.03%$109.35$7.350.002200.01969AA0.14%$109.17$7.170.010030.08782A0.67%$108.64$6.640.044470.36596BBB7.73%$107.53$5.520.427053.04722BB80.53%$102.01$0.000.00.45786B8.84%$98.09-$3.92-0.346570.88633CCC1%$83.63-$18.38-0.183813.10696INCUMPLIMIENTO1.06%$35.27-$66.74-0.7074146.14891

media-0.75403

varianza54.12075Desv est.7.35668

Asumiendo distribucion normalCrediT VaR (Fs)media-Fs*Des estandarCredit VaR (95%)-12.89Credit VaR (99%)-17.90Asumiendo distribucin realCredit VaR (95%)-5.52Credit VaR (99%)-9.45

BBAAABBBAAACCC

AAMetodologia CreditmetricsPaso 1Definir la matriz de probabilidades de transicinMatriz de probabilidades de transicin de Standard & PoorsAAAAAABBBBBBCCCDAAA90.818.330.680.060.12000AA0.790.657.790.640.060.140.020A0.092.2791.055.520.740.260.010.06BBB0.020.335.9586.935.31.170.120.18BB0.030.140.677.7380.538.8411.06B00.110.240.436.4883.464.075.2CCC0.2200.221.32.3811.2464.8619.79Paso 2Valuacin del precio del forward del bonoConstruir la curva de tasas (estas tasas incorporan la sobretasa o spread que refleje el riesgo crediticio)Categoriaao1ao2ao3ao4AAA3.60%4.17%4.73%5.12%AA3.65%4.22%4.78%5.17%A3.72%4.32%4.93%5.32%BBB4.10%4.67%5.25%5.63%BB5.55%6.02%6.78%7.27%B6.05%7.02%8.03%8.52%CCC15.05%15.02%14.03%13.52%CURVAS DE TASAS CON DISTINTAS CALIDADES CREDITICIASCALCULAR EL PRECIO DEL FORWARD DE CADA BONOConsidere un bono con calificacin BBB y tasa cupon de 6% (valor nominal de $100)F BBB =6 + 6 / 1.041 + 6 /( 1.0467 AL 2) + 6/ ( 1.0525 AL 3) + 106 / (1.0563 AL 4) 107.53TablaValor del creditoAAA109.3529079982107.5309438658AA109.1723708981A108.6429920935BBB107.5309438658BB102.0063855244B98.0859131807CCC83.6257911972D$35.27PASO 3 Medicin del riesgo de crdito Credit Var)Calculo del VaR para un crdito de calificaccin BBBProbabilidadValor delCambios delValor esperadoP( V - ) 2de transicinbonovalor de bono

AAA0.70%$109.35$0.180.001260.00106AA90.65%$109.17$0.000.00.03938A7.79%$108.64-$0.53-0.041240.00802BBB0.64%$107.53-$1.64-0.010510.01314BB0.06%$102.01-$7.17-0.004300.02904B0.14%$98.09-$11.09-0.015520.16566CCC0.02%$83.63-$25.55-0.005110.12840INCUMPLIMIENTO0.18%$35.27-$73.90-0.133029.77543

media-0.20843

varianza10.16015Desv est.3.18750

Asumiendo distribucion normalCrediT VaR (Fs)media-Fs*Des estandarCredit VaR (95%)-5.47Credit VaR (99%)-7.64Asumiendo distribucin realCredit VaR (95%)-5.52Credit VaR (99%)-9.45

BBAAABBBAAACCC

Hoja1Metodologia CreditmetricsPaso 1Definir la matriz de probabilidades de transicinMatriz de probabilidades de transicin de Standard & PoorsAAAAAABBBBBBCCCDAAA90.818.330.680.060.12000AA0.790.657.790.640.060.140.020A0.092.2791.055.520.740.260.010.06BBB0.020.335.9586.935.31.170.120.18BB0.030.140.677.7380.538.8411.06B00.110.240.436.4883.464.075.2CCC0.2200.221.32.3811.2464.8619.79Paso 2Valuacin del precio del forward del bonoConstruir la curva de tasas (estas tasas incorporan la sobretasa o spread que refleje el riesgo crediticio)Categoriaao1ao2ao3ao4AAA3.60%4.17%4.73%5.12%AA3.65%4.22%4.78%5.17%A3.72%4.32%4.93%5.32%BBB4.10%4.67%5.25%5.63%BB5.55%6.02%6.78%7.27%B6.05%7.02%8.03%8.52%CCC15.05%15.02%14.03%13.52%CURVAS DE TASAS CON DISTINTAS CALIDADES CREDITICIASCALCULAR EL PRECIO DEL FORWARD DE CADA BONOConsidere un bono con calificacin BBB y tasa cupon de 6% (valor nominal de $100)F BBB =6 + 6 / 1.041 + 6 /( 1.0467 AL 2) + 6/ ( 1.0525 AL 3) + 106 / (1.0563 AL 4) 107.53TablaValor del credito107.5309438658AAA$109.35AA$109.17A$108.64BBB$107.53BB$102.01B$98.09CCC$83.63D$35.27PASO 3 Medicin del riesgo de crdito Credit Var)Calculo del VaR para un crdito de calificaccin BBBProbabilidadValor delCambios delValor esperadoP( V - ) 2de transicinbonovalor de bono

AAA0.02%$109.35$1.820.000360.00107AA0.33%$109.17$1.640.005410.01497A5.95%$108.64$1.110.066050.15231BBB86.93%$107.53$0.000.00.20866BB5.30%$102.01-$5.52-0.292561.34098B1.17%$98.09-$9.44-0.110450.93721CCC0.12%$83.63-$23.90-0.028680.65764INCUMPLIMIENTO0.18%$35.27-$72.26-0.130079.27170

media-0.48994

varianza12.58454Desv est.3.54747

Asumiendo distribucion normalCrediT VaR (Fs)media-Fs*Des estandarCredit VaR (95%)-6.34Credit VaR (99%)-8.76Asumiendo distribucin realCredit VaR (95%)-5.52Credit VaR (99%)-9.45

BBAAABBBAAACCC