신용등급과 시장지표를 이용한 채권포트폴리오 강제매각효과 비교 분석

Credit ratings provided by the rating agencies is the most commonly used credit risk measure in managing the credit risk of holding securities or counterpart risk. Market-driven credit indicators such as the Option Adjusted Spread (OAS) are also widely used credit risk measures as well. Both the credit ratings and market indicators are generally used as a criteria for the forced sell, which rules out some of holding exposure if its credit risk exceeds the predetermined threshold. Among the risk management usages, the rule of forced sell is increasingly more focused on because it is a risk management practice and also is a investment process which may directly impact to the investor’s P/L profile. Since the financial crisis, the effectiveness of risk management based on the credit ratings has been reexamined as the credibility on the credit ratings has weakened. On the other hand, the need for using the market indicators as a complimentary credit risk measurement has increasingly grown in response to the lowered credibility of the ratings. In these senses, this paper assesses whether rating-based or marketbased forced sell strategy are more suitable in terms of the risk adjusted return in the fixed income investment. More specifically, first, this paper compares the risk adjusted return of the model portfolio which experienced forced sell between when its credit rating falls down below A- and when its OAS exceeds 500bp. Second, it compares the risk adjusted return of the sub portfolio whose bond’s credit risks are consistently increasing during the periods. Third, it compares the risk adjusted return of both strategy between the normal times and the market stressed periods such as financial crisis. Forth, we analyzed how the forced sell effect of both strategies differs to the different level of reinvestment return. Fifth, we also testified how the forced sell effect would be changed with the different level of the OAS threshold in the case of the market-based strategy. Finally, we assesses whether the risk adjusted return of the rating and market combined strategy is better than that of the rating only strategy in order to testify whether the market indicator positively work as the complimentary credit risk measure when jointly considered with the credit rating. The findings of analysis are as follows: First, based on the historical simulation analysis using data during 2008~2014, it is evident that the rating-based strategy, which mainly reflects the fundamentals, results in the higher risk adjusted return than the market-based strategy. However, the results varied with some different variables such as bond portfolio’s risk profile or the degree of the market stress. For the bond portfolio of which credit risks are increasing, the market-based approach performed better because its early warning advantage could reduce the capital loss as it signals the forced-sell at the earlier stage of the price deterioration. During the market stressed period like financial crisis, the difference of the performance between two approaches decreased as the credit risk information is reflected into both the ratings and market indicators with lesser time lag. It also proved that the market-based approach, which reflects the change of the credit risk fast through the price volatility, tends to be more sensitive to the level of reinvestment return as its forced-sell timing generally precedes that of the rating-based approach. When it comes to the level of the OAS threshold for the forced sell, it is evident that the risk adjusted return improve as the level of the threshold become higher. This reflects the fact that the lower forced-sell threshold would result in more frequent forced sell, and therefore lead to the higher risk of losing possible profit if kept in the portfolio. Finally, it proves that the risk adjusted return of the rating and market combined strategy is higher than that of the rating only strategy. This implies that the market indicator could work positively as the complimentary credit risk measure when jointly considered with the credit rating. The robustness test through the total return analysis also reaches the same conclusion, which reinforces the credibility of the simulation analysis.