CDS 구조화 거래에 내재된 리스크 분석 및 관리방안

Financial company achieved target profit from CDS portfolios matched the maturity of protection buy and protection sell before 2010 (period that CDS Premium and bond yield are in high level). But, as CDS Premium and bond yield are lower after 2010, CDS portfolios that increase risk was appeared to maintain the target profit since financial company did not achieve target profit because of low margin of maturity matched portfolio. Maturity mismatch portfolio (long-term CDS protection sell and short-term CDS protection buy) and correlation mismatch portfolio (portfolio of single name CDS protection sell and first-to-default CDS protection buy) are representative. Since the portfolio has a risk, adequate control for risk management is required and practical management measures are to be proposed in this paper. Based on the evaluation model and risk measuring methods and time series data, loss rate that could occur for one year was calculated. And optimum level of scale was calculated by using loss rate, equity capital, target ROE, and ROE contribution of CDS portfolio. For this, most important thing for calculating optimum level of scale is fair value calculation method and risk measurement method of single name CDS and nTD CDS. Fair value of single name CDS is calculated by using equivalence equation of CDS premium in CDS curve of reference entity and implied default probability. And risk is calculated by measuring sensitivity (profit and loss change as CDS curve changes). Core element for calculating fair value of nTD CDS is calculation of implied default probability of more than n reference entities among N reference entities for each cash flow interval after pricing day. For this, I used a method in a article "Valuation of a CDO and nth to Default CDS Without Monte Carlo Simulation" published by John Hull and Alan White at 2004. To sum up the valuation process of single name CDS and nTD CDS, it is as follows. First, in case of single name CDS, calculate the cumulative default probability up to each cash flow point in the CDS position by using the equivalent equation of CDS premium and default probability because cash flow of single name CDS depends on credit event of reference entity. And calculate the fair CDS premium of fitting into cash flow interval of a CDS position to evaluate. And then calculate MTM price by using the fair CDS premium in previous step and CDS premium settled as trading day. Second, in case of nTD CDS, we suppose that credit event occurs in capital erosion (a situation in which asset value is below liability value). First process is to calculate the cumulative default probability of each reference entity though the same method of single name CDS. And calculate conditional k-th cumulative default probability and unconditional k-th cumulative default probability through the integration of market common factor (the specific method is in the text). Last process is to calculate implied default probability of more than n reference entities among N reference entities by using the unconditional k-th cumulative default probability in previous step. And subsequent steps are the same as the case of single name CDS. To sum up the conclusion, the appropriate limit on the CDS structured portfolio is calculated by using differences in profit and loss when CDS curve changes by 1bp. In case of owner's capital 5 trillion won, the limit on maturity mismatch CDS portfolio is 3.94 trillion won and the limit on correlation mismatch CDS portfolio is 2.37 trillion won.