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The impact of downward rating momentum on credit portfolio risk

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  • Güttler, André
  • Raupach, Peter

Abstract

Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous downgrades. We then derive differences between the insensitive portfolio Value-at-Risk (VaR) and the momentum-sensitive VaR. We find realistic scenarios where investors who rely on insensitive transition matrices underestimate the VaR by eight percent of the correct value. The result is relevant for risk managers and regulators since banks neglecting the downward rating momentum might hold insufficient capital. -- In der Analyse von Ratingänderungen spricht man von einem Ratingimpuls (rating momentum), wenn die Wahrscheinlichkeit zukünftiger Ratingänderungen und Ausfälle nicht nur vom aktuellen Rating, sondern auch von früheren Ratingänderungen abhängt. Für Herabstufungen ist ein Ratingimpuls vielfach empirisch belegt: Innerhalb einer Ratingklasse haben die Anleihen mit vorangegangenen Herabstufungen eine höhere Ausfallwahrscheinlichkeit und eine höhere Wahrscheinlichkeit, herabgestuft zu werden, als solche ohne vorangegangene Herabstufungen. Dieser Ratingimpuls hat einen Einfluss auf das Wertänderungsrisiko eines Anleihenportfolios: Vergleicht man zwei Portfolios mit gleicher Ratingzusammensetzung, von denen das erste einen hohen Anteil zuvor herabgestufter Anleihen hat und das zweite einen geringen, dann sind im ersten Portfolio mehr Ausfälle und Barwertverluste durch die Neubewertung nach Herabstufungen zu erwarten als im zweiten. Wir messen den Einfluss des Ratingimpulses auf das Kreditportfoliorisiko unter möglichst realistischen Annahmen. Mit Standard-and-Poor?s-Daten von 1996 bis 2005 schätzen wir zunächst eine Ratingmigrationsmatrix, die den Ratingimpuls berücksichtigt, und eine Matrix, die den Impuls ignoriert. Anschließend verwenden wir die Matrizen in einem Kreditportfoliomodell vom Typ CreditMetricsŽ und berechnen Unterschiede zwischen dem Value-at-Risk (VaR) mit und ohne Berücksichtigung des Ratingimpulses, wobei wir ersteren als richtig ansehen. Wir nehmen dabei an, dass der Portfoliomanager das aktuelle Rating, aber nicht den Ratingimpuls beachtet, also rein zufällig einige zuvor herabgestufte Anleihen ausgewählt hat. Wir gewinnen damit ein Risikomaß für die Fehleinschätzung des VaR. Es zeigt sich, dass ohne Berücksichtigung des Ratingimpulses der VaR von 6,7 % den korrekten VaR mit Ratingimpuls im Mittel um 0,24 % des Portfoliovolumens (3,5 % des richtigen VaR) unterschätzt. Bedeutsamer sind aber die erheblichen Schwankungen: Unter normalen Bedingungen gibt es eine Wahrscheinlichkeit von 5 %, dass der VaR ohne Ratingimpuls den korrekten VaR um mehr als 0,59 % (8,1 % des richtigen VaR) unterschätzt; in einer ökonomischen Stress-Situation kann der Fehler leicht 1,8 % (6.8 % des richtigen VaR) betragen. Das Ergebnis ist relevant für Risikomanager und Bankenaufseher, denn Banken, die den Ratingimpuls vernachlässigen, halten möglicherweise nicht ausreichend Kapital vor.

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2008,16.

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Date of creation: 2008
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Handle: RePEc:zbw:bubdp2:7326

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Keywords: Rating drift; Downward momentum; Credit portfolio risk; Value-at-Risk;

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References

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Cited by:
  1. Paul Welfens, 2010. "Transatlantic banking crisis: analysis, rating, policy issues," International Economics and Economic Policy, Springer, vol. 7(1), pages 3-48, May.

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