主權(quán)風(fēng)險(xiǎn)+流動(dòng)性風(fēng)險(xiǎn)

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1、內(nèi)容國(guó)家風(fēng)險(xiǎn)SovereignRisk流動(dòng)性風(fēng)險(xiǎn)LiquidityRisk概述Introduction70年代，美國(guó)和其他國(guó)家商業(yè)銀行的迅速擴(kuò)張In1970s，ExpansionofloanstoEasternbloc,LatinAmericaandotherLDCs.80年代初，債務(wù)償還出現(xiàn)問(wèn)題DebtmoratoriaannouncedbyBrazilandMexico.IncreasedloanlossreservesCitigroupsetasideadditional$3billioninreservesforexample概述Introduction(cont

2、inued)80年代末和90年代初期Expandinginvestmentsinemergingmarkets.PesodevaluationandsubsequentrestructuringU.S.loanguaranteesunderClintonAdministrationMorerecently:AsianandRussiancrises.TurkeyandArgentinaArgentina’sfocusonfiscalsurplusEconomicgrowthinthe2000sandreductioninexternaldebt.多年重構(gòu)協(xié)議（MYRAs）

3、布雷迪債券（BradyBonds）外國(guó)銀行所持有亞洲債務(wù)的份額國(guó)家風(fēng)險(xiǎn)（SovereignRisk）政府可以限制債務(wù)的償付。Governmentscanimposerestrictionsondebtrepaymentstooutsidecreditors.Loanmaybeforcedintodefaulteventhoughborrowerhadastrongcreditratingatoriginationofloan.Legalremediesareverylimited.貸款人評(píng)估借款人的基本信用質(zhì)量貸款人評(píng)估借款所在國(guó)家的國(guó)家風(fēng)險(xiǎn)質(zhì)量Needtoassessc

4、reditqualityandsovereignrisk國(guó)家風(fēng)險(xiǎn)（SovereignRisk）*債務(wù)拒付DebtrepudiationSinceWWII,onlyChina,CubaandNorthKoreahaverepudiateddebt.*債務(wù)重新安排ReschedulingMostcommonformofsovereignrisk.SouthKorea,1998Argentina,2001國(guó)家風(fēng)險(xiǎn)評(píng)估（CountryRiskEvaluation）外部評(píng)估模型Outsideevaluationmodels:歐洲貨幣指數(shù)TheEuromoneyIndex經(jīng)濟(jì)學(xué)家智庫(kù)

5、TheEconomistIntelligenceUnitratings機(jī)構(gòu)投資者指數(shù)InstitutionalInvestorIndex經(jīng)濟(jì)學(xué)家智庫(kù)評(píng)級(jí)機(jī)構(gòu)投資者指數(shù)中國(guó)出口信用保險(xiǎn)公司：國(guó)家風(fēng)險(xiǎn)參考評(píng)級(jí)共分9個(gè)級(jí)別，分別標(biāo)識(shí)為1、2、3、4、5、6、7、8和9級(jí)，風(fēng)險(xiǎn)水平依次增高。國(guó)家風(fēng)險(xiǎn)評(píng)估（CountryRiskEvaluation）內(nèi)部評(píng)價(jià)模型InternalEvaluationModels統(tǒng)計(jì)模型Statisticalmodels:Countryrisk-scoringmodelsbasedonprimarilyeconomicratios.統(tǒng)計(jì)模型（Sta

6、tisticalModels）指標(biāo)主要指標(biāo)Commonlyusedeconomicratios外債償還率Debtserviceratio:(Interest+amortizationondebt)/Exports進(jìn)口率Importratio:Totalimports/TotalFXreserves投資率Investmentratio:Realinvestment/GNP出口收入方差Varianceofexportrevenue，國(guó)內(nèi)貨幣供應(yīng)量Domesticmoneysupplygrowth國(guó)家風(fēng)險(xiǎn)分析CRA選擇關(guān)鍵變量后，建立統(tǒng)計(jì)模型：模型的問(wèn)題Problemswith

7、StatisticalCRAModels1、關(guān)鍵變量的計(jì)量Measurementsofkeyvariables.2、總體分組PopulationgroupsFinerdistinctionthanreschedulersandnonreschedulersmayberequired.3、政治風(fēng)險(xiǎn)因素PoliticalriskfactorsmaynotbecapturedStrikes,corruption,elections,revolution.CorruptionPerceptionsIndex模型的問(wèn)題Problemsw