财务分析与证券定价(英文)chapter21(25页PPT).pptx

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1、Chapter 21The Analysis ofCredit Risk LinksWhat you will learn from this chapterHow default risk determines the price of credit(the cost of debt capital)What determines default riskHow default risk is analyzedHow credit scoring models workHow pro forma analysis aids in assessing the default riskHow v

2、alue-at-risk analysis is used to asses default riskHow financial planning worksDefault Risk and Default PremiumsRequired Return on Debt=Risk-free Rate+Default PremiumThe default premium is determined by the risk that the debtor could defaultSimilar terms:Required return on debtCost of debt Price of

3、creditThe Suppliers of Credit Public debt market investors who include(long-term)bondholders and(short-term)commercial paper holders.Commercial banks make loans to firms.Other financial institutions such as insurance companies,finance houses and leasing firms make loans,much like banks,but usually w

4、ith specific assets serving as collateral.Suppliers to the firm who grant(usually short-term)credit upon delivery of goods and services.Off-Balance-Sheet FinancingOff-balance-sheet financing transactions are arrangements to finance assets and create obligations that do not appear on thebalance sheet

5、.Examples:Operating leasesAgreements and commitments:third-party agreements through-put agreements take-or-pay agreements repurchase agreements sales of receivables with recourseUnfunded pension liabilities not bookedGuarantees of third-party or related-party debtReformulated Income Statements and C

6、ash Flow StatementsIncome Statement:Distinguish income from operations that “covers”net financial expenseThe reformulation follows that for profitability analysis in Chapter 9Cash Flow Statement:Distinguish(unlevered)cash flow from operations that can be used to make payments on debtThe reformulatio

7、n follows that in Chapter 10Ratio Analysis for Default EvaluationSteps:1.Reformulate financial statements2.Calculate ratiosReformulating the Balance SheetThe key idea in the reformulation of the balance sheet is to order assets by liquidity and liabilities by maturity.Also recognize off balance shee

8、t liabilities.(Annotate as you reformulate)Issues:Detail on different classes of debt and their varying maturities is available in the debt footnotes;this detail can be brought up to the face of reformulated statements.Debt of unconsolidated subsidiaries(where the parent owns less that 50%,but has e

9、ffective control)should be recognized.Long-term marketable securities are sometimes available for sale in the short-term if a need for cash arises.Long-term debt(of similar maturity)can be presented on a net basis.Remove deferred tax liabilities that are unlikely to reverse from liabilities to share

10、holders equity.Add the LIFO reserve to inventory and to shareholders equity to convert LIFO to a FIFO basis.Off-balance-sheet debt can be recognized on the face of the statement.Contingent liabilities that can be estimated should be included in the reformulated statements.The risk in derivatives and

11、 other financial instruments should be noted.Ratio Analysis:Short-Term Liquidity Ratios Liquidity Stock Measures Liquidity Flow MeasuresRatio Analysis:Long-term Solvency RatiosSolvency Stock MeasuresSolvency Flow MeasuresRatio Analysis:Operating Ratios Poor profitability increases the likelihood of

12、default.So the profitability analysis of Chapter 11 is an imput into credit analysis.Watch particularly:RNOA Operating profit margins Sales growthForecasting and Credit RiskThe Prelude:Know the business Appreciate the“moral hazard”problem of debt Understanding the financing strategy Understand the c

13、urrent financing arrangements Understand the quality of the firms accounting Understand the auditors opinion,particularly any qualification to the opinionForecasting Default with Credit ScoringCredit scores combine a number of indicators into one score that estimates the probability of default.Credi

14、t Scoring Methods:Multiple Discrimination Analysis(MDA)Logit AnalysisMultiple Discriminate Analysis(Z-scoring)Original Altman Model:Logit Scoring ModelOriginal Ohlson Model:Credit Scoring:Prediction Error AnalysisType I error:Classifying a firm as not likely to default when it actually does defaultT

15、ype II error:Classifying a firm as likely to default when it does not defaultTrade off Type I and Type II errors:choose a cut-off score that minimizes cost errorsFull Information Forecasting:Using Pro Forma Analysis for Default ForecastingPPE,Inc.Using Pro Forma Analysis for Default ForecastingPPE,I

16、nc.Default PointsDefault occurs when cash available for debt service is less than the debt service requirement.Value-at-Risk Profiles for Default ForecastingSteps:1.Generate profiles of cash available for debt service for a full set of scenarios from pro forma analysis2.Establish the debt service re

17、quirement3.Identify the default point where cash available for debt service is below the debt service requirement,and so identify the default scenarios4.Assess the probability of the set of default scenarios occurringValue-at-Risk ProfileLiquidity Planning and Financial Strategy A default strategy i

18、s a strategy to avoid default Pro Forma analysis of default points can be used to plan to avoid default Modify plans to produce pro formas that will increase liquidity to avoid defaultThe Analysts Checklist1、每一个成功者都有一个开始。勇于开始，才能找到成功的路。11月-2211月-22Monday,November 7,20222、成功源于不懈的努力，人生最大的敌人是自己怯懦。17:41:

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