財務分析與證券定價(英文)chapter21

Chapter21 TheAnalysisofCreditRisk1Links2WhatyouwilllearnfromthischapterHowdefaultriskdeterminesthepriceofcredit(thecostofdebtcapital)WhatdeterminesdefaultriskHowdefaultriskisanalyzedHowcreditscoringmodelsworkHowproformaanalysisaidsinassessingthedefaultriskHowvalue-at-riskanalysisisusedtoassesdefaultriskHowfinancialplanningworks3DefaultRiskandDefaultPremiums RequiredReturnonDebt=Risk-freeRate+DefaultPremium ThedefaultpremiumisdeterminedbytheriskthatthedebtorcoulddefaultSimilarterms: Requiredreturnondebt CostofdebtPriceofcredit4TheSuppliersofCredit

Publicdebtmarketinvestorswhoinclude(long-term) bondholdersand(short-term)commercialpaperholders.Commercialbanksmakeloanstofirms.Otherfinancialinstitutionssuchasinsurancecompanies, financehousesandleasingfirmsmakeloans,muchlike banks,butusuallywithspecificassetsservingas collateral.Supplierstothefirmwhogrant(usuallyshort-term)credit upondeliveryofgoodsandservices.5Off-Balance-SheetFinancingOff-balance-sheetfinancingtransactionsarearrangementstofinanceassetsandcreateobligationsthatdonotappearonthebalancesheet.Examples: Operatingleases Agreementsandcommitments: third-partyagreements through-putagreements take-or-payagreements repurchaseagreements salesofreceivableswithrecourseUnfundedpensionliabilitiesnotbookedGuaranteesofthird-partyorrelated-partydebt6ReformulatedIncomeStatementsandCashFlowStatementsIncomeStatement: Distinguishincomefromoperationsthat “covers〞netfinancialexpense Thereformulationfollowsthatforprofitability analysisinChapter9CashFlowStatement: Distinguish(unlevered)cashflowfromoperations thatcanbeusedtomakepaymentsondebt ThereformulationfollowsthatinChapter107RatioAnalysisforDefaultEvaluationSteps:ReformulatefinancialstatementsCalculateratios8ReformulatingtheBalanceSheetThekeyideainthereformulationofthebalancesheetistoorderassetsbyliquidityandliabilitiesbymaturity.Alsorecognizeoffbalancesheetliabilities.(Annotateasyoureformulate)Issues: Detailondifferentclassesofdebtandtheirvaryingmaturitiesisavailableinthedebtfootnotes;thisdetailcanbebroughtuptothefaceofreformulatedstatements. Debtofunconsolidatedsubsidiaries(wheretheparentownslessthat50%,buthaseffectivecontrol)shouldberecognized. Long-termmarketablesecuritiesaresometimesavailableforsaleintheshort-termifaneedforcasharises. Long-termdebt(ofsimilarmaturity)canbepresentedonanetbasis. Removedeferredtaxliabilitiesthatareunlikelytoreversefromliabilitiestoshareholders’equity. AddtheLIFOreservetoinventoryandtoshareholder’sequitytoconvertLIFOtoaFIFObasis. Off-balance-sheetdebtcanberecognizedonthefaceofthestatement. Contingentliabilitiesthatcanbeestimatedshouldbeincludedinthereformulatedstatements. Theriskinderivativesandotherfinancialinstrumentsshouldbenoted.9RatioAnalysis:Short-TermLiquidityRatios LiquidityStockMeasures LiquidityFlowMeasures10RatioAnalysis:Long-termSolvencyRatiosSolvencyStockMeasuresSolvencyFlowMeasures11RatioAnalysis:OperatingRatiosPoorprofitabilityincreasesthelikelihoodofdefault.SotheprofitabilityanalysisofChapter11isanimputintocreditanalysis.Watchparticularly: RNOA Operatingprofitmargins Salesgrowth12ForecastingandCreditRiskThePrelude: Knowthebusiness Appreciatethe“moralhazard〞problemofdebt Understandingthefinancingstrategy Understandthecurrentfinancingarrangements Understandthequalityofthefirm’saccounting Understandtheauditor’sopinion,particularlyany qualificationtotheopinion13ForecastingDefaultwithCreditScoringCreditscorescombineanumberofindicatorsintoonescorethatestimatestheprobabilityofdefault.CreditScoringMethods: MultipleDiscriminationAnalysis(MDA) LogitAnalysis14MultipleDiscriminateAnalysis(Z-scoring)OriginalAltmanModel:15LogitScoringModelOriginalOhlsonModel:16CreditScoring:PredictionErrorAnalysisTypeIerror: Classifyingafirmasnotlikelyto defaultwhenitactuallydoesdefaultTypeIIerror: Classifyingafirmaslikelytodefault whenitdoesnotdefaultTradeoffTypeIandTypeIIerrors:chooseacut-off scorethatminimizescosterrors17FullInformationForecasting:UsingProFormaAnalysisforDefaultForecasting PPE,Inc.18UsingProFormaAnalysisforDefaultForecastingPPE,Inc.19DefaultPointsDefaultoccurswhencashavailablefordebtserviceislessthanthedebtservicerequirement.20Value-at-RiskProfilesforDefaultForecastingSteps:GenerateprofilesofcashavailablefordebtserviceforafullsetofscenariosfromproformaanalysisEstablishthedebtservicerequirementIdentifythedefaultpointwherecashavailablefordebtserviceisbelowthedebtservicerequirement,andsoidentifythedefaultscenariosAssesstheprobabilityofthesetofdefaultscenariosoccurring21Value-at-RiskProfile22Liqui