财务分析与证券定价(英文)chapter21

Chapter21,TheAnalysisofCreditRisk,Links,Whatyouwilllearnfromthischapter,Howdefaultriskdeterminesthepriceofcredit(thecostofdebtcapital)WhatdeterminesdefaultriskHowdefaultriskisanalyzedHowcreditscoringmodelsworkHowproformaanalysisaidsinassessingthedefaultriskHowvalue-at-riskanalysisisusedtoassesdefaultriskHowfinancialplanningworks,DefaultRiskandDefaultPremiums,RequiredReturnonDebt=Risk-freeRate+DefaultPremiumThedefaultpremiumisdeterminedbytheriskthatthedebtorcoulddefaultSimilarterms:RequiredreturnondebtCostofdebtPriceofcredit,TheSuppliersofCredit,Publicdebtmarketinvestorswhoinclude(long-term)bondholdersand(short-term)commercialpaperholders.Commercialbanksmakeloanstofirms.Otherfinancialinstitutionssuchasinsurancecompanies,financehousesandleasingfirmsmakeloans,muchlikebanks,butusuallywithspecificassetsservingascollateral.Supplierstothefirmwhogrant(usuallyshort-term)creditupondeliveryofgoodsandservices.,Off-Balance-SheetFinancing,Off-balance-sheetfinancingtransactionsarearrangementstofinanceassetsandcreateobligationsthatdonotappearonthebalancesheet.Examples:OperatingleasesAgreementsandcommitments:third-partyagreementsthrough-putagreementstake-or-payagreementsrepurchaseagreementssalesofreceivableswithrecourseUnfundedpensionliabilitiesnotbookedGuaranteesofthird-partyorrelated-partydebt,ReformulatedIncomeStatementsandCashFlowStatements,IncomeStatement:Distinguishincomefromoperationsthat“covers”netfinancialexpenseThereformulationfollowsthatforprofitabilityanalysisinChapter9CashFlowStatement:Distinguish(unlevered)cashflowfromoperationsthatcanbeusedtomakepaymentsondebtThereformulationfollowsthatinChapter10,RatioAnalysisforDefaultEvaluation,Steps:ReformulatefinancialstatementsCalculateratios,ReformulatingtheBalanceSheet,Thekeyideainthereformulationofthebalancesheetistoorderassetsbyliquidityandliabilitiesbymaturity.Alsorecognizeoffbalancesheetliabilities.(Annotateasyoureformulate)Issues:Detailondifferentclassesofdebtandtheirvaryingmaturitiesisavailableinthedebtfootnotes;thisdetailcanbebroughtuptothefaceofreformulatedstatements.Debtofunconsolidatedsubsidiaries(wheretheparentownslessthat50%,buthaseffectivecontrol)shouldberecognized.Long-termmarketablesecuritiesaresometimesavailableforsaleintheshort-termifaneedforcasharises.Long-termdebt(ofsimilarmaturity)canbepresentedonanetbasis.Removedeferredtaxliabilitiesthatareunlikelytoreversefromliabilitiestoshareholdersequity.AddtheLIFOreservetoinventoryandtoshareholdersequitytoconvertLIFOtoaFIFObasis.Off-balance-sheetdebtcanberecognizedonthefaceofthestatement.Contingentliabilitiesthatcanbeestimatedshouldbeincludedinthereformulatedstatements.Theriskinderivativesandotherfinancialinstrumentsshouldbenoted.,RatioAnalysis:Short-TermLiquidityRatios,LiquidityStockMeasuresLiquidityFlowMeasures,RatioAnalysis:Long-termSolvencyRatios,SolvencyStockMeasuresSolvencyFlowMeasures,RatioAnalysis:OperatingRatios,Poorprofitabilityincreasesthelikelihoodofdefault.SotheprofitabilityanalysisofChapter11isanimputintocreditanalysis.Watchparticularly:RNOAOperatingprofitmarginsSalesgrowth,ForecastingandCreditRisk,ThePrelude:KnowthebusinessAppreciatethe“moralhazard”problemofdebtUnderstandingthefinancingstrategyUnderstandthecurrentfinancingarrangementsUnderstandthequalityofthefirmsaccountingUnderstandtheauditorsopinion,particularlyanyqualificationtotheopinion,ForecastingDefaultwithCreditScoring,Creditscorescombineanumberofindicatorsintoonescorethatestimatestheprobabilityofdefault.CreditScoringMethods:MultipleDiscriminationAnalysis(MDA)LogitAnalysis,MultipleDiscriminateAnalysis(Z-scoring),OriginalAltmanModel:,LogitScoringModel,OriginalOhlsonModel:,CreditScoring:PredictionErrorAnalysis,TypeIerror:ClassifyingafirmasnotlikelytodefaultwhenitactuallydoesdefaultTypeIIerror:ClassifyingafirmaslikelytodefaultwhenitdoesnotdefaultTradeoffTypeIandTypeIIerrors:chooseacut-offscorethatminimizescosterrors,FullInformationForecasting:UsingProFormaAnalysisforDefaultForecasting,PPE,Inc.,UsingProFormaAnalysisforDefaultForecasting,PPE,Inc.,DefaultPoints,Defaultoccurswhencashavailablefordebtserviceislessthanthedebtservicerequirement.,Value-at-RiskProfilesforDefaultForecasting,Steps:GenerateprofilesofcashavailablefordebtserviceforafullsetofscenariosfromproformaanalysisEstablishthedebtservicerequirementIdentifythedefaultpointwherecashavailablefordebtserviceisbelowthedebtservicerequirement,andsoidentifythedefaultscenariosAssesstheprobabilityofthesetofdefaultscenariosoccurring,Value-at-RiskProf