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【正文】 rtfolio Manager model uses the systematic return ponents of the stock or equity returns of the two borrowers and calculates a correlation that is based on the historical ovement between those returns. ? According to KMV, default correlations tend to be low and lie between .002 and .15. This makes intuitive sense. For example, what is the probability that both IBM and General Motors will go bankrupt at the same time? For both firms, their asset values would have to fall below their debt values at the same time over the next year! III. Loan Portfolio Diversification and Modern Portfolio Theory (MPT) ? A number of large banks are using the KMV model (and other similar models) to actively manage their loan portfolios. Nevertheless, some banks are reluctant to use such models if it involves selling or trading loans made to their longterm customers. In the view of some bankers, active portfolio management harms the longterm relationships bankers have built up with their customers. As a result, gains from diversification have to be offset against loss of reputation. IV. Partial Applications of Portfolio Theory ? Loan VolumeBased Models: ? Table: Allocation of the Loan Portfolio to Different Sector ? National Bank A Bank B ? ________________________________________ ? Real estate 10% 15% 10% ? Camp。s loan portfolio position deviates from the national average or benchmark. ? This partial use of modem portfolio theory provides an FI manager with a feel for the relative degree of loan concentration carried in the asset portfolio. IV. Partial Applications of Portfolio Theory ? TABLE: Measures of Loan Allocation Deviation from the National Benchmark Portfolio ? ________________________________________________________ ? Bank A Bank B ? ________________________________________________________ ? (X1j X1)2 (.05)2 = .0025 (0)2 = 0 ? (X2j X2)2 (.15)2 = .0225 (.05)2 = .0025 ? (X3j X3)2 ()2 = .01 (.4)2 = .16 ? (X4j X4)2 ()2 = .01 ()2 = .0025 ? ___________ ______________ ______________ ? ? (Xjj Xi)2 ? = .045 ? = .285 ? ?A = % ?B = % ? ________________________________________________________ IV. Partial Applications of Portfolio Theory ? Loan Loss RatioBased Models: ? This model involves estimating the systematic loan loss risk of a particular sector relative to the loan loss risk of a bank
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