貸款組合信用風(fēng)險管理(已修改)
2025-01-21 07:05 本頁面
【正文】 CREDIT RISK OF LOAN PORTFOLIOS From Saunders and Cort I. Introduction ? Credit risk of a loan (asset) portfolio should take into account both the concentration risk and the benefit from loan portfolio diversification. ? Portfolio credit risk can be used to set maximum loan concentration limits for certain business or borrowing sectors. ? The FDIC Improvement Act of 1991 requires bank regulators to incorporate credit concentration risk into their evaluation of bank insolvency risk. I. Introduction ? Banks will be allowed to use their own internal models, such as CreditMetrics and Credit Risk+ and KMV39。s Portfolio Manager, to calculate their capital requirements against insolvency risk from excessive loan concentrations. ? The National Association of Insurance Commissioners (NAIC) has developed limits for different types of assets and borrowers in insurers39。 portfolios a socalled pigeonhole approach. II. Simple Models of Loan Concentration Risk ? Analysis: Lending officers track Samp。P, Moody39。s, or their own internal credit ratings of certain pools of loans or certain sectors. If the credit ratings of a number of borrowers in a sector or rating class decline faster than has been historically experienced, then lending to that sector or class will be curtailed. II. Simple Models of Loan Concentration Risk ? TABLE: A Hypothetical Rating Migration or Transition Matrix Risk Grade at End of Year ? _______________________________________ ? 1 2 3 Default ? ________________________________________ ? Risk grade at 1 .85 .10 .04 .01 ? Beginning of 2 .12 .83 .03 .02 ? Year 3 .03 .13 .80 .04 ? ________________________________________ II. Simple Models of Loan Concentration Risk ? A loan migration matrix (or transition matrix) seeks to reflect the historic experience of a pool of loans in terms of their creditrating migration over time. As such, it can be used as a benchmark against which the credit migration patterns of any new pool of loans can be pared. ? .: For grade 2 loans, historically 12 percent have been upgraded to 1, 83 percent have remained at 2, 3 percent have been downgraded to 3, and 2 percent have defaulted by the end of the year. II. Simple Models of Loan Concentration Risk ? Suppose that the FI is evaluating the credit risk of its curre
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