信用風(fēng)險管理(ppt15)-風(fēng)險管理-免費(fèi)閱讀
【正文】 Lending criteria applied consistently Process key performance indicators Regulatory reports Allocated risk capital administration Portfolio management ? Consistency in ratings ? Accuracy of ratings ? Loss volatility ? Limit setting on quality ? Risk based assessment ? Automation utilisation ? Risk/exception based pricing ? Automation utilisation on credit approval ? Exposure monitoring ? Exceptions ? Expected loss Input to strategy ? Target portfolio on quality ? Active management ? Stress testing ? Forecasting ? ROE ? Report value ? Concentration ? Utilisation ? Reporting quality ? Risk based reporting ? Capital allocation Risk appetite identified Bad Debt Management 5 Monitoring Techniques Process Loan application and drawdown Loan administration Bad debt management Portfolio risk management Portfolio management Categorisation: Loan status: ? pending ? assessed ? approved ? rejected ? awaiting drawdown Good loan grade: ? excellent ? good ? reasonable ? poor Bad debt loan grade: ? performing ? special mention ? substandard ? doubtful ? loss Loan balance: ? bad debt grade ? good loan grade ? loan loss statistics by risk ratings and loan grade Loan balance: ? bad debt by geography ? bad debt by customer type ? bad debt by product Used for: Projection of future drawdowns Risk related pricing, further loan application analysis Specific bad debt provisioning and action triggers for upgrading and downgrading of loans General bad debt provisioning Revision of lending criteria Categorisation: Loan attribute: ? customer type ? product ? geography ? maturity Arrears status: ? none ? 1 month ? 3 months ? 36 months ? suspend interest accruals Used for: Loan reporting Arrears management This table shows the monitoring techniques in credit risk management. It involves the categorization of 5 main processes and the purpose of the categorization. More than one categorization may be needed for each process to serve different monitoring purposes. 6 Appendix B – The Credit Risk Management Process 7 Process Objectives 1. Manage credit risk consistent with strategy 2. Minimize losses arising from customer and counterparty default ? Nonperforming asset to total asset ratios ? Time to collect customer / counterparty information ? Credit performance ratios (provisions, chargeoffs, loss expenditure) ? Number of limit override/breaches ? Percentage usage of credit limits and materials in usage ? Frequency of credit review Inputs Economic indicators Activities Outputs Back office payment system Planning Dept., Credit Approval Committee Key performance indicators: Bad debt to outstanding loan balances Number of loans granted Reporting structure: Bad debt to outstanding loan balance by geography product customer type
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