【正文】 erience ? Pooled data scorecards – developed for specific products using data that the scorecard developer has available from many institutions Introduce later Introduce first The following pages prioritize the sequence of credit risk management techniques that needs to be introduced to the processes mentioned in the earlier credit risk appendices. Please note that some of the processes are grouped together as the techniques concerned are the same. 14 Loan Application and Drawdown Corporate ? Credit risk pricing – recognition of all elements of pricing including expected loss, capital to cover unexpected loss, operating/funding costs and the effects of transaction structure on the required risk premium ? Expected loss calculations – use of quantitative/qualitative rating systems linked to default experience, use of loss in the event of default statistics and calculation of exposure at time of default ? Rating systems – use of qualitative rating systems to rank clients according to default probability ? Traditional judgmental loan decisions – loan officers evaluate loan applications manually using experience and training to determine creditworthiness Introduce later Introduce first Portfolio Management ? Active portfolio management effective modelling of portfolio/subportfolios, measurement of concentration and diversification effects and active portfolio rebalancing, strong link to credit strategy ? Portfolio optimisation models apply multiyear present value (NPV) models to portfolio cash flows to optimise risk/reward relationships. ? Risk Adjusted Return on Capital (RAROC) models use 1 year time horizons for determining and measuring riskbased revenue contribution ? Concentration limits establish limits for specific portfolio segments based upon risk and then monitor progress ? Portfolio reporting track current and historical performance data and evaluate variances Introduce later Introduce first 。 Collateral requirements Systems Credit ratings 1 Credit Risk Management Appendices 2 Appendix A – The Credit Risk Management Framework 3 A new operational framework is needed to deliver functional outputs with both control and proactive risk management objectives The functional outputs reflect CCB’s business requirements and current market good practices which form the basis of our Target Operating Model design. As far as CCB’s priorities are concerned the functions should: — as a first priority put in place control objectives to ensure identification, measurement, monitoring, and control — as a second priority introduce consistency The management of credit risk is a subject requiring continual update and development. Credit risk experience updates credit policy to continually refine lending criteria. 開發(fā)全行戰(zhàn)略和信貸政策 風險管理目標 控制目標 ? CCB loan capacity ? CCB loan utilisation ? 客戶的單一視圖 管理信息 ? Selection based on transaction quality ? Risk price ? 資本收益率 貸款申請 組合風險評估 貸款審批 amp。 Background information on Customers and counterparties Provisions Provisions . Loan application system ? Operations Department ? Credit Approval