德勤-信用風(fēng)險(xiǎn)管理(完整版)
【正文】 ed Internal or external legal departments must document pletely Terms and conditions should be understood and pliance mechanism put in place Exceptions must be reported and managed urgently to resolution Risk Rating System Effectiveness Credit Scoring is generally used to “risk rate” homogeneous portfolios – Highest applicability is in consumer and retail portfolios – Some advanced scoring systems are being migrated for use in rating “middle market” clients – Such models are only as good as the underlying assumptions Internal credit rating systems are difficult to assess and are often not independently validated – Client relationship may interfere with objective assessment of risks – Rating criteria usually a matter of practice rather than written policy – Ratings are not consistent over time – Qualitative credit assessments often lag current market information – Institutions often assume a mapping with external ratings in order to quantify credit risk Effective Risk Rating Systems – Sufficient granularity of risk rating categories – Accurate and timely assignment of ratings – Clear and consistent application of default definition – Periodic calibration, triangulation and validation of risk ratings – Accurate identification of migration of transactions and portfolios (as reflected by upgrades and downgrades in ratings) Credit Evaluation: Financial Factors Get the information you need to make a full analysis Some information will need to be crosschecked and obtained on a regular and timely basis Be constructively cynical: new business models are difficult to pull off Be cognizant of delaying tactics Numbers don’t tell the whole story! Credit Evaluation: Qualitative Factors Evaluation of subjective factors is often times more important than the numerical analysis People make a business: visions, values and strategies are only words unless people implement them Management, industry, product, geography, petition etc. all influence results and must be properly assessed Analysisparalysis may lead to wrong decisions Art and Science of Judgment Getting access to the best clients and all the relevant information is a challenge Ensuring proper analysis is done requires a strong corporate culture Utilizing qualified resources both internally and externally enhances the results Often the lack of the will to act is what causes high losses Concluding Comments Companies that measure and manage credit risk in a proactive manner will benefit from a favorable risk profile resulting in – Higher revenue – Lower losses – Improved efficiencies – Higher EPS, P/E ratios and market values Concluding Comments Risk Assessment and Limit Management Credit Infrastructure and Portfolio Management Credit Analytics Support Credit Technology Enablement ? Credit Quality ? Credit Underwriting ? Risk Rating System Effectiveness ? Counterparty and Portfolio Limits ? Organizational Structure ? Policies and Procedures ? Technology Selection and Implementation ? Problem Asset Management ? Risk Rating Calibration ? Transaction Pricing, Structure and Support ? Default Probability and Recovery Calibration ? Credit Reserve Methodol
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