【正文】 ed that the stated initiatives to support BoS‘ credit risk imperatives should be focused not only on meeting the shortterm needs, but also highlight directional building blocks to serve as a basis for future credit capability excellence Stated BoS Required Initiatives and Objectives BoS Credit Risk Imperatives ? Effectively conduct analytics based on current grading system ? Develop necessary portfolio management reports A. Credit Risk Grading Analytics B. Portfolio Risk Management Reporting Longerterm Capability Gap Assessment /Remendations Objectives As a first step in developing some basic predictive (or ―early warning‖) capabilities, develop the risk grading analytics that link risk grading with the EDF, therefore develop credit approval and processing capabilities leveraging the existing grading system Identify reporting development needs, define the ―tobe‖ reporting framework and distribution, and design the format and content of required reports, therefore improve the decisionmaking and portfolio management capabilities Baseline the current anization, process and capabilities around credit risk grading, figure out the direction for future development Shortterm Tangible Results Longerterm Direction Setting Towards Excellence Stated BoS‘immediate Area of Focus Initiatives . Kearney 37/2341 Bank of Shanghai – Credit Risk Management/Credit Proposal/yk 7 . Kearney Inc 2023年版 權 所有 ， 此文件任何部分未 經(jīng)科爾尼管理顧問公司事先書面 同意 ， 均不得以任何形式 復制 Today’s Discussion I. Our understanding of BoS‘ current situation II. Our perspective on proposed initiatives and expected results for BoS III. The efforts would focus on delivering tangible results IV. We have proposed a handon highcaliber team to jointly work with the BoS team V. We have strong mitments to BoS VI. Appendix — Project Consultant‘s CVs . Kearney 37/2341 Bank of Shanghai – Credit Risk Management/Credit Proposal/yk 8 . Kearney Inc 2023年版 權 所有 ， 此文件任何部分未 經(jīng)科爾尼管理顧問公司事先書面 同意 ， 均不得以任何形式 復制 Proposed Initiatives and Expected Results II. Our Perspectives of BoS’ Proposed Credit Enhancement Program To effectively support BoS‘ credit risk imperatives, we are proposing 3 key initiatives that would support both BoS‘ shortterm and longterm results BoS Credit Risk Imperatives Expected Results From Proposed Efforts Statisticallybased risk grading model for both borrower risk grade, as well as process/methodology for future enhancements Audiencefocused portfolio risk management reporting design and highlevel system specification focused on reporting delivery process and information sourcing Identification of capability gaps along anization, process, tools and operations related to credit risk grading and portfolio risk management reporting Quantitative Model ? Financial Accounting Variables ? Existing Default Model Variables ? Borrower/Facility Variables Qualitative Model ? Management/Business Factors ? Industry Factors EDF + / Facility Risk (1) Borrower Risk Adjusted By X Lien Position Covenants Guarantee Facility Matching Collateral Coverage Grade 1 2 3 4 5 6 7 8 9 10 EDF (%) 0. – .02 .021 – .04 .041 – .10 .11 – .50 .51 – – – – – – 100 SP AAA AA A BBB BB B CCC CC C D Grade A B C D E F G H I J LGD (%) (2) 0 100. Facility Risk Grade Borrower Risk Grade Credit Risk Assessment Tools Facility Customer Concentration Limits Value Reports for President/VP Reports for HQ Credit Heads Reports for Creditrelated Department Head Reports for Branch Heads Facility Customer Concentration Limits Value Facility Customer Concentration Limits Value Facility Customer Concentration Limits Value 2023 2023 2023 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Q4 Q3 Q2 Q1 Ongoing ) ? Effectively conduct analytics based on current grading system ? Develop necessary portfolio management reports Shortterm Tangible Results Longterm Direction Setting Towards Excellence Initiatives Our Proposed Focus Area A. Credit Risk Grading Analytics B. Portfolio Risk Management Reporting Longerterm Capability Gap Assessment /Remendations . Kearney 37/2341 Bank of Shanghai – Credit Risk Management/Credit Proposal/yk 9 . Kearney Inc 2023年版 權 所有 ， 此文件任何部分未 經(jīng)科爾尼管理顧問公司事先書面 同意 ， 均不得以任何形式 復制 Credit Risk Grading Analytics Quantitative Model ? Financial Accounting Variables ? Existing Default Model Variables ? Borrower/Facility Variables EDF Facility Risk Borrower Risk X Lien Position Collateral Coverage Grade 1 2 3 4 5 6 7 8 9 10 EDF (%) 0. – .02 .021 – .04 .041 – .10 .11 – .50 .51 – – – – – – SP AAA AA A BBB BB B CCC CC C D Grade A B C D E F G H I J Loss Given Default (%) 0 Facility Risk Grade Borrower Risk Grade As for the risk grading analytical model, we would expect, within the 67 week project timeframe, to baseline the current grading system and build links between customer grading and decision making indicators like EDF Illustrative . Kearney 37/2341 Bank of Shanghai – Credit Risk Management/Credit Proposal/yk 10 . Kearney Inc 2023年版 權 所有 ， 此文件任何部分未 經(jīng)科爾尼管理顧問公司事先書面 同意 ， 均不得以任何形式 復制 For portfolio risk management reporting, we would develop the portfolio risk management framework, distribution and uses of necessary reports, as well as their formats and contents Reports Framework and Distribution Asset Allocation Categories Portfoli