信用風(fēng)險管理(ppt15)-風(fēng)險管理-展示頁
2024-08-30 20:36本頁面
【正文】 application, contract and past customer performance data. Models update regularly off of a management information system, thus immediately reflect changes in applicant population characteristics and probable performance outes ? Custom scorecards – constructed for specific products using a bank’s direct experience ? 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 。 All financial instruments Country and counterparty information database /Management Information System Classes of Transactions Routine Non Routine Accounting Estimates Define credit risk management policy Loan application and drawdown Define risk appetite Loan administration Portfolio management Risk assessment Actively manage credit risk position using management information To be: ? Relationship managers ? Group Credit Risk Management Department ? Credit Risk Management Departments (corporate and personal) Control applied Back office payment system Collateral requirements Systems Management information Credit limit reports Economic indicators Activities Outputs Credit ratings Historic data on Customer, counterparty, industry,
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