信用風險管理(ppt15)-風險管理-在線瀏覽
2024-10-21 20:36本頁面
【正文】 country defaults Collateral information 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 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
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