公司信用风险管理(英文版,某大型国

01AgendaThe Credit Risk“Journey”Risk gradingPricing loans for riskEvolving Best PracticeCredit risk management for competitive advantageCommercial Credit Risk in Developing Markets2Fundamental Importance of Credit RiskuThe largest risk for most banks(operational risk largest risk for some)uAssessing and managing credit risk is a core competency of banks,and a key driver of bank performanceuVery significant advances in credit risk measurement have occurred over the past ten years,including development of sophisticated models for estimation of“Probability of Default”(PD)and“Loss Given Default”(LGD),for corporate,banks,small business and consumers Significantly improved ability to manage credit risk on a portfolio basis by more sophisticated banks But data limitations are significant in many marketsuThese models actually work:most successful Australian banks now have non-performing loans(90 days in arrears)less than 0.5%of lending assets(ANZ less than 0.3%)3The Credit Risk“Journey”(I)Key steps on the Journey for Credit Risk include:Establishment of separate credit approval team,independent of the businessCollection of comprehensive loss data for all material business segmentsDevelopment,testing and implementation of internal rating tools Probability of Default(“PD”),based upon historical loss data from each business segmentUsing the output of the internal rating tools to drive the credit decision and management process,to establish consistency of credit approvalsDevelopment of comprehensive credit risk information systems,databases and reports,showing large and high-risk individual exposures and portfolio information,including risk-grade profile segmented by industry and geographyDevelopment&dissemination of credit risk policies for each business segment The Risk Management Journey typically begins with Credit Risk(largest risk for most banks)4The Credit Risk“Journey”(II)Key steps on the Journey for Credit Risk include:Implementation of comprehensive credit limits framework(including limits for individual counterparties,varying according to PD and tenor,also industry and geographic exposure caps)Development of Loss Given Default(“LGD”)estimates from historical dataEstimation of Expected Loss for each loan,or other credit productPricing loans for riskEstimation of Unexpected Loss and Economic Capital,using correlation estimatesDevelopment of“early-warning”triggers for deteriorating counterpartiesDevelopment of active Credit Portfolio Management function,to shape the credit portfolio and optimise risk-adjusted return(where markets permit)Development of systems and models for measuring and managing traded credit risk(i.e.,potential and actual credit risk which arises to derivatives counterparties)The Risk Journey typically begins with Credit Risk(largest risk for most banks)5Primary Importance of Internal RatingRating Capital AllocationBuy/sell/hedgeoptimizationRisk Limits and policies EL and economicCapital Creditapproval processesRisk pricing For leading banks,the internal rating(estimate of Probability of Default)for corporate and retail customers is at the core of all aspects of effective credit risk management,including credit approval decisions and exposure limits Thus,it is essential that this rating be as accurate as possible;a variety of specialized tools are used to determine the rating of customers in different business segments6Example:for large Corporate loans ANZ uses credit rating tools and a“dual approval”process Business Unite.g.Institutional BankingGroup Risk ManagementSingle customer concentration limitsHas responsibility for customer relationshipPrepares credit submissionsFinancial AnalysisCredit scoringRating agenciesKMVRelationship TeamRelationship Credit GroupCustomer pricing,taking into account risk,capital allocation,relationship costsPortfolio CapsCredit TrainingPortfolio modellingIndependent Credit Approval FunctionDual approval processSound judgementCredit decision Separate from relationship team Remuneration not linked to deal flow Experienced practitioners Largest deals approved by Credit CommitteeDeal Structuring&Security/Covenants7“Single Customer Concentration Limits”may be determined by the risk grade and security levelSub Investment Grade Investment Grade.Pricing increases with riskIllustrative8Example:Risk Grading FrameworkTwo dimensional matrix of default rate and Loss Given Default(LGD)Customer Credit Rating(risk of default)Security Indicator(ability to limit loss by holding security)Customer SecurityAbility to service/repayRisk of default Customer Credit RatingLoan security coverSecurity Indicator RISK GRADE Slide 89Example:Risk Grading FrameworkSlide 9SECURITY INDICATORABCDEFGIKMSCCRModifier 130%100 to 129%80 to 99%60 to 79%40 to 59%1 to 39%NilIntra-Group GuaranteeCash CoverMezza-nine FinanceSovereign Borrow-ings0 +1+,None,-2+,None,-3+,None,-4+,None,-5+,None,-6+,None,-7+,None,-8+,None,-9None10None4+CCustomer Credit RatingRisk GradeNumeric RatingSecurity IndicatorModifierAll customers are assigned a risk grade that reflects the risk to the Bank of extending credit.The risk grading scale is very detailed,and comparable to systems used by the Rating Agencies.10Segment-specific rating tools are founded on statistical models,and may also include a judgmental component Generic Model Framework Objective,quantitative inputs Model delivers a probability of Default Management strength Competitive position Industry factors(Etc.)Qualitative OverlayPDScoreExternal ratingsScenario analysisAdditional factors Guided by policy Separate tracking of statistical model performance and overridesFinal RatingFinal Risk Grade Each major segment should have a statistical rating model at the start of the rating process,applying objective and accurate customer data to calibrate subsequent rating steps In the case not enough data is available,efforts to collect data have to be stepped up and conservatism needs to be applied while the data is collected In the case not enough data exists,the borrower segment may be pooled with segment with which it is broadly consistent and allow for specific,out of model judgement that can be stored for future validation and design purposes Where judgment is used in the determination of the final risk grade,it is essential to separately track the performance of the statistical model and the judgmental over-rides Key Q:is the application of subjective judgment making the PD estimates more accurate?Statistical Model11Example:Corporate PD Model CoverageBaseAgriculturePropertyFinanceCompaniesGovernmentsInsuranceBrokersInvestment banks/Fin.CompaniesDeposit Taking InstitutionsExternal SovereignDomestic SovereignLocal GovernmentCommodity FinanceProjects/SecuritisationMore internal data and straightforward statistical modelsMore external data and complex modelsFinancial ModelNon Financial Development InvestmentLargesmallNon RecourseFinancial ModelNon FinancialsmallsmallsmallIllustrative12Leading banks hold Economic Capital(or“Risk”Capital)to protect against“Unexpected Loss”Economic Capital is different from minimum regulatory capital,and shareholders capitalModels employed to quantify risk are used to allocate Economic CapitalRisk capital models are typically based on institutional estimates of loss distributions for the relevant risk types,and correlation estimatesEconomic capital allocated to a particular activityreflects that activitys marginal risk contribution to the organisation,taking into account diversification between risk types and asset classes(where possible).Banks hold Economic Capital for“Unexpected Loss”Conceptual Framework:Applications:Risk-adjusted pricing of loansMeasure risk-adjusted business unit profitability,and ensure efficient usage of shareholder fundsPortfolio risk management,including setting of credit limits&reporting portfolio credit qualityZerolossesExpected level of loss(cost of doing business)Unexpected lossfor which economic capitalshould be heldPotential catastrophic unexpected lossagainst which it is too expensive to hold capitalProbabilityof lossAmountof loss13OperatingOperatingExpenseExpenseCapital FinancingCapital FinancingTransfer/AcceptTransfer/AcceptAmount of lossFrequency oflossExpected lossUnexpected lossStress lossPD(and LGD)estimates from rating tools underpin the calculation of Economic Capital For Unexpected Loss99.xx%Confidence levelAB14“RAROC”Method of Pricing Loans for RiskComponentExampleSourceCost of Funds6.00%Funds Transfer Pricing SystemsExpected loss0.53%Credit Risk Models(PD x LGD)Direct Expense0.15%Indirect Expense0.15%Product Cost Accounting SystemsOverhead0.10%Total charges beforecapital charge6.93%Capital Charge0.45%Total Required“Breakeven”Loan Rate7.38%Capital calculationAllocated equity/loan=6.7%(from credit risk model)Opportunity cost of equity=12%(“hurdle rate”)FTP Benefit=6%After tax capital charge=0.067x(0.12-0.06)=0.4%Tax Rate(imputation-adjusted)=0.108Pre-tax capital charge=0.4%/0.892=0.45%15Example:Extending Corporate CreditBusiness UnitWholesale CreditCredit CommitteeExecutive Judgement in making critical credit decisionsBoard Sets the Banks Risk ToleranceApproval to Proceed with TransactionShared Responsibility for Lending16Example:Wholesale Credit StructureSupport Functions Operations,Administration,PolicyResponsible for supporting the Corporate Business Units in achieving sound profitable growth of lending assets through independent and objective credit assessment and adviceBank and Country RiskCENTRALISED FUNCTION to manage bank credits and assess cross border riskInstitutional Financial ServicesWholesale RiskReal Estate Credit UnitCENTRALISED FUNCTION to provide specialise property advise Joint responsibility for lending decisions Develop viable business proposition Dual Approval over$2m Credit Staff Co-located17Example:10 Credit PrinciplesAssess the customers character for integrity and willingness to repayOnly lend what the customer has the capacity and ability to repayPlan for the possibility of defaultOnly extend credit if we can sufficiently understand and manage the riskEnsure independent credit participation in the credit processBehave ethically in all credit activitiesBe proactive in identifying,managing,and communicating credit riskBe diligent in ensuring that credit exposures and activities comply with group requirementsOptimise risk and rewardBuild and maintain a diversified group portfolio18Credit Risk Management ResponsibilitiesDual approval of credit decision by Credit Operations and Lines of BusinessCredit Risk Management ResponsibilitiesManagement of Credit AuthorityCredit OperationsCo-Location of Credit&BU StaffRisk PolicySupports the Groups business objectivesSpecialisation Property and Construction Unit in Institutional Banking,Real Estate Credit Unit in Wholesale RiskShare joint and several responsibility for lending decisions(dual approval)Wholesale Risk staff provide coaching on credit mattersWorkshop Business proposals with Business UnitsCredit Policy and ProceduresCredit CircularsRisk Grading tools and manualsIndustry ProfilesBank&Country RiskRisk assessmentSetting Risk AppetiteTransaction and Portfolio managementManagement of Country Risk CommitteeRisk Reporting and Compliance19Wholesale Credit Risk ProcessesProvide Strong Credit Risk Control to Support Business Initiatives Resulting in No SurprisesRISKBUSINESS UNITANZ CUSTOMERCredit InformationAPPROVAL PROCESSManage Credit RiskFinancial Analysis and projectionsSecurity reviewCovenantsProduct risksRisk MitigantsIndustryManagement Credit risk metrics(default and loss)Policy and controlsExternal analysis and ratingsRelationship StrategyPricing,Returns and Repayment TermsAligned to banks 10 Credit PrinciplesWholesale RiskBusiness UnitCredit Risk AssessmentCredit MemorandumRecord of Proposal,Analysis,Recommendation and ApprovalCredit Decision Dual ApprovalCustomer SegmentFinancial StatementsCash Flow ReportsProduct StructureCredit ReportsRatings InformationSecurity DocumentsTerm SheetsIndustry ReportsGeography/Cross borderRelated risks,markets,operating,environmentCustomer DeteriorationProduct ManagementPortfolio concentrationsAsset QualityCredit risk eventsTriggers financial,covenants etcComplianceReporting/MISReviewsCredit risk measurement(default and loss)20Evolving Best Credit Risk PracticeCredit Risk Management PracticesBasel II CompliancePortfolio MonitoringEconomic Capital AllocationRisk Grading ModelsCredit Portfolio ManagementEnterprise Wide Risk ManagementChanges to risk grade profiles,emerging trendsin terms of industry,geography,large single counterparty exposuresRAROC compensation schemes that align regulator,shareholder and management incentivesSophisticated modelling approaches and quantitative pricing modelsStress testingSeparation of origination from portfolio investmentAggregation of risk across all customers,markets,products and business unit boundariesReduce Credit Risk21Industry best practice is evolving rapidlyBanks have heightened expectations from their credit departmentsnCredit markets are now more volatilenSpread risk and default risk have increased in recent yearsnThe Institutional Financial Services and Corporate/Small to Medium Enterprise Banking environment is increasingly competitivenIncreased regulatory oversight of our industry,including Credit Risk managementnCertain impact from the Basel Capital Accord reformCredit Risk industry best practice is evolvingThis can be turned into a competitive advantage22Credit as a competitive advantage-Achieved through continuous optimisationFrameworkAnalysisMeasurementManagementRe-AssessmentA clearly defined framework outlining how the bank intends to manage its credit riskThe basis for the deliberate management of credit riskIdentifying and reporting the levels of risk taken in the pursuit of businessThe creditworthiness of our counterparties and the amount of exposures we have are both dynamic and each should be proactively managedIf the risk/reward relationship is not in balance relative to the banks expectations,need to recalibrate23Stage 1:The FrameworknA common understanding of what constitutes acceptable risk for the banknThe processes and structures through which credit risk is managed:nIt defines the level of communication and coordination between risk management and the business unitsnIt is the link between risk management and our strategic and financial objectivesnThis results in:nCredit policies,procedures and guidelines that provide claritynExtensive coordination between colleague departmentsnA group wide shared view on risk appetite24Stage 2:The AnalysisThe basis for the deliberate management of credit risknBank processes must generate unbiased credit decisions and consistent ratingsnSound credit risk assessment lies at the foundation of the granting of:nCredit limitsnCredit pricingnProvisioningnCapital allocationnTypically,ratings are derived from a wide range of sources including models and“expert judgment”;need to ensure balance between flexibility and consistencynIncreased attention to portfolio level trends is required25Stage 2:The AnalysisCredit AppetiteSingle Customer Concentration LimitsCredit PoliciesPeople with Relevant ExperienceCredit TrainingDelegated Authorities(Credit Approval Discretions)Due DiligenceRatings ModelsRatings ReviewsCounterparty RatingsFacility RatingsAchieving consistent and robust ratings26Stage 3:Measurement&ReportingComplete and accurate reporting is a pre-requisite for effective,pro-active risk management.To identify and accurately report on all risks,the bank requiresComplete and accurate identification of all credit risk bearing businessCurrent and potential exposure levelsThe ability to compare trends to historical dataInput from and coordination with colleague departmentsNote:“One Customer View”a daily,aggregated view of all exposures to the customer,or customer group,is industry standard practice and is a Basel II requirement for IRB banks27Stage 4:ManagementIndividual ExposuresRisk ConcentrationsTransaction and Portfolio AnalysisEarly Warning SignalsScenario ModellingPortfolio Credit MitigationTransactional Exposure ManagementRecalibrationAchieving a consistent approach to Risk management28Stage 5:Re-assessmentOptimised Credit Risk Management improves ROETherefore need to continuously re-assess performance relative to:Default experience by tracking the accuracy of internal ratingsRatings impact the size of credit limitsDont want to incur higher levels of defaults than expected levelsIf ratings are too high,bank will under-estimate risk and credit limits will be too highIf ratings are too low,limits will be too low and bank may miss businessLoss Given Default:Monitor the effectiveness of risk mitigation activitiesOutperform(achieve lower than expected losses)Under-perform(incurs unexpected losses)If not satisfied with our overall performance,then recalibrateThe levers are the risk management processes and tools This will enable the bank to use the management of credit risk as a competitive advantage and enhance ROE29Possible areas of special focus Special focus is required on Risk Strategy,Risk Assessment and Portfolio Management Effort in all of these areas can effect real change Renewed focus on Asset Writing Strategies Invest in getting the right number of people with the right skills Enhance credit tools and practices to ensure robust risk grading outcomes Monitor rapidly growing and changing industries Continued focus on risk infrastructure pricing and capital models,transaction and risk databases Monitoring:segments,industries for emerging trends Continuous Optimisation-Recalibration Portfolio ManagementStrategy Risk Assessment30Align Credit Strategy with Business StrategyIntegrated view of whole portfolio31Commercial Credit Risk in Developing MarketsBest Practice in commercial risk management is a combination of art and science:Science from the use of analytic scoring models and art from the judgment of skilled credit officersMany banks fail to achieve Best Practice.This failure is due to one of a number of reasons:They dont apply the science,i.e.,the rely entirely on judgementThe mis-apply the science,i.e.,they have the model but it doesnt work because it wasnt built correctlyThey have a great system but it is ignored,i.e.,the front line staff either don?t use it or over rule it most of the time32Commercial Credit Risk in Developing Markets(II)In developing markets there are very many banks which have one or more of these problems,e.g.,a Polish bank that built a good model but unfortunately it made things worse because it was out of date before it was first appliedIn contrast in Asia there are a few banks that have made huge improvements through the application of a number of Best Practice principlesThe models are based on extensive use of local factors that often are much more predictive than the generic factors from developed markets,e.g.,In Eastern Germany small businesses where the owners use their personal credit cards in red light areas tend to be very riskyExtensive use is made of techniques to overcome poor quality dataThe art is highly standardized,i.e.,the credit officers apply judgment by they do so through using very systematic expert systems,these systems codify the knowledge of the banks best credit officers,enabling junior/new credit officers to reach similar assessments as the best credit officers33Commercial Credit Risk in Developing Markets(III)Banks that have systems based on these principles understand risk better than their competitors and as a result make much higher profitsThey screen out the high risk customersThey can identify the higher margin customers and therefore grow more where profits are greater,e.g.,a Malaysian bank increased its small business lending volume by around 400%at the same time as cutting NPLs.It could do this because it could measure risk better than any other Malaysian bank34Commercial Credit Risk in Developing Markets(IV)However,achieving these benefits requires。