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首页 信用风险管理

信用风险管理.ppt

信用风险管理

erixhao
2012-03-04 0人阅读 举报 0 0 暂无简介

简介:本文档为《信用风险管理ppt》,可适用于经济金融领域

CreditRiskManagementEnhancingYourBottomLineCreditRiskManagementEnhancingYourBottomLineEbrahimShabudinManagingDirectorDeloitteToucheLLPTheAFPrdAnnualConferenceNewOrleansNovember,CreditBackgroundCreditBackgroundThoroughidentificationandaccuratemeasurementofcreditrisk,supportedbystrongriskmanagementcanhelpimprovethebottomline…Anuncertainandvolatileeconomicenvironmentsignificantlyimpactsthisability…ThedesiretogrowandturninoutstandingresultshasatendencytoputpressureonthechecksandbalanceswithinbusinessesValuePropositionValuePropositionCreditplaysacriticalrolein“selling”productsandservicesExpandsrevenueopportunitieswithcreditworthy,incrementalcustomersUtilizesinnovativestructurestosupportbusinessrelationshipsEffectivecreditriskmanagementlimitscreditlossesandprovidesstablecashflowsandearningsMarketplacerewardscompaniesexhibitingearningsandcashflowstabilitywithhigherPEmultiplesMarketplacepenalizescreditinducedvolatilityand“surprises”RaisesquestionsaboutqualityofmanagementCorporateCreditRiskCorporateCreditRiskCompaniesareexposedtosignificantlevelsofcreditriskemanatingfromdifferentsourcesAccountsReceivablesOtherNotesReceivablesBuyerandFranchiseFinancingWithRecourseFinancingProjectFinanceStructuredTransactionsLeaseswithRecourseDerivativesExposuresFX,InterestRateRisk,CommoditiesetcCollateralRiskParentorThirdPartyGuaranteesCommercialandStandbyLettersofCreditNotealsothatCriticalSupplierstothecompanymayposespecificcreditriskDSOImpact…anexampleDSOImpact…anexampleCreditasaFacilitatorCreditasaFacilitatorCreditriskmanagementisimportantCreditisafacilitatorofbusinessgrowthandperformanceHighbusinessmarginstendtoattractlowerqualityclientsandthereforehigherriskprofiletomanageClients(buyers)maybeconcentratedinselectedindustriesandprovidelimitedportfoliodiversificationopportunityPoorcreditriskmanagementresultinginnegativeimpacttobottomlineisheavilypenalizedbymarketsCreditStrategyRiskToleranceCreditStrategyRiskToleranceSpecificQuantifiableObjectivesManagementReviewMethodologyCreditStrategyStatementandRiskToleranceCoordinationwithBusinessPlanThebusinessstrategiesandobjectivesdrivetheestablishmentofcreditpoliciesandproceduresMeasurementandreportingaswellastheuseofcurrenttechnologiesenhancecreditdecisionmakingandimproveriskmanagementTheentireprocessiscontinuallyreevaluatedandimprovedCreditRiskAreastoConsiderCreditRiskAreastoConsiderCreditPolicyCreditApprovalAuthorityLimitSettingPricingTermsandConditionsDocumentation:ContractsandCovenantsCollateralandSecurityCollections,DelinquenciesandWorkoutsExposureManagementAggregationControlPeriodicAccountReviewsPaymentsAgingCreditConditionCompliancewithCovenants,TermsTechnologyReportsTransactionsBookingsRiskadjustedReturnSalesChannelsRiskStrategyUnderwritingStandardsCreditApplicationAnalysisBusinessIndustryFinancialCreditCreditScoringandRatingsOriginationAssessmentAdministrationMonitoringControlRiskManagementPortfolioManagementConcentrationDiversificationAllowanceforBadDebtsRiskMitigationObjectivesTypeofExposureInstrumentsorMethodsValueCreationBusinessPerformanceMeasuresOrganizationsneedarigoroussetofmeasurestosupportcontinuousimprovementPerformancebasedmanagementutilizesmetricsthatmeasureactualperformanceagainstpredeterminedthresholdsThethresholdsareestablishedtakingintoaccounttheorganization’sstrategy,operatingenvironmentandprocesscontrolsThemeasuresdrivevaluecreationandshouldsupportproblemidentificationandcorrectionBusinessStrategySystemsOperationsFinancePerformanceManagementSaleschannelsContractsDocumentationCreditanalysisCreditlimitPricingtermsCreditAnalysisCreditDecisionsCollectionsCREDITPOLICYCollateralacceptancePortfoliomanagementFinancialanalysisDisposalRiskmitigationCollateralmanagementCustomermanagementExposuremeasurementManagementreportingExposureaggregationRecoveriesCreditscoringRiskratingRISKMANAGEMENTCreditRiskManagement’sInterrelatedActivitiesComplianceOriginationReportingTransactionsCreditRiskManagementCreditRiskManagementAcompleteandcoherentriskmanagementframeworkcontainsthefollowingelementsCreditPoliciesProceduresAnalysisRiskManagementGovernance,ControlandImplementationMeasurementMethodologiesTechnologyDataIntegrityCreditStrategyRiskToleranceANewParadigmANewParadigmAnewbusinessparadigmhadevolved:causingalackofrelianceongoodfundamentalanalysisTheideathatstockmarketvalueswouldcontinuetogoupindefinitelyIncreasinglycompetitive,complexandvolatilemarketplaceHigherthanexpectedactualdebtburdensExtensiverelianceonunrealisticfuturecashflowsFailuresincorporategovernanceQuestionablepersonalandcorporateethicsImplicationsforCorporateGovernanceImplicationsforCorporateGovernanceCurrentorganizationstructurestoberevisitedClarityaroundrolesandresponsibilitiesNeedforhonesty,integrityandindependence(selfregulation)TechnicalexpertiseofpeopleandstrongmanagementprocessesImproveddisclosurerequirementsImportanceandimplementationofsanctionsIncreasedlegislationandcompliancerequirementsCreditRiskManagement–StrategicVisionCreditRiskManagement–StrategicVisionFoundation:CreditRatingandUnderwritingStandardsRiskIdentification,Origination,CreditAdministration,etcShortTerm:ManagingExpectedLossRiskIdentification,TransactionStructuring,ApprovalPricingDecisions,Reserving,etcNearTerm:ManagingEconomicCapitalCreditVaRPortfolioRiskConcentration,RiskBasedLimits,etcVision:ManagingRiskReturnPricingdecisions,Performancemeasurement,businessandcustomersegmentation,compensation,etcAbusinessmodelviewofCreditRiskInfrastructurecomponentsDevelopmentStagesDevelopmentStagesFoundationStageincludesapplicationofriskidentificationmethodologies,riskscoringorratingsystemsandstrongunderwritingstandardsBasicStagetendstoincludemanagingonatransactionalbasisbyevaluatingspecificattributessuchasstructuring,collateralandpricingAdvancedStagerepresentsmanagingonaportfoliobasisincludingaspectssuchasconcentrations,correlationsanddiversificationTheSophisticatedStageincludesapplicationofhighlydevelopedmeasurementtechniquesfortransactionsandportfolios,supportedbydecisionmakingrelatingtosegmentsorbusinessesagainstestablishedhurdleratesCreditRiskClarifiedCreditRiskClarifiedCreditriskisdefinedastheriskoflossorpotentiallossresultingfrom:DefaultincontractualobligationsbyacustomerMigrationinconditionandratingDeteriorationinperformanceCreditriskincludesbothanexpected(predictable)andunexpected(volatile)losscomponentBusinesseshavetocontendwithExpectedandUnexpectedLossesBusinesseshavetocontendwithExpectedandUnexpectedLossesExpectedLossesAnticipatedCostofdoingbusinessChargedtoprovisionsCapturedinpricingRelativelyeasiertomeasureAssessingexpectedlossincludesdeterminingexposure,defaultprobabilityandseverityUnexpectedLossesUnanticipatedbutinevitableMustbeplannedforCoveredbyreservesAllocatedtobusinessesDifficulttomeasureAssessingunexpectedlossrequiresmakingqualitativejudgmentsaroundpotentialvolatilityofaveragelossesCreditRiskManagementExplainedCreditRiskManagementExplainedAlthoughcreditriskmaybedifficulttomeasureitisimportanttoestimateandmanageWhatdoesCreditRiskManagementmeanItrepresentsaninstitution’sabilitytoproperlyidentifyandevaluatethepotentialriskofdefaultinpaymentofobligationsofcustomersItincorporatesthefirm’sabilitytoeffectivelymanageandcontrolthisexposureinawaythatisconsistentwiththeinstitution’sbusinessstrategy,riskappetiteandcreditcultureImportantBuildingBlocksImportantBuildingBlocksEffectiveCreditRiskManagementrequiresClearoriginationandunderwritingstandardsAstrongcorporateandcreditcultureHighlydevelopedriskmeasurementtechniquesAbilitytorecognizeandcoverexpectedandunexpectedlossesPricingcommensuratewithrisksundertakenMethodologiestoassessnetprofitcontributionsbycustomersandappropriatebusinesssegmentsProperallocationofcapitalandmanagementresourcesInorderto:Improveoverallcorporateperformance,measuredbyahigherEPSorPEratio(ormarketvalue)CreditPolicyandProcessCreditPolicyandProcessCreditPolicyshouldbeclearandconciseCreditUnderwritingStandardsmustbedevelopedandincludedinpolicyCreditProcessesshouldbereasonableandallowquickresponsetoclientsHealthybalancebetweensalesandcreditapprovalshouldexistandberespectedRiskMonitoringRiskMonitoringExposuremustbecompleteandcurrentRegularreportingandupdatingofclients’paymentperformanceMinimumannualreviewsofclientsshouldbeperformedFinancialconditionsshouldberegularlyassessedRequiredactionmustbeinitiatedandfollowupmusttakeplaceContractTermsandDocumentationContractTermsandDocumentationContractnegotiationsmusttakeplaceattherightlevelintheorganizationAppropriateapprovalsmustbeobtainedInternalorexternallegaldepartmentsmustdocumentcompletelyTermsandconditionsshouldbeunderstoodandcompliancemechanismputinplaceExceptionsmustbereportedandmanagedurgentlytoresolutionRiskRatingSystemEffectivenessRiskRatingSystemEffectivenessCreditScoringisgenerallyusedto“riskrate”homogeneousportfoliosHighestapplicabilityisinconsumerandretailportfoliosSomeadvancedscoringsystemsarebeingmigratedforuseinrating“middlemarket”clientsSuchmodelsareonlyasgoodastheunderlyingassumptionsInternalcreditratingsystemsaredifficulttoassessandareoftennotindependentlyvalidatedClientrelationshipmayinterferewithobjectiveassessmentofrisksRatingcriteriausuallyamatterofpracticeratherthanwrittenpolicyRatingsarenotconsistentovertimeQualitativecreditassessmentsoftenlagcurrentmarketinformationInstitutionsoftenassumeamappingwithexternalratingsinordertoquantifycreditriskEffectiveRiskRatingSystemsEffectiveRiskRatingSystemsSufficientgranularityofriskratingcategoriesAccurateandtimelyassignmentofratingsClearandconsistentapplicationofdefaultdefinitionPeriodiccalibration,triangulationandvalidationofriskratingsAccurateidentificationofmigrationoftransactionsandportfolios(asreflectedbyupgradesanddowngradesinratings)CreditEvaluation:FinancialFactorsCreditEvaluation:FinancialFactorsGettheinformationyouneedtomakeafullanalysisSomeinformationwillneedtobecrosscheckedandobtainedonaregularandtimelybasisBeconstructivelycynical:newbusinessmodelsaredifficulttopulloffBecognizantofdelayingtacticsNumbersdon’ttellthewholestory!CreditEvaluation:QualitativeFactorsCreditEvaluation:QualitativeFactorsEvaluationofsubjectivefactorsisoftentimesmoreimportantthanthenumericalanalysisPeoplemakeabusiness:visions,valuesandstrategiesareonlywordsunlesspeopleimplementthemManagement,industry,product,geography,competitionetcallinfluenceresultsandmustbeproperlyassessedAnalysisparalysismayleadtowrongdecisionsArtandScienceofJudgmentArtandScienceofJudgmentGettingaccesstothebestclientsandalltherelevantinformationisachallengeEnsuringproperanalysisisdonerequiresastrongcorporatecultureUtilizingqualifiedresourcesbothinternallyandexternallyenhancestheresultsOftenthelackofthewilltoactiswhatcauseshighlossesConcludingCommentsConcludingCommentsCompaniesthatmeasureandmanagecreditriskinaproactivemannerwillbenefitfromafavorableriskprofileresultinginHigherrevenueLowerlossesImprovedefficienciesHigherEPS,PEratiosandmarketvaluesConcludingCommentsConcludingCommentsRiskAssessmentandLimitManagementCreditInfrastructureandPortfolioManagementCreditAnalyticsSupportCreditTechnologyEnablementCreditQualityCreditUnderwritingRiskRatingSystemEffectivenessCounterpartyandPortfolioLimitsOrganizationalStructurePoliciesandProceduresTechnologySelectionandImplementationProblemAssetManagementRiskRatingCalibrationTransactionPricing,StructureandSupportDefaultProbabilityandRecoveryCalibrationCreditReserveMethodologyRiskBasedPricingModelsRiskAdjustedReturnAnalysisPortfolioValueMeasurementCreditRiskMeasurementCreditPerformanceScorecardsInternalSoftwareExternalVendorSoftwareAppendix:BusinessProposalChecklistAppendix:BusinessProposalChecklistBusinessProposalSummaryCustomer,Rating,LegalStatus,LineofBusinessGuarantor,ifany…sameCollateral,ifany…truevalueexplainedOtherSupport,ifanyLegalormoralonlyTheTransaction…risksandmitigationAmount,purpose,termsandconditionsSourcesofrepayment…clearlyidentifiedClientpaymenthistoryandrelationshipAppendix:BusinessProposalChecklistAppendix:BusinessProposalChecklistRationaleandAnalysisCustomer,Guarantor,Collateral,SupportFacilityDescriptionAmount,purpose,tenor,pricing,terms,conditions,covenants,restrictionsetcConsideraffectonaboveegnewleverageFacilityRatingRepaymentCapacityFuturecashflow,conversionofassetsetcConsistencywithCreditStrategyandPolicyConfirm,andidentifyanyexceptionstopolicy,underwritingstandards,orprocessRiskadjustedreturnacceptabilityAppendix:BusinessProposalChecklistAppendix:BusinessProposalChecklistClientRelationshipBusinessstrategy:increase,maintainordecreaseexposureorexitrelationshipConsiderrelationtorating,latestriskprofileandpaymentperformanceCustomerprofitability:riskadjustedreturn,revenue,fees,directandallocatedcostsetcAnyconflictsofinterestorspecialconcernsAppendix:BusinessProposalChecklistAppendix:BusinessProposalChecklistMacroAnalysisBusinessEnvironmentReviewCustomer’scompetitivemarketpositionandfutureindustryprospects:size,cycle,volatility,newentrantsStrengthofcustomer’sbusinessandfinancialstrategiesManagementEvaluation:competency,experienceandeffectivenessAppendix:BusinessProposalChecklistAppendix:BusinessProposalChecklistCustomerAnalysisCompanyhistory,background,objectivesandperformanceRelevanceandstrengthoffuturebusinessplansConsiderseasonalityandscenarioanalysisPrimaryandsecondarysourcesofrepaymentHistoricalfinancialcapacityandanalysisoffutureperformance:sales,profitability,workingcapital,liquidity,cashflow,leverage,tangiblenetworthetcQualityofearningsAbsoluteandratioanalysisPeercomparisonsAppendix:BusinessProposalChecklistAppendix:BusinessProposalChecklistStrengths,WeaknessesandRecommendationKeyfactorsthatcouldjeopardizecollection:environmentorcompanyspecificAnymitigatingfactorsConsiderprobabilityandimpactConsiderallsourcesofrepayment:primary,secondaryandtertiary,includingaccesstocapitalmarkets,refinancingetcSummarizestrengthsandweaknessesandconcludewitharecommendation

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