个人信用卡组合.ppt

macroeconomic-based approach to credit loss forecasting 基于宏观经济的信用损失预测方法 consumer credit card portfolio 个人信用卡组合,delinquency migration, macroeconomic indicators & applications to portfolio credit risk forecasting 逾期变动、宏观经济指标以及在组合信用风险预测中的应用,credit portfolio analytics 信贷组合分析组,overview 概述,credit portfolio analytics group mission 信贷组合分析组的使命 to provide management with an independent, top-down, macroeconomic-driven asset quality forecast range, including a baseline forecast based on most-likely assumption, that is accurate, comprehensive, nimble, and actionable. 向管理层提供以宏观经济为基础、独立、自上而下的资产质量预测，包括根据“最可几”假设作出的、准确、全面、可提供行动依据的基准线预测。 assist in management of earnings volatility associated with risk in the credit portfolio. 协助管理与信用组合风险有关的盈利波动。 to mitigate significant potential losses due to event risk, and 减少因事件风险造成的重大潜在损失；以及 to design and implement proactive strategies for portfolio management. 设计和实施主动性的组合管理战略 old environmentone forecast opinion 旧的环境预测角度的看法 line-of-business/risk management provided asset quality forecast to senior management 由业务线/风险管理部门向高级管理层提供资产质量预测 “bottoms up” approachaccount level data ”自下而上“的预测方法账户级数据 - how many standard deviations from expected? 距离期望值有多少个标准差？ no contrarian view 不采取反向观点 not explicitly linked to future economic environment 没有与未来的经济环境建立明确的关联 one outcome provided to senior management 只向高级管理层提供一个结果 - conservative? reasonable? or a stretch? 保守？合理？还是太乐观？,overview 概述,new environmentone forecast opinion 新的环境统一的预测观点 provide ceo, cfo, and chief risk officer with an alternative to line-of-business forecasts 除业务线预测之外，向首席执行官、财务总监和风险总监提供另一个选择 forecasting based on a single view of the economy 根据对经济的单一看法进行预测 ability to run numerous simulation and sensitivity analyses 能够进行大量的模拟和敏感性分析 synchronized loan and interest income forecast with the corporate treasury 贷款和利息收入预测与集团司库部同步 objective 目标 the main objective is to produce a forecast of the credit loss associated with the consumer credit card taking into account the following factors: 主要目标是在考虑以下因素的前提下，提供与个人信用卡有关的信用损失预测 underlying macroeconomic indicators 相关的宏观经济指标 the banking industry credit environment 银行业的信用环境 migration of banks loans along the delinquency bucket spectrum (including bankruptcy/deceased status and charge-offs) 银行贷款沿逾期档自低向高的变动（包括破产/状况恶化和撇账） models produced for commercial products 开发用于商业产品的模型 macroeconomic-based loss forecast models have been developed (for combined bank of america and fleet legacy portfolios: 已经开发基于宏观经济的损失预测模型（针对美国银行和fleet两家公司合并前的组合）： legacy bank of americacredit card (total managed) 美国银行合并前信用卡（管理的全部信用卡贷款） legacy fleetcredit card (total managed) fleet 合并前信用卡（管理的全部信用卡贷款） legacy fleetcredit card (master trust) fleet 合并前信用卡（主信托结构） legacy mibnaconsumer card-us (total managed, securitized) mibna合并前美国个人信用卡（管理的全部信用卡贷款，证券化） legacy mibnaconsumer card-europe (total managed, securitized) mibna合并前欧洲个人信用卡（管理的全部信用卡贷款，证券化） legacy mibnaconsumer card-canada (total managed, securitized) mibna合并前加拿大个人信用卡（管理的全部信用卡贷款，证券化）,main components of the loss model 损失模型的主要组成部分,step 1 : establishing the future credit environment 第1步：确立远期信用环境 using forecasted economic data, estimate the future consumer credit cycle index (ccci). 使用预测的经济数据，估算远期的消费者信用周期指数（ccci） step 2 : applying the credit environment to the banks portfolio 第2步：对银行的信用组合应用信用环境 derive future delinquency migration matrices based on the forecasted ccci. 根据预测的ccci导出远期的逾期变动矩阵 step 3 : forecasting the banks credit quality, and delinquencies 第3步：预测银行的信用质量和贷款逾期情况 multiply current delinquency bucket distribution by forecasted migration matrices to arrive at the future delinquency dollar distribution. 用预测的变动矩阵乘以当前的逾期档分布，得出远期的逾期金额分布。 account for new business, and pay-downs, and align with corporate treasury, line of business finance, as well as securitization finance overall loan growth targets. 在考虑新业务和现金支付情况的前提下，就贷款增长的总体目标与集团司库部、业务线财务部以及证券化融资部取得一致。 step 4 : forecast the credit loss 第4步：预测信用损失 for “defaulted” loans, apply “severity of loss” assumptions (or one minus recovery rate). 对“违约”贷款，应用“损失严重度”假设（或1减去回收率）。 produce a projection of “potential credit loss” for future time-periods. 得出远期“潜在信用损失”的预测值。,loss forecast process 损失预测流程,step 1 : establishing the future credit environment 第1步：确立远期信用环境 step 2 : applying the credit environment to the banks portfolio 第2步：对银行的信用组合应用信用环境 step 3 : forecasting the banks credit quality & delinquencies 第3步：预测银行的信用质量和贷款逾期情况 step 4 : forecast the credit loss 第4步：预测信用损失,consumer credit cycle indexdomestic us 消费者信用周期指数美国国内,ccci indicates the credit state of the consumer credit card market as a whole ccci 反映个人信用卡市场的总体信用状况 due to the differences noticeable between the credit environment of the us and other countries, a region-specific credit cycle index was constructed for the us, canada, and europe credit card portfolios. 由于美国和其他国家的信用环境有明显的差异，因此针对美国、加拿大和欧洲的信用卡组合分别构造可地区性信用周期指数。 the index is designed to be: 指数的设计原则： “positive”, for good times, indicating lower levels of downgrading and defaults, and a higher upgrading probability, than average 在景气好的时期，指数为“正”，表明与平均水平相比，信用等级降低和违约处于较低水平，信用等级升高的可能性较高 “negative”, for bad times, implying higher levels of downgrading and defaults, and a lower upgrading probability, than average 在景气不好的时期，指数为“负”，表明与平均水平相比，信用等级降低和违约处于较高水平，信用等级升高的可能性较低,what is the ccci? 什么是 ccci？,how do we construct it? 如何构造这个指数？,as a representative of credit card economic environment the industry net charge-off rates was used. (the metric for the top 100 commercial banks) 采用代表信用卡经济环境好坏的行业净撇账率来构造这个指数。（100家最大的商业银行） a normal distribution transformation of the industry net charge-off rate is used. 采用按正态分布形式表示的行业净撇账率。,how do we model it? 如何模拟这个指数？,as a result of their relationship to industry ncos rate, and after testing economic data, the following variables are included in the ccci model: 考虑到这个指数与行业净撇账率的关系，在测试经济数据后，ccci 模型中包含以下变量： unemployment rate 失业率 the ratio of gdp to the number of national bankruptcy filing gdp与全国破产申请数的比值 quarterly growth rate of national bankruptcy filing 全国破产申请数的季度增长率 treasury bond spread (10yr. tr. bond minus 3 month tr. bill) 国债利差（10年期长期国债利率减去3月期短期国债利率）,model 模型,a comparison between the actual value of the industry net charge-off rate and the model fitted value was illustrated 行业净撇账率实际值与模拟拟合值的对比,the predicted value of the industry net charge-off rate was converted into a credit cycle index value. the bar chart graph is an illustrative representation of this consumer credit cycle index. 行业净撇账率的预测值转换为信用周期指数值。条状图代表这个消费者信用周期指数，只用于示意的目的,for illustrative purposes only 仅用于示意目的,consumer credit cycle indexdomestic us 消费者信用周期指数美国国内,行业净撇账率预测新模型,消费者信用周期指数与行业净撇账率新提出的模型,consumer credit cycle indexccci & macroeconomic indicatorsus 消费者信用周期指数ccci与宏观经济指标美国,increase in gdp and decrease in bankruptcy filings have a positive impact on the credit environment gdp增长和破产申请数下降，对信用环境有积极的影响.,higher unemployment affects negatively the credit environment. 失业率增加，对信用环境有负面影响,higher bankruptcy growth translates into worse credit environment. 破产加速增长， 信用环境恶化,higher treasury spreads are positively related to the dynamics of the credit cycle. 国债利差增加，与信用周期的动态是正相关关系,for illustrative purposes only 仅用于示意目的,gdp与全国破产申请数的比值滞后1个季度,失业率 滞后3个季度,国债利差 滞后8个季度,全国破产申请数增长速度 滞后4个季度,consumer credit cycle indexcanada & uk 消费者信用周期指数加拿大和英国,what is the canadas ccci? 加拿大的 ccci 是什么？,ccci indicates the health of the consumer credit card market of canada as a whole. ccci反映加拿大个人信用卡市场的总体健康状况,how do we model it? 如何模拟这个指数？,as a result of their relationship to industry ncos rate, and after testing economic data, the following variables are included in the canadas ccci model: 考虑到这个指数与行业净撇账率的关系，在测试经济数据后，加拿大ccci模型中包含以下变量： unemployment rate 失业率 the ratio of gdp to the number of national bankruptcy filing gdp与全国破产申请数的比值 3-month prime corporate paper rate. 3月期优等企业票据利率 the us credit card industry net charge-off rates. 美国信用卡业净撇账率。,canada 加拿大,united kingdom 英国,what is the uks ccci? 英国的 ccci 是什么？,ccci indicates the health of the consumer credit card market of the united kingdom as a whole. ccci反映英国个人信用卡市场的总体健康状况,how do we model it? 如何模拟这个指数？,as a result of their relationship to industry net charge-offs rate, and after testing economic data, the following variables are included in the uks ccci model: 考虑到这个指数与行业净撇账率的关系，在测试经济数据后，英国ccci模型中包含以下变量： unemployment rate 失业率 the ratio of gdp to the number of individual insolvencies gdp与个人破产数的比值 3-month london interbank offer rate (libor) 3月期伦敦银行同业拆出利率（libor） 10-year treasury rate. 10年期国债利率。,canada 加拿大,a comparison between the actual value of the industry net charge-off rate and the model fitted value was illustrated 行业净撇账率实际值与模拟拟合值的对比,the predicted value of the industry net charge-off rate was converted into a credit cycle index value. the bar chart graph is an illustrative representation of this consumer credit cycle index. 行业净撇账率的预测值转换为信用周期指数值。条状图代表这个消费者信用周期指数，示意性。,united kingdom 英国,for illustrative purposes only 仅用于示意目的,consumer credit cycle indexcanada & uk 消费者信用周期指数加拿大和英国,消费者信用周期指数与行业净撇账率 加拿大,信用卡业净撇账率预测加拿大,消费者信用周期指数与行业净撇账率 英国,英国行业净撇账率,credit cycle indexccci & macroeconomic indicatorscanada 消费者信用周期指数ccci与宏观经济指标加拿大,higher unemployment affects negatively the credit environment. 失业率增加，对信用环境有负面影响。,canadas industry net charge-off rate moves in parallel with the u.s. industry net charge-off rate. 加拿大的行业净撇账率与美国的行业净撇账率共同进退。,increase in gdp and decrease in insolvencies have a positive impact on the credit environment. gdp增长和破产人数下降，对信用环境有积极的影响.,short-term rates are negatively related to the industry net charge-off rate. 短期国债利率与行业净撇账率是负相关关系。,for illustrative purposes only 仅用于示意目的,gdp/个人破产数,失业率滞后3个季度,3月期短期国债利率,美国信用卡行业净撇账率,credit cycle indexccci & macroeconomic indicatorsthe uk 消费者信用周期指数ccci与宏观经济指标英国,increase in gdp and decrease in insolvencies have a positive impact on the credit environment. gdp增长和破产人数下降，对信用环境有积极的影响.,higher unemployment affects negatively the credit environment. 失业率增加，对信用环境有负面影响。,it is expected that over the next two years we would have a more stressed credit environment for the uks credit card industry. 预计未来两年内，英国信用卡业将面临压力更大的信用环境,the longer-term interest rate (10-year treasury bond rate) is negatively related to the u.k. industry net charge-off rate. 期限较长债券的利率（10年期国债利率）与英国行业净撇账率是负相关关系。,the 3-month libor rate is negatively related to the u.k. industry net charge-off rate. 3月期libor利率与英国行业净撇账率是负相关关系,it is expected that in the next two years there would be a significant increase in the number of individual insolvencies in the uk. 预计未来两年内，英国个人破产数将显著增加。 this is as a result of the new bankruptcy legislation in the uk which is in effect as of april04. the enterprise act reduced the course of bankruptcy protection for individuals from three years to one year. 这是英国从2004年4月开始实行新破产法的结果，企业法将个人的破产保护期从三年缩短为一年。 increases in individual insolvencies affect negatively the credit environment. 个人破产数的增加对信用环境有负面影响。,for illustrative purposes only 仅用于示意目的,gdp/个人破产数滞后1个季度,失业率滞后1个季度,3个月libor利率滞后4个季度,10年期国债利率滞后1个季度,个人破产数,消费者信用周期指数英国,loss forecast process 损失预测流程,step 1 : establishing the future credit environment 第1步：确立远期信用环境 step 2 : applying the credit environment to the banks portfolio 第2步：对银行的信用组合应用信用环境 step 3 : forecasting the banks credit quality & delinquencies 第3步：预测银行的信用质量和贷款逾期情况 step 4 : forecast the credit loss 第4步：预测信用损失,modeling delinquency migration 模拟逾期变动,default behavior of credit card portfolios can be modeled using delinquency migration movement; a migration matrix also known as a transition matrix. 可使用逾期变动法来模拟信用组合的违约行为，称为变动矩阵法，也称为变化矩阵法。 delinquency migration analysis tries to answer questions like 逾期变动分析试图回答以下这类问题 - “what is the probability that a 以下事件的概率是多大 . 30 days-past-due loan stays past due one more cycle over the next month? 逾期30天的贷款继续逾期至下一个月 . 180 days-past-due loan ends up in charge-off status during the next 3 month?” 逾期180天的贷款在未来3个月被划入撇账类别？” - answer: “all migration information is contained in a transition matrix.” 答案：“所有变动信息都报告在变化矩阵内”。 average quarterly bacs delinquency migration matrix 美国银行集团的季度平均逾期变动矩阵,73.15% of 61-90 dpd loans end up in 91-120 dpd, while 26.66% will migrate to the cure state 逾期61-90天的贷款中，73.15%会进入逾期91-120天的状态，偿还的占26.66%。,for illustrative purposes only 仅用于示意目的,起点状态,目标状态,良好 逾期5-30天 逾期31-60天 逾期61-90天 逾期91-120天 逾期121-150天 逾期151-180天 撇账,表现,economic index based migration 基于经济指数的变动,modifying transition and default probabilities along the modeled economic scenarios 根据模拟的经济情境，修正变动概率和违约概率 - an index which reflects economic performance is constructed so that a value of “0” represents a neutral economic performance. 构造一个反映经济表现的指数，经济表现为中性时这个指数的值为“0” - an average transition matrix, corresponding to the “neutral economy” scenario was constructed. 与所构造的“中性经济”情境相对应的是平均变化矩阵 - relative to this average, in 相对于这个平均值 - good scenarios: the value of the index is positive (greater than zero) there are more upgrades and fewer defaults. 好情境： 指数为正值（大于零）；信用升级增加，违约减少。 - bad scenarios: the value of the index is negative (less than zero) there are more downgrades and more defaults. 坏情境： 指数为负值（小于零）；信用降级增加，违约增加。 - any change in economic index values reflects changes in the mean of the distribution along the scenarios. 经济指数值的任何变化都反映情境分布均值的变化。,what we want to do here 我们要实现的目标,traditionally, an average of historical data has been used to construct the delinquency migration matrix. 传统上，使用历史数据的平均值来构造逾期变动矩阵。 the procedure outlined herein incorporates an important step beyond this. 这里介绍的方法包括一个传统方法里没有的重要步骤。 the likelihood of migration from one delinquency status to another is defined as a function of the state of the economy, as reflected by the ccci. 从一个逾期状态进入另一个逾期状态的似然率被定义为ccci所代表的经济状况的函数。,producing & calibrating average transition matrix 制定和调整平均过渡矩阵,b, c,full-period visa matrix visa卡的全期间变动矩阵,3q96,truncated visa matrix 截断的visa矩阵,1q04,1q00,a,truncated bank matrix 截断的美国银行矩阵,d,full-period bank matrix 美国银行的全期间矩阵,2q06,1q00,1q04,2q06,3q96,performance across multiple cycles 多个周期的表现 internal delinquency status migration data over multiple business/credit cycles do not exist. 不存在跨越多个商业/信用周期的内部逾期状态变动数据。 the following approach was used to establish a bank-specific average delinquency migration matrix: 采用以下方法来建立针对具体银行的平均逾期变动矩阵： using available internal bank credit card data over the period 1q00-2q06, the average delinquency migration matrix was calculated. this matrix was considered to be the truncated average migration matrix. 使用2000年1季度至2006年2季度这个期间内现有的银行内部信用卡数据，计算平均逾期矩阵。这个矩阵被视作截断的平均变动矩阵。 using historical visa data (80% of industry), an average visa matrix was calculated for the 3q96-1q04 and 1q00-1q04 time periods. 使用visa卡历史数据（占行业数据的80%），计算1996年3季度至2004年1季度和2000年1季度至2004年1季度这两个期间的平均visa卡矩阵。 the calculated average visa matrices were then mapped to the corresponding bank delinquency bucket categories. 然后，在计算得出的平均visa卡矩阵与相应的银行逾期档之间建立对应关系。 the banks truncated average matrix was then extrapolated to 3q96 based on the relationship between the full and truncated visa matrices to produce a full-period average bank matrix. 然后，根据visa卡全期间矩阵与截断矩阵之间的关系，对银行的截断平均矩阵进行外推，获得银行的全期间平均矩阵。,bank average migration matrix 银行的平均变动矩阵,the bank adjusted” average delinquency migration matrix (for the domestic us credit card), representing performance across multiple cycles, was presented here. 此表为美国银行的“调整后的（美国国内信用卡）平均逾期变动矩阵，反映在多个周期内的逾期表现。,for illustrative purposes only 仅用于示意目的,美国银行的平均逾期变动矩阵,起初,表现,季度末逾期情况,总计,schematic: index based migration 简要流程：基于指数的变动,process allows time dependent delinquency migration to be represented by an index 这个流程允许使用一个指数来代表具有时间依赖性的逾期变动,index has an intuitive representation 指数的直观表述 - “0” = average migration 平均变动 - “+” = more upgrades than average 升级超过平均值 - “-” = more downgrades than average 降级超过平均值,+,=,平均逾期矩阵,第1季度,第2季度,预测指数,第n季度,based on the historical data back to 1q99, the bank (credit card) average migration matrix was calculated and mapped to visa migration data. 根据1999年1季度以来的历史数据，计算出美国银行的（信用卡）平均变动矩阵，然后visa卡变动数据建立对应关系。,using forecasted ccci as calculated based on internal economic projections, the average migration matrix is then adjusted and the future periods delinquency migration was produced. 使用根据内部经济预测计算出的ccci预测值，对平均变动矩阵进行调整，得出远期的逾期变动数据。,future migration matrices based on the ccci 基于ccci 的远期 变动矩阵,delinquency migration rates 逾期变动率,tilted to reflect “recessionary” outcome 对角数据序列 反映出“衰退型经济”,tilted to reflect “growth economy” outcome 对角数据序列 反映出 “增长型经济”,impact loss forecast process alternatives 影响损失预测流程的选择,forecast view of the credit environment 对信用环境的预测看法,economy-adjusted delinquency rates 经济调整后的逾期率,for illustrative purposes only 仅用于示意目的,loss forecast process 损失预测流程,step 1 : establishing the future credit environment 第1步：确立远期信用环境 step 2 : applying the credit environment to the banks portfolio 第2步：对银行的信用组合应用信用环境 step 3 : forecasting the banks credit quality & delinquencies 第3步：预测银行的信用质量和贷款逾期情况 step 4 : forecast the credit loss 第4步：预测信用损失,projecting future exposure distribution by risk rating 预测涉险金额风险评级的远期分布,future periods dollar exposure 远期涉险金额 multiply current dollar exposure distribution by the forecasted economy-adjusted transition matrix to arrive at future dollar risk-rating distribution. 用当期涉险金额分布乘以预测的经济调整后变化矩阵，得出远期的涉险金额风险评级分布。 using the conditioned delinquency migration matrix, along with the beginning-of the-period data, the end-of the-period exposure distribution of each delinquency buckets was then forecasted. 使用条件逾期变动矩阵，以期初数据为初值，可预测每个逾期档的期末涉险金额分布。,loss forecast process 损失预测流程,step 1 : establishing the future credit environment 第1步：确立远期信用环境 step 2 : applying the credit environment to the banks portfolio 第2步：对银行的信用组合应用信用环境 step 3 : forecasting the banks credit quality & delinquencies 第3步：预测银行的信用质量和贷款逾期情况 step 4 : forecast the credit loss 第4步：预测信用损失,net charge-off projection 预测净撇账,a model for recovery rate assumption 回收率模型的一个假设 motivation: 假设的出发点： recovery rates are sensitive to the state of the economy and differ across the portfolios. 回收率对经济状况具有敏感性，并且组合间存在差别。 recovery rates tend to be higher during the better cycle of the economy and lower during the worse cycle of the economy. 在经济周期的景气期，回收率往往较高；在经济周期的不景气期，回收率往往较低。 given th