信用风险管理-德勤.ppt

CreditRiskManagementEnhancingYourBottomLine,EbrahimShabudinManagingDirectorDeloitte&ToucheLLP,TheAFP23rdAnnualConferenceNewOrleansNovember3-6,2002,CreditBackground,Thoroughidentificationandaccuratemeasurementofcreditrisk,supportedbystrongriskmanagementcanhelpimprovethebottomline.Anuncertainandvolatileeconomicenvironmentsignificantlyimpactsthisability.Thedesiretogrowandturninoutstandingresultshasatendencytoputpressureonthechecksandbalanceswithinbusinesses,ValueProposition,Creditplaysacriticalrolein“selling”productsandservicesExpandsrevenueopportunitieswithcreditworthy,incrementalcustomersUtilizesinnovativestructurestosupportbusinessrelationshipsEffectivecreditriskmanagementlimitscreditlossesandprovidesstablecashflowsandearningsMarketplacerewardscompaniesexhibitingearningsandcashflowstabilitywithhigherP/EmultiplesMarketplacepenalizescreditinducedvolatilityand“surprises”Raisesquestionsaboutqualityofmanagement,CorporateCreditRisk,CompaniesareexposedtosignificantlevelsofcreditriskemanatingfromdifferentsourcesAccountsReceivablesOtherNotesReceivablesBuyerandFranchiseFinancingWithRecourseFinancingProjectFinanceStructuredTransactionsLeaseswithRecourseDerivativesExposuresFX,InterestRateRisk,Commoditiesetc.CollateralRiskParentorThirdPartyGuaranteesCommercialandStandbyLettersofCreditNotealsothatCriticalSupplierstothecompanymayposespecificcreditrisk,DSOImpactanexample,CreditasaFacilitator,CreditriskmanagementisimportantCreditisafacilitatorofbusinessgrowthandperformanceHighbusinessmarginstendtoattractlowerqualityclientsandthereforehigherriskprofiletomanageClients(buyers)maybeconcentratedinselectedindustriesandprovidelimitedportfoliodiversificationopportunityPoorcreditriskmanagementresultinginnegativeimpacttobottom-lineisheavilypenalizedbymarkets,CreditStrategy&RiskTolerance,SpecificQuantifiableObjectivesManagementReviewMethodology,CreditStrategyStatementandRiskToleranceCoordinationwithBusinessPlan,Thebusinessstrategiesandobjectivesdrivetheestablishmentofcreditpoliciesandprocedures.Measurementandreportingaswellastheuseofcurrenttechnologiesenhancecreditdecision-makingandimproveriskmanagement.Theentireprocessiscontinuallyre-evaluatedandimproved.,CreditRiskAreastoConsider,CreditPolicyCreditApprovalAuthorityLimitSettingPricingTermsandConditionsDocumentation:ContractsandCovenantsCollateralandSecurityCollections,DelinquenciesandWorkouts,ExposureManagementAggregationControlPeriodicAccountReviewsPayments/AgingCreditConditionCompliancewithCovenants,TermsTechnology/ReportsTransactions/BookingsRisk-adjustedReturn,SalesChannelsRiskStrategyUnderwritingStandardsCreditApplicationAnalysisBusiness/IndustryFinancialCreditCreditScoringandRatings,Origination/Assessment,Administration,Monitoring/Control,RiskManagement,PortfolioManagementConcentrationDiversificationAllowanceforBadDebtsRiskMitigationObjectivesTypeofExposureInstrumentsorMethods,ValueCreation,BusinessPerformanceMeasures,Organizationsneedarigoroussetofmeasurestosupportcontinuousimprovement,Performance-basedmanagementutilizesmetricsthatmeasureactualperformanceagainstpredeterminedthresholds.Thethresholdsareestablishedtakingintoaccounttheorganizationsstrategy,operatingenvironmentandprocesscontrols.,Themeasuresdrivevaluecreationandshouldsupportproblemidentificationandcorrection.,BusinessStrategySystemsOperationsFinance,PerformanceManagement,Saleschannels,Contracts&Documentation,Creditanalysis,Creditlimit,Pricing&terms,CreditAnalysis,CreditDecisions,Collections,CREDITPOLICY,Collateralacceptance,Portfoliomanagement,Financialanalysis,Disposal/Riskmitigation,Collateralmanagement,Customermanagement,Exposuremeasurement,Managementreporting,Exposureaggregation,Recoveries,Creditscoring,Riskrating,RISKMANAGEMENT,CreditRiskManagementsInter-relatedActivities,Compliance,Origination,Reporting,Transactions,CreditPolicies&Procedures,Analysis&RiskManagement,Governance,ControlandImplementation,MeasurementMethodologies,Technology&DataIntegrity,CreditStrategy&RiskTolerance,Acompleteandcoherentriskmanagementframeworkcontainsthefollowingelements,CreditRiskManagement,ANewParadigm,Anewbusinessparadigmhadevolved:causingalackofrelianceongoodfundamentalanalysisTheideathatstockmarketvalueswouldcontinuetogoupindefinitelyIncreasinglycompetitive,complexandvolatilemarketplaceHigherthanexpectedactualdebtburdensExtensiverelianceonunrealisticfuturecashflowsFailuresincorporategovernanceQuestionablepersonalandcorporateethics,ImplicationsforCorporateGovernance,CurrentorganizationstructurestoberevisitedClarityaroundrolesandresponsibilitiesNeedforhonesty,integrityandindependence(self-regulation)TechnicalexpertiseofpeopleandstrongmanagementprocessesImproveddisclosurerequirementsImportanceandimplementationofsanctionsIncreasedlegislationandcompliancerequirements,Foundation:CreditRatingandUnderwritingStandardsRiskIdentification,Origination,CreditAdministration,etc.,ShortTerm:ManagingExpectedLossRiskIdentification,TransactionStructuring,Approval&PricingDecisions,Reserving,etc.,NearTerm:ManagingEconomicCapital/CreditVaRPortfolioRiskConcentration,RiskBasedLimits,etc.,Vision:ManagingRisk/ReturnPricingdecisions,Performancemeasurement,businessandcustomersegmentation,compensation,etc.,AbusinessmodelviewofCreditRiskInfrastructurecomponents,CreditRiskManagementStrategicVision,DevelopmentStages,FoundationStageincludesapplicationofriskidentificationmethodologies,riskscoringorratingsystemsandstrongunderwritingstandardsBasicStagetendstoincludemanagingonatransactionalbasisbyevaluatingspecificattributessuchasstructuring,collateralandpricingAdvancedStagerepresentsmanagingonaportfoliobasisincludingaspectssuchasconcentrations,correlationsanddiversificationTheSophisticatedStageincludesapplicationofhighlydevelopedmeasurementtechniquesfortransactionsandportfolios,supportedbydecision-makingrelatingtosegmentsorbusinessesagainstestablishedhurdlerates.,CreditRiskClarified,Creditriskisdefinedastheriskoflossorpotentiallossresultingfrom:DefaultincontractualobligationsbyacustomerMigrationinconditionandratingDeteriorationinperformanceCreditriskincludesbothanexpected(predictable)andunexpected(volatile)losscomponent.,BusinesseshavetocontendwithExpectedandUnexpectedLosses,ExpectedLossesAnticipatedCostofdoingbusinessChargedtoprovisionsCapturedinpricingRelativelyeasiertomeasureAssessingexpectedlossincludesdeterminingexposure,defaultprobabilityandseverity,UnexpectedLossesUnanticipatedbutinevitableMustbeplannedforCoveredbyreservesAllocatedtobusinessesDifficulttomeasureAssessingunexpectedlossrequiresmakingqualitativejudgmentsaroundpotentialvolatilityofaveragelosses,CreditRiskManagementExplained,AlthoughcreditriskmaybedifficulttomeasureitisimportanttoestimateandmanageWhatdoesCreditRiskManagementmean?ItrepresentsaninstitutionsabilitytoproperlyidentifyandevaluatethepotentialriskofdefaultinpaymentofobligationsofcustomersItincorporatesthefirmsabilitytoeffectivelymanageandcontrolthisexposureinawaythatisconsistentwiththeinstitutionsbusinessstrategy,riskappetiteandcreditculture,ImportantBuildingBlocks,EffectiveCreditRiskManagementrequiresClearoriginationandunderwritingstandardsAstrongcorporateandcreditcultureHighlydevelopedriskmeasurementtechniquesAbilitytorecognizeandcoverexpectedandunexpectedlossesPricingcommensuratewithrisksundertakenMethodologiestoassessnetprofitcontributionsbycustomersandappropriatebusinesssegmentsProperallocationofcapitalandmanagementresourcesInorderto:Improveoverallcorporateperformance,measuredbyahigherEPSorP/Eratio(ormarketvalue),CreditPolicyandProcess,CreditPolicyshouldbeclearandconciseCreditUnderwritingStandardsmustbedevelopedandincludedinpolicyCreditProcessesshouldbereasonableandallowquickresponsetoclientsHealthybalancebetweensalesandcreditapprovalshouldexistandberespected,RiskMonitoring,ExposuremustbecompleteandcurrentRegularreportingandupdatingofclientspaymentperformanceMinimumannualreviewsofclientsshouldbeperformedFinancialconditionsshouldberegularlyassessedRequiredactionmustbeinitiatedandfollowupmusttakeplace,ContractTermsandDocumentation,ContractnegotiationsmusttakeplaceattherightlevelintheorganizationAppropriateapprovalsmustbeobtainedInternalorexternallegaldepartmentsmustdocumentcompletelyTermsandconditionsshouldbeunderstoodandcompliancemechanismputinplaceExceptionsmustbereportedandmanagedurgentlytoresolution,RiskRatingSystemEffectiveness,CreditScoringisgenerallyusedto“riskrate”homogeneousportfoliosHighestapplicabilityisinconsumerandretailportfoliosSomeadvancedscoringsystemsarebeingmigratedforuseinrating“middlemarket”clientsSuchmodelsareonlyasgoodastheunderlyingassumptionsInternalcreditratingsystemsaredifficulttoassessandareoftennotindependentlyvalidatedClientrelationshipmayinterferewithobjectiveassessmentofrisksRatingcriteriausuallyamatterofpracticeratherthanwrittenpolicyRatingsarenotconsistentovertimeQualitativecreditassessmentsoftenlagcurrentmarketinformationInstitutionsoftenassumeamappingwithexternalratingsinordertoquantifycreditrisk,EffectiveRiskRatingSystems,SufficientgranularityofriskratingcategoriesAccurateandtimelyassignmentofratingsClearandconsistentapplicationofdefaultdefinitionPeriodiccalibration,triangulationandvalidationofriskratingsAccurateidentificationofmigrationoftransactionsandportfolios(asreflectedbyupgradesanddowngradesinratings),CreditEvaluation:FinancialFactors,GettheinformationyouneedtomakeafullanalysisSomeinformationwillneedtobecross-checkedandobtainedonaregularandtimelybasisBeconstructivelycynical:newbusinessmodelsaredifficulttopulloffBecognizantofdelayingtacticsNumbersdonttellthewholestory!,CreditEvaluation:QualitativeFactors,EvaluationofsubjectivefactorsisoftentimesmoreimportantthanthenumericalanalysisPeoplemakeabusiness:visions,valuesandstrategiesareonlywordsunlesspeopleimplementthemManagement,industry,product,geography,competitionetc.allinfluenceresultsandmustbeproperlyassessedAnalysis-paralysismayleadtowrongdecisions,ArtandScienceofJudgment,GettingaccesstothebestclientsandalltherelevantinformationisachallengeEnsuringproperanalysisisdonerequiresastrongcorporatecultureUtilizingqualifiedresourcesbothinternallyandexternallyenhancestheresultsOftenthelackofthewilltoactiswhatcauseshighlosses,ConcludingComments,Companiesthatmeasureandmanagecreditriskinapro-activemannerwillbenefitfromafavorableriskprofileresultinginHigherrevenueLowerlossesImprovedefficienciesHigherEPS,P/Eratiosandmarketvalues,ConcludingComments,RiskAssessmentandLimitManagement,CreditInfrastructureandPortfolioManagement,CreditAnalyticsSupport,CreditTechnologyEnablement,CreditQualityCreditUnderwritingRiskRatingSystemEffectivenessCounterpartyandPortfolioLimits,OrganizationalStructurePoliciesandProceduresTechnologySelectionandImplementationProblemAssetManagement,RiskRatingCalibrationTransactionPricing,StructureandSupportDefaultProbabilityandRecoveryCalibration,CreditReserveMethodologyRiskBasedPricingModelsRiskAdjustedReturnAnalysisPortfolioValueMeasurement,CreditRiskMeasurementCreditPerformanceScorecards,InternalSoftware,ExternalVendorSoftware,Appendix:BusinessProposalChecklist,BusinessProposalSummaryCustomer,Rating,LegalStatus,LineofBusinessGuarantor,ifanysameCollateral,ifanytruevalueexplainedOtherSupport,ifany.LegalormoralonlyTheTransactionrisksandmitigationAmount,purpose,termsandconditionsSourcesofrepaymentclearlyidentifiedClientpaymenthistoryandrelationship,Appendix:BusinessProposalChecklist,RationaleandAnalysisCustomer,Guarantor,Collateral,SupportFacilityDescriptionAmount,purpose,tenor,pricing,terms,conditions,covenants,restrictionsetc.Consideraffectonabovee.g.newleverageFacilityRating?RepaymentCapacityFuturecashflow,conversionofassetsetc.ConsistencywithCreditStrategyandPolicyConfirm,andidentifyanyexceptionstopolicy,underwritingstandards,orprocessRiskadjustedreturnacceptability,Appendix:BusinessProposalChecklist,ClientRelationshi