美国银行经济资本培训 信用风险测量：压力测试及情境分析

Credit Risk Measurement:Stress Testing & Scenario Analysis信用风险测量：压力测试及情境分析,1,Industry Perspectives 行业观点Sources of Credit Loss Volatility 信用损失波动性的来源Purposes and Background 目的及背景Definitions 定义Expected Loss 预期损失Stress Testing 压力测试Scenario Analysis 情境分析BACs Organization 美国银行的组织结构Examples 示例Historical Scenarios 历史情境What if ? Scenarios 假设性情境Stress Testing the US Housing Market 针对美国住房市场进行压力测试Challenges 挑战,Overview 概述,2,Perspectives on Stress Testing and Scenario Analysis 对压力测试及情境分析的看法,“Risk management is most required when the dynamics of price, or other risk parameters, are not well represented by a normal distribution.” “价格或其他风险参数的动态特性不符合正态分布的时候，就是最需要风险管理的时候。”- Forbes article 2/23/05摘自福布斯杂志 05年2月23日“(It is important to look) at a range of scenarios in order to understand the dimensions of risk. (We) prefer to have a sense of the risks under a range of alternate outcomes. The range of outcomes helps the company dimension risk, which is more effective than coming up with a point estimate.” “要理解风险的尺度，（一定要分析）大范围的不同情境。（我们）倾向于从范围分布广泛的不同结果中得到风险的感觉。结果的分布范围可以帮助公司确定风险的 “尺度”，这要比估算一个点的数据更加有效。”- KBW interview with Citigroup Chief Risk Officer David Bushnell 11/2006 KBW 采访花旗集团风险总监 David Bushnell，06年1月1日“(At some institutions) stress testing is used by senior management as a basis for informed decisions about how much risk they are willing to take and identifying where the vulnerabilities in their portfolios actually lie. (In other words) it helps them to evaluate their tolerance for risks at both the firm and division level and understand the combinations of risks that can produce large losses.”“（某些金融机构的）高级管理层根据压力测试的结果来进行决定承担多少风险，作出有把握的决策，确定信贷组合的弱点到底在什么地方。（换句话说）压力测试可以帮助他们评估公司和部门的风险承受能力，理解哪些风险组合可能造成巨额损失。”- Committee on the Global Financial SystemStress testing at major financial institutions: survey results and practice全球金融系统委员会大型金融机构压力测试：调查结果及实践,3,Economic / Credit Cycle经济/信贷周期,Interest Rates / Inflation 利率/通胀Commodity Prices 初级商品价格Foreign Exchange Rates 外汇汇率Equity Prices 股票价格Recovery Rates 贷款回收率Credit Risk Premium 信贷风险洋溢价,Increasing risk of higher volatility波动性增加的可能性上升方向,Individual Names 个人名下Customer Segment 客户类别Industry / Sector Concentration 行业/部门集中度Region / Country 地区/国家,Risk Concentration风险集中度,Country Default 国家违约Oil Crisis 石油危机,Event Risk事件风险,Sources of Credit Loss Volatility 信用损失波动性的来源,4,Purposes 目的Provide consolidated analysis across all credit risk disciplines 提供跨越所有信用风险类别的综合分析Quantify and communicate risk direction and magnitude 量化和表达风险的方向和规模Provide a range of estimates based on reasonable alternatives and assumptions 根据合理的替代条件和假设提供大范围的不同估计Communicate to decision-makers the quality of outputs from a model 向决策者说明模型输出的结果Background 背景Low Probability of Outcome but Plausible 小概率结果但也有可能出现Comparison to a baseline view of the “most likely” outcome 与作为基准线的“最可几”结果进行比较Risk 风险 = Stress Test 压力测试 Most-Likely View 最可几情况Risk 风险= Scenario Analysis 情境分析 Most-Likely View 最可几情况Not a forecast, but represents an alternative view to consider 不是预测，而是另外提供一个思考的角度,Purposes and Background 目的及背景,5,Expected Loss 预期损失,6,Stress Testing 压力测试,7,Scenario Analysis 情境分析,8,Expected Loss预期损失,Incremental Unexpected Loss增量的非预期损失,Scenario Analysis 情境分析Historical Repeat? 历史事件重复？What if ? 假设性事件？Vulnerability? 弱点？,Forecast Process （预测流程）(most likely level of losses)（最可几损失水平）,Stress Tests 压力测试(low potential of large losses)（大额损失的可能性很低）,Comprehensive Credit Risk Measurement 全面测量信用风险,9,Centralized unit within Enterprise Credit Risk 集团信用风险部的内设中央职能部门Organizationally independent from LOBs 在组织上独立于各业务线Work with “model owners” on stress testing and scenario analysis 与“模型拥有人”共同进行压力测试和情境分析Develop 建模Execute 执行Focus on total company credit risk 重点是公司的总体信用风险Ensure consistency across all products and LOBs 确保各产品及业务线之间的一致性Benefits 优点An important perspective on alternative outcomes 提供对可能出现的其他的重要认识Plausible 似乎可能Low probability 小概率High-impact 高影响力Dialogue around modeling needs, techniques and priorities 围绕建模的需求、方法和重点进行对话,Stress Testing & Scenario Analysis Team 压力测试及情境分析团队,10,Key functions 关键职能Develop a “Scenario of Interest” 制定“关注的情境”Reflects Risk Executives views or important historical events 反映风险主管的看法或重要的历史事件Describe the scenario and potential causes 描述情境和潜在的原因Explain the potential economic and market impacts 阐述潜在的经济和市场影响Drive the analysis of the impact on the credit portfolio 推动对信贷组合受到的影响进行分析Define qualitative impacts 定义影响的性质Identify and quantify risks of potential loss 确定和量化潜在损失的风险Identify opportunities to balance returns and risks 确定平衡回报与风险的机会Potential uses of the results 结果的潜在用途Highlight additional areas of study 标明额外的学习项目Modify the business strategy 修改业务战略Modify the risk tolerance 调整风险承受度Design and execute risk mitigation programs 设计和执行降低风险的计划Amend underwriting standards 修改核贷标准Revise the loss allowance coverage 修改损失准备金比率Adjust the capital allocation methodology 调整资本分配方法,Stress Testing & Scenario Analysis Team 压力测试及情境分析团队,11,Review & Follow-up with Key Contributors审查并跟进了解关键贡献者的意见,Requests 提出请求,Coordination/ Consolidation协调/整合,Corporate Research集团研究部,Translate into Required Inputs转化为必要的输入参数,Coordination/ Consolidation 协调/整合,Market Feasibility市场可行性,Report 报告Scenario vs. Baseline Results情境及基准线结果Conclusions 结论Recommendations 建议,Discussion and Approval讨论及批准Broad Parameters 广泛的参数,Risk Mitigation Execution执行降低风险的措施,Metrics / Insights 指标/看法,Key Contributors from Credit Risk Organization来自信用风险部门的关键贡献者,Organizational Impact / Workflow 组织影响/工作流程,12,Historical Scenarios Recent US Recessions 历史情境 美国近年的经济衰退,Example示例,13,Despite recent increases, oil prices remain well below the historical peak of 1980 (when adjusted for inflation) 尽管最近油价上涨，但是依然低于1980年的历史最高价（扣除通货膨胀因素以后）Price increases since mid-2005 have put gasoline prices (adjusted for inflation) at an all-time high 2005年中期以来的油价上涨，使汽油价格（扣除通货膨胀因素后）达到历史最高水平Many areas of the country saw retail prices exceed $3.00 per gallon 美国许多地区的汽油零售价格超过每加仑3.00美元Issues and concerns:问题和担忧：Manufacturing and transportation sectors pass on their higher costs 制造和交通部门转嫁成本增加部分Discretionary consumer spending declines 可支配消费开支下降Under the Inflation Scenario, oil at $80 per barrel remains below historical high levels in real terms根据通货膨胀情境，每桶80美元的油价，实际价格依然低于历史最高水平,What if Oil & Gasoline Prices Increase? 如果石油和汽油价格上升，会怎么样？,Oil Price Adjusted by CPI 消费物价指数调整后的原油价格($ per barrel)（单位：美元/桶）,Retail Gasoline 汽油零售价格($ per gallon)（单位：美元/加仑）,BLUE = Current Prices蓝色为当前价格RED = Indexed to 1983 Prices 红色为1983年指数调整后价格,14,Inflation Scenario Key Market Indicators 通货膨胀情境 关键的市场指标,Real GDP Growth Year-over-Year Percentage Change实际GDP的年变化百分比,Unemployment Rate 失业率,10-Year US Treasury Yield 10年期美国国债收益率,BASELINE FORECAST基准线预测Slower economic growth经济增长放缓Fed stops tightening program, in recognition of consistent below-trend growth 鉴于经济增长长期低于历史趋势，美联储停止执行信贷紧缩政策Oil prices moderate 油价回软,INFLATION SCENARIO通货膨胀情境Oil prices continue to rise and set all-time (nominal) highs石油价格继续上涨，不断创造历史新高（名义价格）Fed continues to tighten美联储继续紧缩信贷GDP growth stagnates, but the economy avoids a recessionGDP增长停滞，但避免了经济衰退Consumer bankruptcies and unemployment increase消费者破产人数和失业率增加,Legend for Graphs: 图例：Actual / Historical Trends 实际/历史趋势Baseline Forecast 基准线预测Inflation Scenario 通货膨胀情境Long-Term Average 长期平均,For illustrative purposes only仅用于示意目的,15,What if Bull & Bear Scenarios Happen? 如果最乐观和最悲观情境成为现实，会 怎么样？,US Speculative Grade Default Rate美国投机级债券的违约率,Bull Scenario 最乐观情境(10% probability) （概率为10%）Stronger economic growth 经济增长更强劲Higher interest rates 利率提高Fed tightens due to inflation concerns 因担心通货膨胀，美联储紧缩信贷Low loan growth, low LGD (loss given default) for Commercial and higher recovery rates for Credit Card 商业贷款低增长、低违约损失，信用卡债务回收率增加,Base / Most Likely 基准线/最可几US economy slows due to weaker consumer spending and the impact of the Feds previous tightening 因消费开支疲软和美联储前期紧缩信贷政策的影响，美国经济放缓Yield curve remains flat 收益率曲线依然平坦Unemployment remains flat 失业率稳定Bankruptcy filings decline sharply, after a record spike due to new legislation 因新立法造成破产申请数剧增的高潮过后，破产申请数急剧减少,Bear Scenario 最悲观情境(30% probability)（概率为30%）Fed tightening leads to higher interest rates 美联储紧缩信贷，导致利率增加Slower economic growth 经济增长放缓Wider corporate bond spreads and deteriorating consumer credit quality 企业债券利差扩大，消费者信用质量恶化High loan growth, high LGD for Commercial, and lower recovery rates for Credit Card 商业贷款高增长、高违约损失，信用卡债务回收率降低,Credit Card Industry Net Loss Rate信用卡业的净损失率,For illustrative purposes only仅用于示意目的,16,Scenario Descriptions 情境描述,What if Pandemic Bird Flu Strikes? 如果爆发大面积流行的禽流感，会怎么样？,NOTE: figures represent changes from baseline assumptions and are for illustrative purposes only. No reliance should be placed on these scenarios for purposes of planning or responding to a pandemic. 注：数字表示与基准线假设的差别，仅为示意用途。制定流行病预案或处理流行病时不得依赖这些情境。,17,California: 15-20% price declines over 5 years加州：5年内下跌15-20%Texas (oil areas): 15-30% price declines over 5 years德克萨斯（石油产区）： 5年内下跌15-30%Northeast: 15-20% price declines over 6 years美国东北部： 6年内下跌15-20%Hawaii: 15% price declines over 6 years夏威夷： 6年内下跌15 %,Stress Testing the US Housing Market 对美国住房市场进行压力测试,（05年7月与04年7月相比）,18,Segregate the BAC portfolio by geographical risk ranking美国银行信贷组合的地区风险排名分类Metropolitan Statistical Area (MSA) geography 大都会统计区（MSA）地区Composite ranking of MSA from three industry ana