中外文文献-经济类专业可用

南昌大学科学技术学院学士学位论文外文资料Credit risk management in the credit card industryLinda Delamaire In recent years, most developed countries have suffered a severe recession due to a financial crisis starting in the US with mortgages loans. The lack of credit risk management has been pointed out as one of the causes of this bank panics. To avoid a similar situation, the credit card companies need to have proper risk management tools. The author shows that minimizing losses might not be optimal in order to maximize profit. Finally, the author presents possible extensions to the research. The author hopes that the microeconomic analysis of the mechanics of a particular lenders credit allocation process described in this thesis can play some part in preventing future financial crisis. Risk management aims at controlling all risks that the bank may take.As this research focuses on credit risk, some concepts of credit risk are detailed. The objectives of the credit risk function are also described. 1. Definition of credit risk Credit risk is inherent to banking activity. The financial asset the most concerned with credit risk is credit card followed by bonds but in a smaller extent. However, other products such as OTC derivatives, Asset Backed Securities and Structures bonds, inter-bank transactions, commitments and guarantees are also more and more affected by credit risk. Credit risk is the risk that one party bounded by a financial contract is unable or unwilling to fulfill his obligations in due time, causing a financial loss for the other party. When the borrower defaults, the next exposure for the lender is the amount owed by the borrower. However, the final loss incurred equals the net exposure (including protection that the creditor holds such as third party guarantees, collateral) minus the amount that can be recovered by the collection agencies (or internally through bankruptcy negotiations). 2. Credit risk components The 3 major components of Credit risk are the probability of default, the exposure at default and the loss given default. Credit risk can be expressed as a function of those parameters: -Credit risk = f(PD, EaD, LGD) where PD: probability of default; EaD: exposure at default; LGD: loss given default.The credit VaR is another key element of credit risk. In this thesis, the main focus is to establish a credit scoring solution for the underwriting process. The three main purposes of establishing such solution are: loan approval, determination of the minimum capital needed to fulfill requirements and the implementation of loan pricing and capital management policies that allow covering the expected and unexpected credit losses. The solution presented in this thesis is mainly focusing on the optimal credit policy which includes loan pricing and especially credit lines. 3. Credit risk in the organization The thesis focuses on credit risk. Credit risk is managed by the risk management department. Banks and financial institutions are exposed to financial risks. In the banking business, managing those risks is crucial. The objective of the risk function is not so much to minimize risk but to accept them and to optimize the risks and their relation to profitability, within the bank. Risk management relies on five principles: -Identification: the risk function is responsible for identifying the different risks the bank is exposed to and quantifying the financial exposure related to it. -Acceptance: The risk function is responsible for communicating the different risks to the hierarchy and ensuring that all the members of the decision bodies understand the implications of taking the different risks. -Measurement: The risk function quantifies the different risks and the financial exposures related to it. The risk function can also be responsible for quantifying the expected return from taking the risk. -Monitoring: The risk function follows up all decisions made by the bank management related to risk and ensure they follow strictly the banks strategy set by the board of directors. -Reporting: The risk function is responsible to inform the senior management as well as the board of directors of the different risks incurred. They are responsible to report any material risk within the bank but also toward the regulatory body. In financial institutions, roles and responsibilities need to be clearly defined in order to build a sound and solid risk management infrastructure. The overall risk management is usually supervised by a dedicated unit / department as well as a dedicated committee (Risk Management Committee: RMC). This committee would include the managers of all the key departments such as the chief finance officer, the chief marketing officer and the chief executive officer. A sound organizational structure would separate the risk taking functions, the risk management department and the deciding body responsible for accepting risks on behalf of the bank and make final decisions.The purpose of risk management is to ensure the measurement, monitoring and evaluation of risks incurred by the bank. However, it is crucial that risk management functions are not influenced by risk taking unit and report directly to the RMC or even to the Board of directors if such committee is not in place. The organization of the risk management unit and the risk management processes should ensure that the bank is able to capture all potential risks the institution is exposed to by fulfilling the following recommendations: -Independent and centralized Risk Management Unit by defining roles and responsibilities within the organization.The risk management department is responsible for controlling and monitoring the risks taken by the bank. Thus, this department has to be independent and autonomous from the rest of the bank. They should not be connected to the front offices. Indeed, to be impartial, neutral and respected by management, the risk managers must include analysts with the required expertise to perform the analysis, review and report the identified risks, directly to the management team or the board. The risk management unit usually includes internal audit, compliance, information risk management and enterprise risk management. The risk management unit also centralizes all types of risks (Market, Credit, etc.) in order to achieve an integrated view and control of risk. Those functions are solely dedicated to the risk management department. -Approval and review of risk policies by top management / board of directors as well as by regulators and auditors. The internal Capital Adequacy Assessment Process (ICAAP) lists / reviews all risks applicable to the bank and assesses their status on a yearly basis. 4. Credit risk management The definition of credit risk management will vary from one bank to the other depending of the type of business they are into. While defining the credit risk management process, the bank has to consider seriously the specific features of its target market to develop an appropriate credit strategy. The banks strategy requires an in-depth knowledge of the business: the type of products that will be offered; the target market: in this research; the country / geographical area and the legal requirements associated; the maturity of the market within the country / area. The credit policy formalizes and articulates the credit risk management process of the bank and states the tolerance of the banks Board and management for credit exposure. Once the risk appetite of the bank clearly defined, the credit policy will articulate how the bank plans to control credit risks within the predefined limits. The policy details techniques and processes for avoiding, mitigating, and effectively managing credit exposure to an acceptable level for the bank. The credit policy is usually revised once a year. A credit policy should spell out: -The credit risk management framework: it would formalize what credit risk management includes for the banks, the credit risk management structure (list of the employees involved in the acquisition and portfolio management process with their roles and responsibilities), the credit committees role, and the escalation process. -The application process: It would detail the data provided by the customers, the identification checks (ex: IP Address verification), the compliance checks (ex: Scanning with the E.U. Sanctions list), the fraud checks. - The acquisition process: It would describe the initial credit line assignment process, how credits are originated as well as the different scores cutoffs. - Portfolio monitoring: It would include a list of all necessary reports to identify, to measure, to monitor and to control credit risks. -Fraud prevention and detection: It would detail what the fraud detection process is, how suspicious accounts are treated, what the process is in case of a fraud ring. The banks board is the main authority to approve the banks credit strategy and policy. In the context of this research, the board was reviewing the policy on a quarterly basis. Documentation procedures are completing the credit policy. Those are reviewed and approved by the Credit committee as well as any request for change that would affect the credit risk management process. The Credit Committee, also named the Firm Wide Risk Committee, takes decisions regarding measures that affect the credit policy of the bank but the credit risk function / department is responsible for reporting on the status of the credit risk inside the bank and proposed relevant measures in order to improve the results of the bank. The final decision is taken by the Credit Committee which includes members / managers from the different bodies involved in the credit life cycle and in specific cases, might require board approval. The Credit committee is responsible for: defining the risk appetite of the bank, maintaining the credit risk within the established limits for credit exposure by avoiding a material credit failure that exceeds the Banks risk appetite, reviewing and validating policies and procedures, and supervising the credit risk department by ensuring a high level of expertise and awareness of credit risk and sound processes to identify measure, monitor and control credit risks. The credit risk department is responsible for identifying, measuring, monitoring and controlling credit risks but also reporting to the Credit committee. As an example,the credit department, in this research, is responsible for: Managing credit Risk / portfolio within the Banks risk appetite;Implementing, maintaining & monitoring the banks Credit Policy; Recommending policy changes to Credit Risk Committee;Reporting / presenting performance updates to the Credit Risk Committee; Building and managing relationships with key stakeholders; Reviewing performances of all credit risk management processes on a regular basis. (From Implementing a credit risk management system based on innovative scoring techniques , A PHD thesis of The University of Birmingham, February 2012, Pages 51-69)中文译文信用卡产业中的信用风险管理琳达 德拉梅尔 近年来，大多数发达国家都遭遇了严重的经济衰退，起因是由于美国抵押贷款所爆发的金融危机。信用风险管理的缺乏已经成为阻碍银行业发展的原因之一。为了避免此类情况的发生，银行需要建立适当的风险管理工具。论文作者指出，银行应最大限度地减少可能产生的损失，以实现利润最大化。文章将对此进行进一步深入的研究。论文的作者希望通过本文的描述从微观经济分析对信用卡持卡人的信贷过程进行研究，为将来有关金融危机的防范起到一定的作用。风险管理的目的是控制银行所有可能发生的风险。本文的主要研究方向集中在信用风险方面，且本文在这方面有比较具体的概念，同时对应对信用风险的功能做出描述。 一、信用风险的定义 信用风险是银行经营活动中所必然发生的。该论文所关注的是在较小的范围内信用卡的信贷风险。除此之外，还有其他衍生产品 工具、资产抵押债券、银行间交易等，这些业务也越来越多的受到信用风险的冲击。信用风险是指由于一方违反有关金融法规或不愿履行应尽的义务，造成了另一方的经济损失的。最终产生的亏损等于净风险损失减去被收回的数额。 二、信用风险的组成部分 信用风险主要由3个部分组成，分别是违约率，违约风险和违约损失率。信用风险可以用数学公式表示为：信用风险= F（ PD EAD LGD ）其中，PD 为违约率；EAD 为违约风险；LGD 为违约损失率。本文的研究主要是聚焦在建立银行业务过程中的信用评价体系上。建立这种风险评价体系的主要目的有三个，分别是：信用审批，决心履行要求所需的最低资本和贷款定价，资本管理政策，允许覆盖预期和非预期信用损失的执行情况。在这篇论文中提出的解决方案主要侧重于优化信贷政策，其中包括贷款定价，特别是信贷额度。三、信用风险的组成体系 本文的重点是信用风险。信用风险一般是由银行的风险管理部门所管理。风险管理使银行和金融机构面临经济损失的风险。而对于银行来说，管理这些风险显得至关重要的。银行内部的风险管理的目的是把银行的风险降到最低，并优化其风险管理体系及其与盈利的能力。风险管理遵循五个步骤： (一）识别。风险测量函数负责量化所涉及的经济损失风险。 （二）检验。风险检验功能负责传达到不同机构层面，以确保所有决策机构成员都能了解不同的风险以及这些风险带来的影响。 （三）度量。风险测量函数还能量化不同的金融风险，其功能也可以量化风险预期收益。（4） 监测。银行管理层根据风险测量函数作出相关的风险防范决策，并确保其严格执行。 （5） 报告。风险部门负责把所可能产生的风险结果通知管理层以及董事会，并由他们负责向监管机构上报任何重大的风险。 对信用风险的控制，首先要求银行有足够的资金来支持正在采取的风险监控措施，再由风险监控部门负责将承担的风险限定在银行规定的范围内。银行根据实际情况，需要建立一个功能有效且稳定的风险管理系统，进行全面的风险管理。这通常需要一个专门的机构、部门或一个专门的委员会（风险管理委员会）进行监督管理。该委员会包括所有关键的管理岗位，如财务总监，营销总监及行政总等的管理者。一个具有健全的监控职能的机构，会分设风险管理部门，作为最终的风险监管决策机构，负责受理银行面临的风险。风险管理的目的是确保银行产生的风险得到