金融风险Chapter 3 Credit Risk Management(PPT 85)

:Modernapproaches4.Managingcreditrisk:GeneralframeworkandTraditional(individual)approach5.Managingcreditrisk:Modern(portfolio)approach4.ManagingCreditRisk:System,contracting,andmodernriskmitigation中国最大的资料库下载1.1DefinitionandformsBroadlydefined,creditriskistheriskthatacounterpartywillfailtoperformanobligationtotheFI,or,achangeinthecreditqualityofacounterpartywillaffectthevalueofanFI’sposition.DefaultriskCounterpartyriskCreditmigrationriskCrediteventriskSettlementrisk,(partlyduetocreditrisk)Sovereignrisk…Lenders:defaultrisk,loanrevaluationriskBondholders:ratingchange(creditmigration)riskTradersofderivatives,equityandothers:counterpartyriskandsettlementriskFactorsaffectingthecapabilityofborrowers:cashflowfromdifferentsources:FactorsaffectingthewillingnessofborrowersDoescreditriskrefertothetypewhichborrowersrefusetorepaymoneyduetolegal(contract)reason,ownershipreason,orfraudreasonandothernon-economicreason…?Informationasymmetryandincentive(agency)problemwillworsenthesituationa:agencyproblembetweenlenderandborrowerb:agencyproblembetweenmanagementandshareholderCounterpartyrisk,firm-specific(unsystematic)risk—Diversificationandavoidingconcentrationisimportantprincipleofcreditriskmanagement.InformationAsymmetryandMoralhazard—People-and-system-focusedinternalcontrolplaysimportantroleincreditriskmanagement.Asymmetrynatureandfattailoffrequencydistribution(PDF)—Normalitycannolongerbeanappropriateassumptionincreditriskmeasuringandloanpricingmodel.Illiquidityandscarcityofdata(exceptfortradablebond)—Creditriskismoredifficulttomeasurethanmarketriskandmark-to-marketishardtobeappliedtocreditriskmanagement.Mark-to-modelistakeninstead.(ActualvsNormal)Frequency(Loanloss)(Loanvalue)0FrequencyNodefaultMaximumLoss0MaximumvalueFattailExpectedlossExpectedvalueNormal,bell-shapeddistributionActualdistributionTraditionalapproachesExpertsystem,ratingsystem,scoringsystemModernapproachesCreditspreadderivationmodel,Mortalityratederivationmodel,RAROCmodel,CreditmeticsmodelKMVPortfolioManagermodelCreditRisk+modelProbabilityofDefaultLossGivenDefault(=1-recoveryrate)ExpectedlossUnexpectedLossExpectedloss=Loansize×ProbabilityofDefault×LossGivenDefault=ExpectedvalueoflossdistributionReserveshouldbeheldforexpectedloss,andpricingshouldincludethiselementUnexpectedLoss=aparticularvalueoflossdistributionataprespecifiedconfidencelevel,oraworst-scenariolossCapitalshouldbeheldforunexpectedloss,andpricingshouldincludeROE@prespecifiedconfidencelevel,e.g.99%FattailMinimumlossNodefaultMaximumTraditional:1.Riskretainandpricing(self-insurance)2.Riskretainandinternalcontrol3.Risktransferringthroughriskmitigationcovenants4.Riskreducingthroughrestrictivecovenants5.DiversificationModern:1.Markethedgingandcreditderivatives2.SecuritizationandloansaleTraditionalbankingriskandtraditionalmanagementmethodsBaselCapitalAccord1988EvolvementtomoderncreditmanagementBaselCapitalAccord2000+FromdefaultriskinbankingbooktocounterpartyriskintradingbookRegulatoryresponsetocreditderivativesLonghistoryIndividualapproachExpertsystemBookvalueapproachMarktobookNohedgingRemainedonbookModernCRMRecentyearsPortfolioapproachScientificmodelsMarketvalueapproachMarktomarketormodelCreditderivativeIntegratedwithmarket中国最大的资料库下载2.1ExpertsystemThreeelementsofcreditdecisionandriskmanagementCharacteristicsofexpertsystem5CsProcessofcreditanalysisShiftingemphasisformthebalancesheettocashflowCommonlyusedfinancialratiosMajorproblemsPeopleProcessandSystemAnalytictoolsandtechnologyCharacterCapitalCapacityCollateralCycleor(Economic)Conditions+levelofinterestrates(nonlinearrelationshipbetweenthelevelofinterestratesandtheexpectedreturnonaloan)中国最大的资料库下载Borrower-specificfactors1.Reputation(Character)2.Leverage(Capital)3.Volatilityofearnings(Capacity)4.CollateralMarket-specifi