德勤-信用风险管理(编辑修改稿)

德勤-信用风险管理(编辑修改稿)内容摘要：

n Structuring, Approval amp。 Pricing Decisions, Reserving, etc. Near Term: Managing Economic Capital / Credit VaR Portfolio Risk Concentration, Risk Based Limits, etc. Vision: Managing Risk/Return Pricing decisions,Performance measurement, business and customer segmentation, pensation, etc. A business model view of Credit Risk Infrastructure ponents Credit Risk Management – Strategic Vision Development Stages – Foundation Stage includes application of risk identification methodologies, risk scoring or rating systems and strong underwriting standards – Basic Stage tends to include managing on a transactional basis by evaluating specific attributes such as structuring, collateral and pricing – Advanced Stage represents managing on a portfolio basis including aspects such as concentrations, correlations and diversification – The Sophisticated Stage includes application of highly developed measurement techniques for transactions and portfolios, supported by decisionmaking relating to segments or businesses against established hurdle rates. Credit Risk Clarified Credit risk is defined as the risk of loss or potential loss resulting from: –Default in contractual obligations by a customer –Migration in condition and rating –Deterioration in performance Credit risk includes both an expected (predictable) and unexpected (volatile) loss ponent. Businesses have to contend with Expected and Unexpected Losses Expected Losses – Anticipated – Cost of doing business – Charged to provisions – Captured in pricing – Relatively easier to measure Assessing expected loss includes determining exposure, default probability and severity Unexpected Losses – Unanticipated but inevitable – Must be planned for – Covered by reserves – Allocated to businesses – Difficult to measure Assessing unexpected loss requires making qualitative judgments around potential volatility of average losses Credit Risk Management Explained Although credit risk may be difficult to measure it is important to estimate and manage What does Credit Risk Management mean? – It represents an institution’s ability to properly identify and evaluate the potential risk of default in payment of obligations of customers – It incorporates the firm’s ability to effectively manage and control this exposure in a way that is consistent with the institution’s business strategy, risk appetite and credit culture Important Building Blocks Effective Credit Risk Management requires – Clear origination and underwriting standards – A strong corporate and credit culture – Highly developed risk measurement techniques – Ability to recognize and cover expected and unexpected losses – Pricing mensurate with risks undertaken – Methodologies to assess profit contributions by customers and appropriate business segments – Proper allocation of capital and management resources In order to: – Improve overall corporate performance, measured by a higher EPS or P/E ratio (or market value) Credit Policy and Process Credit Policy should be clear and concise Credit Underwriting Standards must be developed and included in policy Credit Processes should be reasonable and allow。