贷款组合信用风险管理课件

1、贷款组合信用风险管理1 CREDIT RISK OF LOAN PORTFOLIOS From Saunders and Cornett 贷款组合信用风险管理2 I. Introduction nCredit risk of a loan (asset) portfolio should take into account both the concentration risk and the benefit from loan portfolio diversification. nPortfolio credit risk can be used to set maximum loan c

2、oncentration limits for certain business or borrowing sectors. nThe FDIC Improvement Act of 1991 requires bank regulators to incorporate credit concentration risk into their evaluation of bank insolvency risk. 贷款组合信用风险管理3 I. Introduction nBanks will be allowed to use their own internal models, such

3、as CreditMetrics and Credit Risk+ and KMVs Portfolio Manager, to calculate their capital requirements against insolvency risk from excessive loan concentrations. nThe National Association of Insurance Commissioners (NAIC) has developed limits for different types of assets and borrowers in insurers p

4、ortfolios - a so-called pigeonhole approach. 贷款组合信用风险管理4 II. Simple Models of Loan Concentration Risk n1.Migration Analysis: Lending officers track S then defaults are binomially distributed, and the standard deviation of the default rate for the ith borrower (Di) is equal to the square root of the

5、probability of default times 1 minus the probability of default ( EDF) * (1- EDF)1/2. 贷款组合信用风险管理15 III. Loan Portfolio Diversification and Modern Portfolio Theory (MPT) nCorrelation of Loan Defaults (ij): nTo measure the unobservable default risk correlation between any two borrowers, the KMV Portfo

6、lio Manager model uses the systematic return components of the stock or equity returns of the two borrowers and calculates a correlation that is based on the historical comovement between those returns. nAccording to KMV, default correlations tend to be low and lie between .002 and .15. This makes i

7、ntuitive sense. For example, what is the probability that both IBM and General Motors will go bankrupt at the same time? For both firms, their asset values would have to fall below their debt values at the same time over the next year! 贷款组合信用风险管理16 III. Loan Portfolio Diversification and Modern Port

8、folio Theory (MPT) nA number of large banks are using the KMV model (and other similar models) to actively manage their loan portfolios. Nevertheless, some banks are reluctant to use such models if it involves selling or trading loans made to their long-term customers. In the view of some bankers, a

9、ctive portfolio management harms the long-term relationships bankers have built up with their customers. As a result, gains from diversification have to be offset against loss of reputation. 贷款组合信用风险管理17 IV. Partial Applications of Portfolio Theory nLoan Volume-Based Models: nTable: Allocation of th

10、e Loan Portfolio to Different Sector nNational Bank ABank B n_ nReal estate10%15%10% nC&I607525 nIndividuals15555 nOthers15510 n_ 贷款组合信用风险管理18 IV. Partial Applications of Portfolio Theory nTo calculate the extent to which each bank deviates from the national benchmark, we use the standard deviation

11、of bank As and bank Bs loan allocations from the national benchmark. nWe calculate the relative measure of loan allocation deviation as n (Xij - Xi)21/2 n j = - n N 贷款组合信用风险管理19 IV. Partial Applications of Portfolio Theory nBank B deviates significantly from the national benchmark due to its heavy c

12、oncentration in individual loans. nThe standard deviation simply provides a manager with a measure of the degree to which an FIs loan portfolio composition deviates from the national average or benchmark. nThis partial use of modem portfolio theory provides an FI manager with a feel for the relative

13、 degree of loan concentration carried in the asset portfolio. 贷款组合信用风险管理20 IV. Partial Applications of Portfolio Theory nTABLE: Measures of Loan Allocation Deviation from the National Benchmark Portfolio n_ nBank ABank B n_ n(X1j - X1)2(.05)2 = .0025 (0)2 = 0 n(X2j - X2)2(.15)2 = .0225(.05)2 = .0025

14、 n(X3j - X3)2(-.10)2 = .01(.4)2 = .16 n(X4j - X4)2(-.10)2 = .01(-.05)2 = .0025 n_ n (Xjj - Xi)2 = .045 = .285 nA = 10.61%B = 26.69% n_ 贷款组合信用风险管理21 IV. Partial Applications of Portfolio Theory nLoan Loss Ratio-Based Models: nThis model involves estimating the systematic loan loss risk of a particula

15、r sector relative to the loan loss risk of a banks total loan portfolio. This systematic loan loss can be estimated by running a time series regression of quarterly losses of the ith sectors loss rate on the quarterly loss rate of a banks total loans: n(Sectoral losses in the ith sector/Loans to the

16、 ith sector) = + (Total Loan Losses/Total Loans) 贷款组合信用风险管理22 IV. Partial Applications of Portfolio Theory nWhere measures the systematic loss sensitivity of the ith sector loans. nThe implication of this model is that sectors with lower s could have higher concentration limits than high sectors- si

17、nce low loan sector risks (loan losses) are less systematic, that is, are more diversifiable in a portfolio sense. 贷款组合信用风险管理23 IV. Partial Applications of Portfolio Theory nRegulatory Models: nThe method adopted is largely subjective and is based on examiner discretion. The reasons given for reject

18、ing the more technical models are that (1) current methods for identifying concentration risk are not sufficiently advanced to justify their use and n(2) insufficient data are available to estimate more quantitative-type models, although the development of models like KMV, as well as CreditMetrics and Credit Risk+, may make bank regulators change their minds. 贷款组合信用风险管理24 IV. Partial Applications of Portf