个人信用卡组合ppt课件

1、1Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Delinquency Migration, Macroeconomic Indicators & Applications to Portfolio Credit Risk Forecasting逾期变动、宏观经济指标以及在组合信用风险预测中

2、的应用Credit Portfolio Analytics信贷组合分析组信贷组合分析组2Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Overview 概述概述q Credit Portfolio Analytics Group Mission 信贷组合分析组的使命信贷组合分析组的使命qTo pro

3、vide management with an independent, top-down, macroeconomic-driven asset quality forecast range, including a baseline forecast based on most-likely assumption, that is accurate, comprehensive, nimble, and actionable.q向管理层提供以宏观经济为基础、独立、自上而下的资产质量预测，包括根据向管理层提供以宏观经济为基础、独立、自上而下的资产质量预测，包括根据“最可最可几假设作出的、准确

4、、全面、可提供行动依据的基准线预测。几假设作出的、准确、全面、可提供行动依据的基准线预测。qAssist in management of earnings volatility associated with risk in the credit portfolio.q协助管理与信用组合风险有关的盈利波动。协助管理与信用组合风险有关的盈利波动。qTo mitigate significant potential losses due to event risk, and减少因事件风险造成的重大潜在损失；以及减少因事件风险造成的重大潜在损失；以及 qTo design and implemen

5、t proactive strategies for portfolio management.设计和实施主动性的组合管理战略设计和实施主动性的组合管理战略q Old EnvironmentOne Forecast Opinion 旧的环境旧的环境预测角度的看法预测角度的看法qLine-of-Business/Risk Management provided asset Quality forecast to Senior Management由业务线由业务线/风险管理部门向高级管理层提供资产质量预测风险管理部门向高级管理层提供资产质量预测qq“Bottoms Up” approachacco

6、unt level data ”自下而上自下而上“的预测方法的预测方法账户级数据账户级数据q- How many standard deviations from expected? 距离期望值有多少个标准差？距离期望值有多少个标准差？qNo Contrarian view 不采取反向观点不采取反向观点qNot explicitly linked to future economic environment 没有与未来的经济环境建立明确的没有与未来的经济环境建立明确的关联关联qOne outcome provided to senior management 只向高级管理层提供一个结果只向高级

7、管理层提供一个结果q- Conservative? Reasonable? Or a stretch? 保守？合理？还是太乐观？保守？合理？还是太乐观？3Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Overview 概述概述qNew EnvironmentOne Forecast Opinion

8、新的环境新的环境统一的预测观点统一的预测观点qProvide CEO, CFO, and Chief Risk Officer with an alternative to Line-of-Business forecasts除业务线预测之外，向首席执行官、财务总监和风险总监提供另一个选择除业务线预测之外，向首席执行官、财务总监和风险总监提供另一个选择qForecasting based on a single view of the economy 根据对经济的单一看法进行预测根据对经济的单一看法进行预测qAbility to run numerous simulation and sens

9、itivity analyses 能够进行大量的模拟和敏感性分能够进行大量的模拟和敏感性分析析qSynchronized loan and interest income forecast with the Corporate Treasury 贷款和利息收贷款和利息收入预测与集团司库部同步入预测与集团司库部同步 q qObjective 目的目的qThe main objective is to produce a forecast of the credit loss associated with the Consumer Credit Card taking into account

10、the following factors:主要目标是在考虑以下因素的前提下，提供与个人信用卡有关的信用损失预测主要目标是在考虑以下因素的前提下，提供与个人信用卡有关的信用损失预测qUnderlying macroeconomic indicators 相关的宏观经济指标相关的宏观经济指标qThe banking industry credit environment 银行业的信用环境银行业的信用环境qMigration of banks loans along the delinquency bucket spectrum (including Bankruptcy/Deceased sta

11、tus and Charge-offs) 银行贷款沿逾期档自低向高的变动包括破产银行贷款沿逾期档自低向高的变动包括破产/状况恶化和撇账）状况恶化和撇账）q Models Produced for Commercial Products 开发用于商业产品的模型开发用于商业产品的模型qMacroeconomic-based loss forecast models have been developed (for combined Bank of America and Fleet legacy portfolios:已经开发基于宏观经济的损失预测模型针对美国银行和已经开发基于宏观经济的损失预测模

12、型针对美国银行和Fleet两家公司合并前的组合）：两家公司合并前的组合）：qLegacy Bank of AmericaCredit Card (Total Managed) 美国银行合并前美国银行合并前信用卡管理的全部信用卡管理的全部信用卡贷款）信用卡贷款）qLegacy FleetCredit Card (Total Managed) Fleet 合并前合并前信用卡管理的全部信用卡贷款）信用卡管理的全部信用卡贷款）qLegacy FleetCredit Card (Master Trust) Fleet 合并前合并前信用卡主信托结构）信用卡主信托结构）qLegacy MiBNAConsum

13、er Card-US (Total Managed, Securitized) MiBNA合并前合并前美国个人信用卡管理的全部信用卡贷款，证券化）美国个人信用卡管理的全部信用卡贷款，证券化）qLegacy MiBNAConsumer Card-Europe (Total Managed, Securitized)MiBNA合并前合并前欧洲个人信用卡管理的全部信用卡贷款，证券化）欧洲个人信用卡管理的全部信用卡贷款，证券化）qLegacy MiBNAConsumer Card-Canada (Total Managed, Securitized)MiBNA合并前合并前加拿大个人信用卡管理的全部信用

14、卡贷款，证券化）加拿大个人信用卡管理的全部信用卡贷款，证券化）4Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Main Components of the Loss Model损失模型的主要组成部分损失模型的主要组成部分q Step 1 : Establishing the Future Credi

15、t Environment 第第1步：确立远期信用环境步：确立远期信用环境q Using forecasted economic data, estimate the future Consumer Credit Cycle Index (CCCI). 使用预测的经济数据，估算远期的消费者信用周期指数使用预测的经济数据，估算远期的消费者信用周期指数CCCI）q Step 2 : Applying the Credit Environment to the Banks Portfolio第第2步：对银行的信用组合应用信用环境步：对银行的信用组合应用信用环境q Derive future deli

16、nquency migration matrices based on the forecasted CCCI. 根据预测的根据预测的CCCI导出远期的逾期变动矩阵导出远期的逾期变动矩阵q Step 3 : Forecasting the Banks Credit Quality, and Delinquencies第第3步：预测银行的信用质量和贷款逾期情况步：预测银行的信用质量和贷款逾期情况q Multiply current delinquency bucket distribution by forecasted migration matrices to arrive at the f

17、uture delinquency dollar distribution.用预测的变动矩阵乘以当前的逾期档分布，得出远期的逾期金额分布。用预测的变动矩阵乘以当前的逾期档分布，得出远期的逾期金额分布。q Account for new business, and pay-downs, and align with Corporate Treasury, Line of Business Finance, as well as Securitization Finance overall loan growth targets.在考虑新业务和现金支付情况的前提下，就贷款增长的总体目标与集团司库部

18、、业务线财务部以及证券化融资部取在考虑新业务和现金支付情况的前提下，就贷款增长的总体目标与集团司库部、业务线财务部以及证券化融资部取得一致。得一致。q Step 4 : Forecast the Credit Loss第第4步：预测信用损失步：预测信用损失q For “defaulted” loans, apply “Severity of Loss” assumptions (or one minus recovery rate). 对对“违约贷款，运用违约贷款，运用“损失严重度假设或损失严重度假设或1减去回收率）。减去回收率）。q Produce a projection of “pote

19、ntial credit loss” for future time-periods. 得出远期得出远期“潜在信用损失的预测值。潜在信用损失的预测值。5Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Loss Forecast Process损失预测流程损失预测流程 q Step 1 : Establ

20、ishing the Future Credit Environment第第1步：确立远期信用环境步：确立远期信用环境q Step 2 : Applying the Credit Environment to the Banks Portfolio第第2步：对银行的信用组合应用信用环境步：对银行的信用组合应用信用环境q Step 3 : Forecasting the Banks Credit Quality & Delinquencies第第3步：预测银行的信用质量和贷款逾期情况步：预测银行的信用质量和贷款逾期情况q Step 4 : Forecast the Credit Loss

21、第第4步：预测信用损失步：预测信用损失6Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Consumer Credit Cycle IndexDomestic US 消费者信用周期指数消费者信用周期指数美国国内美国国内CCCI indicates the credit state of the con

22、sumer credit card market as a wholeCCCI 反映个人信用卡市场的总体信用状况Due to the differences noticeable between the credit environment of the US and other countries, a region-specific credit cycle index was constructed for the US, Canada, and Europe credit card portfolios.由于美国和其他国家的信用环境有明显的差异，因此针对美国、加拿大和欧洲的信用卡组合分

23、别构造可地区性信用周期指数。The Index is designed to be:指数的设计原则：“Positive”, for good times, indicating lower levels of downgrading and defaults, and a higher upgrading probability, than average在景气好的时期，指数为“正”，表明与平均水平相比，信用等级降低和违约处于较低水平，信用等级升高的可能性较高“Negative”, for bad times, implying higher levels of downgrading and

24、 defaults, and a lower upgrading probability, than average在景气不好的时期，指数为“负”，表明与平均水平相比，信用等级降低和违约处于较高水平，信用等级升高的可能性较低q What is the CCCI?什么是什么是 CCCI？q How do we construct it?如何构造这个指数？如何构造这个指数？As a representative of credit card economic environment the industry net charge-off rates was used. (the metric fo

25、r the top 100 commercial banks)采用代表信用卡经济环境好坏的行业净撇账率来构造这个指数。（100家最大的商业银行） A normal distribution transformation of the industry Net Charge-off rate is used.采用按正态分布形式表示的行业净撇账率。q How do we model it?如何模拟这个指数？如何模拟这个指数？As a result of their relationship to Industry NCOs rate, and after testing economic data

26、, the following variables are included in the CCCI model:考虑到这个指数与行业净撇账率的关系，在测试经济数据后，CCCI 模型中包含以下变量：Unemployment Rate失业率The ratio of GDP to the number of National Bankruptcy FilingGDP与全国破产申请数的比值Quarterly growth rate of National bankruptcy Filing全国破产申请数的季度增长率Treasury Bond Spread (10Yr. Tr. bond minus

27、3 month Tr. bill)国债利差10年期长期国债利率减去3月期短期国债利率）ttNCONCOttNCOCCCI1117Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。q Model 模型模型A comparison between the actual value of the Indust

28、ry net Charge-off rate and the model fitted value was illustrated行业净撇账率实际值与模拟拟合值的对比The predicted value of the Industry Net Charge-off rate was converted into a Credit Cycle Index value. The bar chart graph is an illustrative representation of this Consumer Credit Cycle Index. 行业净撇账率的预测值转换为信用周期指数值。条状

29、图代表这个消费者信用周期指数，只用于示意的目的Industry Net Charge-Offs Forecasting-NEW MODELR-sqrd=93.65%, MAD=0.01645, DW=1.265-1.90-1.80-1.70-1.60-1.50-1.40-1.30-1.201Q 901Q 911Q 921Q 931Q 941Q 951Q 961Q 971Q 981Q 991Q 001Q 011Q 021Q 031Q 041Q 051Q 06Norm Inverse NCOsNCOsPredictionForecastL95U95For illustrative purposes

30、 only仅用于示意目的仅用于示意目的Consumer Credit Cycle IndexDomestic US 消费者信用周期指数消费者信用周期指数美国国内美国国内行业净撇账率预测新模型消费者信用周期指数与行业净撇账率新提出的模型8Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Consumer

31、Credit Cycle IndexCCCI & Macroeconomic IndicatorsUS 消费者信用周期指数消费者信用周期指数CCCI与宏观经济指标与宏观经济指标美国美国Increase in GDP and decrease in bankruptcy filings have a positive impact on the credit environmentGDP增长和破产申请数下降，对信用环境有积极的影响.Higher unemployment affects negatively the credit environment.失业率增加，对信用环境有负面影响H

32、igher bankruptcy growth translates into worse credit environment.破产加速增长，信用环境恶化Higher Treasury spreads are positively related to the dynamics of the credit cycle.国债利差增加，与信用周期的动态是正相关关系For illustrative purposes only仅用于示意目的仅用于示意目的GDP与全国破产申请数的比值滞后1个季度失业率 滞后3个季度国债利差 滞后8个季度全国破产申请数增长速度 滞后4个季度9Confidential a

33、nd Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Consumer Credit Cycle IndexCanada & UK消费者信用周期指数消费者信用周期指数加拿大和英国加拿大和英国q What is the Canadas CCCI? 加拿大的加拿大的 CCCI 是什么？是什么？CCCI indicates the

34、health of the consumer credit card market of Canada as a whole. CCCI反映加拿大个人信用卡市场的总体健康状况q How do we model it? 如何模拟这个指数？如何模拟这个指数？As a result of their relationship to Industry NCOs rate, and after testing economic data, the following variables are included in the Canadas CCCI model:考虑到这个指数与行业净撇账率的关系，在测

35、试经济数据后，加拿大CCCI模型中包含以下变量：Unemployment Rate 失业率The ratio of GDP to the number of National Bankruptcy Filing GDP与全国破产申请数的比值3-Month Prime Corporate Paper Rate.3月期优等企业票据利率 The US Credit Card Industry Net Charge-off Rates. 美国信用卡业净撇账率。CANADA 加拿大加拿大United Kingdom 英国英国q What is the UKs CCCI? 英国的英国的 CCCI 是什么？

36、是什么？CCCI indicates the health of the consumer credit card market of the United Kingdom as a whole.CCCI反映英国个人信用卡市场的总体健康状况 q How do we model it? 如何模拟这个指数？如何模拟这个指数？As a result of their relationship to Industry Net Charge-offs rate, and after testing economic data, the following variables are included i

37、n the UKs CCCI model:考虑到这个指数与行业净撇账率的关系，在测试经济数据后，英国CCCI模型中包含以下变量：Unemployment Rate 失业率The ratio of GDP to the number of Individual Insolvencies GDP与个人破产数的比值3-Month London Interbank Offer Rate (LIBOR) 3月期伦敦银行同业拆出利率LIBOR）10-Year Treasury Rate.10年期国债利率。10Confidential and Proprietary Materials: for use b

38、y Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。q Canada 加拿大加拿大A comparison between the actual value of the Industry net Charge-off rate and the model fitted value was illustrated行业净撇账率实际值与模拟拟合值的对比The predicted value of the

39、Industry Net Charge-off rate was converted into a Credit Cycle Index value. The bar chart graph is an illustrative representation of this Consumer Credit Cycle Index. 行业净撇账率的预测值转换为信用周期指数值。条状图代表这个消费者信用周期指数，示意性。q United Kingdom 英国英国For illustrative purposes only仅用于示意目的仅用于示意目的Consumer Credit Cycle Inde

40、xCanada & UK消费者信用周期指数消费者信用周期指数加拿大和英国加拿大和英国消费者信用周期指数与行业净撇账率加拿大信用卡业净撇账率预测加拿大消费者信用周期指数与行业净撇账率英国英国行业净撇账率11Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Credit Cycle IndexCCC

41、I & Macroeconomic IndicatorsCANADA消费者信用周期指数消费者信用周期指数CCCI与宏观经济指标与宏观经济指标加拿大加拿大Higher unemployment affects negatively the credit environment.失业率增加，对信用环境有负面影响。Canadas industry net charge-off rate moves in parallel with the U.S. industry net charge-off rate.加拿大的行业净撇账率与美国的行业净撇账率共同进退。Increase in GDP an

42、d decrease in insolvencies have a positive impact on the credit environment.GDP增长和破产人数下降，对信用环境有积极的影响.Short-term rates are negatively related to the industry net charge-off rate.短期国债利率与行业净撇账率是负相关关系。For illustrative purposes only仅用于示意目的仅用于示意目的GDP/个人破产数个人破产数失业率失业率滞后滞后3个季度个季度3月期短期国债利率月期短期国债利率美国信用卡行业净撇账率

43、美国信用卡行业净撇账率12Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Credit Cycle IndexCCCI & Macroeconomic Indicatorsthe UK消费者信用周期指数消费者信用周期指数CCCI与宏观经济指标与宏观经济指标英国英国Increase in GDP

44、 and decrease in insolvencies have a positive impact on the credit environment.GDP增长和破产人数下降，对信用环境有积极的影响.Higher unemployment affects negatively the credit environment.失业率增加，对信用环境有负面影响。It is expected that over the next two years we would have a more stressed credit environment for the UKs credit card

45、industry.预计未来两年内，英国信用卡业将面临压力更大的信用环境The longer-term interest rate (10-year Treasury Bond rate) is negatively related to the U.K. industry net charge-off rate.期限较长债券的利率10年期国债利率与英国行业净撇账率是负相关关系。The 3-month LIBOR rate is negatively related to the U.K. industry net charge-off rate.3月期LIBOR利率与英国行业净撇账率是负相关关

46、系-It is expected that in the next two years there would be a significant increase in the number of individual insolvencies in the UK. 预计未来两年内，英国个人破产数将显著增加。-This is as a result of the new bankruptcy legislation in the UK which is in effect as of April04. The Enterprise Act reduced the course of bankr

47、uptcy protection for individuals from three years to one year. 这是英国从2019年4月开始实行新破产法的结果，企业法将个人的破产保护期从三年缩短为一年。- Increases in individual insolvencies affect negatively the credit environment. 个人破产数的增加对信用环境有负面影响。For illustrative purposes only 仅用于示意目的仅用于示意目的GDP/个人破产数个人破产数滞后滞后1个季度个季度失业率失业率滞后滞后1个季度个季度3个月个月

48、LIBOR利率利率滞后滞后4个季度个季度10年期国债利率年期国债利率滞后滞后1个季度个季度个人破产数个人破产数消费者信用周期指数消费者信用周期指数英国英国13Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Loss Forecast Process 损失预测流程损失预测流程 q Step 1 : Es

49、tablishing the Future Credit Environment第第1步：确立远期信用环境步：确立远期信用环境q Step 2 : Applying the Credit Environment to the Banks Portfolio第第2步：对银行的信用组合应用信用环境步：对银行的信用组合应用信用环境q Step 3 : Forecasting the Banks Credit Quality & Delinquencies第第3步：预测银行的信用质量和贷款逾期情况步：预测银行的信用质量和贷款逾期情况q Step 4 : Forecast the Credit

50、Loss第第4步：预测信用损失步：预测信用损失14Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Modeling Delinquency Migration模拟逾期变动模拟逾期变动qDefault behavior of credit card portfolios can be modeled u

51、sing delinquency migration movement; a migration matrix also known as a transition matrix.可使用逾期变动法来模拟信用组合的违约行为，称为变动矩阵法，也称为变化矩阵法。qDelinquency migration analysis tries to answer questions like逾期变动分析试图回答以下这类问题q- “What is the probability that a 以下事件的概率是多大q. 30 days-past-due loan stays past due one more

52、cycle over the next month? 逾期30天的贷款继续逾期至下一个月q. 180 days-past-due loan ends up in charge-off status during the next 3 month?” 逾期180天的贷款在未来3个月被划入撇账类别？”q- Answer: “All migration information is contained in a Transition Matrix.” 答案：“所有变动信息都报告在变化矩阵内”。qAverage Quarterly BACs Delinquency Migration Matrixq

53、美国银行集团的季度平均逾期变动矩阵73.15% of 61-90 DPD loans end up in 91-120 DPD, while 26.66% will migrate to the cure state逾期逾期61-90天的贷款中，天的贷款中，73.15%会进入逾期会进入逾期91-120天的状态，天的状态，偿还的占偿还的占26.66%。TO SatusFROM StatusPerforming5-30 DPD31-60 DPD61-90 DPD91-120 DPD121-150 DPD151-180 DPDDefault (C/Os)BKP/ DecW/DPerforming89

54、.5010.330.175-30 DPD77.8222.000.1831-60 DPD48.3351.460.2161-90 DPD26.6673.150.2091-120 DPD17.2582.540.20121-150 DPD14.0085.790.21151-180 DPD50.4849.310.20C/Os0.00100.00W/D0.00100.00For illustrative purposes only仅用于示意目的仅用于示意目的起点状态起点状态目标状态目标状态良好良好逾期逾期5-30天天逾期逾期31-60天天逾期逾期61-90天天逾期逾期91-120天天逾期逾期121-150

55、天天逾期逾期151-180天天撇账撇账表现表现15Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。Economic Index Based Migration基于经济指数的变动基于经济指数的变动q Modifying transition and default probabilities along

56、 the modeled economic scenarios 根据模拟的经济情境，修正变动概率和违约概率qq- An Index which reflects economic performance is constructed so that a value of “0” represents a neutral economic performance.构造一个反映经济表现的指数，经济表现为中性时这个指数的值为“0”q- An average transition matrix, corresponding to the “neutral economy” scenario was c

57、onstructed. 与所构造的“中性经济情境相对应的是平均变化矩阵q- Relative to this average, in 相对于这个平均值q- Good scenarios:the value of the index is positive (greater than zero)qthere are more upgrades and fewer defaults. 好情境：指数为正值大于零）；信用升级增加，违约减少。q- Bad scenarios: the value of the index is negative (less than zero)qthere are mo

58、re downgrades and more defaults. 坏情境：指数为负值小于零）；信用降级增加，违约增加。q- Any change in economic index values reflects changes in the mean of the distribution along the scenarios. 经济指数值的任何变化都反映情境分布均值的变化。16Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel on

59、ly. See applicable contract. 保密资料，切勿外传：仅供美国银行和中国建设银行的人员使用。详见相关的合同。What we want to do here 我们要实现的目标我们要实现的目标Traditionally, an average of historical data has been used to construct the delinquency migration matrix. 传统上，使用历史数据的平均值来构造逾期变动矩阵。传统上，使用历史数据的平均值来构造逾期变动矩阵。The procedure outlined herein incorporat

60、es an important step beyond this. 这里介绍的方法包括一个传统方法里没有的重要步骤。这里介绍的方法包括一个传统方法里没有的重要步骤。The likelihood of migration from one delinquency status to another is defined as a function of the state of the economy, as reflected by the CCCI. 从一个逾期状态进入另一个逾期状态的似然率被定义为从一个逾期状态进入另一个逾期状态的似然率被定义为CCCI所代表所代表的经济状况的函数。的经济状况的函数。17Confidential and Propriet