信贷资产组合(英文版)知识分享

PortfolioManagementVishalVedi&ZeshanChoudhry第一页，共31页。ContentsIntroductionBackgroundTraditionalCreditModel&ImplicationsKeydriversforchange&IndustrydevelopmentsEmergingBusinessModelCreditPortfolioManagement–Definition,Objectives&BenefitsComponentsofCreditPortfolioManagement–ADeloitteFramework第二页，共31页。BackgroundPortfolioManagementisnotanewconcept.Traditionally,CreditAnalystshavefocusedtheiranalysisonindividualtransactions(ordeals)asagainstportfolioofcredittransactionsformeasurement/managementofcreditrisk.Developmentofliquidsecondarymarketsistransformingthetraditionalbusinessmodelofofferingcredit:“buyandhold”strategy.Advancementinportfoliobasedcreditriskmethodologies/analyticssuch(e.g.CreditVaR)enablemeasurementof“taillosses”forcreditportfolioswithhigherconfidencethanbefore.Largewritedowns/lossesfromTopTierbanksintherecentpast,havebroughttolighttwokeyrisktypesthatwerehithertonotgivenmuchattention:Concentration&LiquidityRisk.Optimisationofcapitalallocationtobusinessesthatprovidesbestmarginalriskadjustedreturnatportfoliolevels第三页，共31页。BasicDefinitionsPortfolioPortfolioisacollectionofinvestmentsheldbyafinancialinstitution(e.g.Bank).CreditportfolioCreditPortfolioisacollectionofinvestmentsthatpertainstoprovidingcredittocounterparties(merciallending)ortradeswherecounterpartycreditrisk(e.g.OTCderivatives)isinvolved.Theinvestmentsarecommonlygroupedtogetheralongfollowingdimensionssuchasasinglenameissuer,country,industry,sector,assetclassesetc.CreditPortfolioManagement(asanactivity):CreditPortfolioManagementasanactivityinvolvesmeasurement,managementandcontrolofcreditriskonaportfoliobasisinordertoensurethattherisk/returnprofileofaportfolioofcreditinvestmentsisinalignmentwiththeircreditstrategyandaddsvaluetoshareholder’swealth.CreditPortfolioManagement(asafunctionname)CreditPortfolioManagementisapopularemergingFrontOffice(Backoffice)functionwithininvestmentbanks(Commercialbanks)whoisresponsiblefor(actively)managingthereturn/riskprofileofthecreditportfoliosthroughbuying/sellingloansaswellthroughexecutionofcredithedges.RiskAdjustedPerformanceManagementAframeworkformeasurementofperformancewherereturnsaremeasuredonrisk-adjustedbasis.E.g.RiskAdjustedReturnonCapital(RAROC)Awiderangeofdefinitionsexistsforthetermsmentionedbelow.Thedefinitionsgivenbelowexplainsthecontextinwhichthefollowingtermsareusedinthisdocument.第四页，共31页。TraditionalBusinessmodel-ManagingCreditRiskKeyCreditActivitieswithinthecycleApproachImplicationInvestmentStrategyOriginate&HoldHighuseofCollateralsandLimiteduseofsecuritisationandcredithedgesOwnershipoftheCreditAssetsBusinessUnitFullyownedbytheBUthatoriginatesthetransactionMeasurementofRiskTransactionlevelanalysisoncounterpartiesLimitedconsiderationofportfolioeffectsFocusmoreontransactionlevelasagainstportfoliosConcentrationRisk&DefaultCorrelation–nottakenintoaccountManagementofRiskBinaryapprovalprocess(approve/reject)RiskAdjustedCostofCapitaldonotcomeintocreditdecisionmakingBasisforCompensationforLoanOriginationVolumeNoriskbasedperformancemeasurementresultinginlargepercentageofNonPerformingAssets(NPAs)PricingSimplegridbasedapproachNonrisk-basedpricingresultsinsub-optimalallocationofcapitalThisactivityisperformedbytherespectiveBusinessunits.TheFOrelationshipmanagerwouldcreateaproposalforcreditalongwiththedetailsofproposedratingforCP/facilityasperthestandardratingmodelsusedbytheBank.CreditfunctionwouldreviewtheproposalandapprovetheratingofCP/facilityandapprove/rejectthecreditproposal.Apartfromapprovals,creditalsoperformsperiodicreviewsoftheratingsassignedtocounterpartiesbasedonlatestfinancialinformation.BUisresponsibleforthesyndication/salesoftheloanandthisisdoneafterobtainingapprovalfortheproposalfromtheCredit.Decisionsonwhatproportionofexposuretobeheldonthebalancesheetandhowmuchtobetakenoff-balancesheetismadebytheBU.Traditionalbusinessmodelusessimple“Gridbasedpricing”,thatusespre-determinedspreads(add-ons)onreferenceratestodeterminepricesdependingontheratingoftheCP/facility.ThisactivityisalsoperformedbytheBU.OftennotionalvalueoftheloansalongwiththelossesatdefaultinformationareconsideredtoestimatethelossesandtheECrequired.Moreadvancedmodels,thoughusedforECcomputation,theindividualcreditriskfactorsaremodelledwithoutconsiderationforthecorrelationofthefactors.Evenintraditionalapproach,performanceismeasuredandreviewedatportfoliolevels.Theseportfoliosareformedaggregatingexposuresalongstandarddimensions.Theseportfoliosareconstructedusuallyforthepurposeofseniormgmtreporting&limitmanagement.Lossmitigation/restructuring/recoveryisusuallymanagedbyaseparateteamwithincreditfunctionasthisinvolvesclosemonitoringofailingcounterparties.Thisteamwouldworkwithcounterparties(withlowerinternalratings)forrestructuringexistingfacilitiestomitigatelossesandalsoworkonrecoveryincaseofdefault.13456721345672CreditManagementLifeCycleTraditionalmodelformanagingcreditriskisstaticanddoesn’tprovideflexibilitytomanage/controlwiththechangingmarketconditionsi.e.tounwindduringunfavourableconditionsandtapopportunitiesthatfavourableconditionspresenttotheBanks第五页，共31页。KeyDriversforChange

LessonsfromtherecentcreditlossesTurbulentmarketconditionsandrecentcreditlosseshaveexposedtheweaknessofcreditriskmanagementpracticesandhighlightedthesignificantofstresstesting,liquidityandconcentrationrisks.RegulatoryAuthoritieshavetakentheirfocusawayfrom“regulatorycapital”&“capitaladequacy”andareactivelypushingbankstohandleemergingissuessuchasConcentrationandLiquidityriskaftertherecentmarketevents.Measurementandactivemanagementofcreditonportfoliobasisisclearlythewayforthefuture.IncreasedMarketVolatilityFinancialmarketshavebecomemorevolatileandtighterintegrationofmarketsowingtoglobalizationhavemadevolatilitymore“contagious”.Increasedmarketvolatilityunderscorestheincreasedrelianceofriskmanagers(creditandmarket)onstresstestsformanagingriskandthesignificanceofmanagingriskonaportfoliobasisasagainsttransactionbasis.Increasingvolatilityimplieslargerpotentiallossesandasaresultriskmanagementpracticesneedstobemoredynamictoadoptforchangingmarketconditions.BanksthathavehigheradaptabilityaretheonesthathaveperformedwellduringtheturbulentperiodsConcentration&CorrelationRiskAnabsenceofportfoliolevelcontrolsandmanagementcanleadtoundesiredconcentrationriskbuildingupandskewedportfolioexposuresandriskswhichdonotoptimizeriskadjustedreturncapital.LiquidityRiskMgmtRecentmarketevents(e.g.NorthernRock&BearSterns)havemadeliquidityriskmanagementafocalareaforbankinginstitutionsandtheRegulatoryAuthorities.Theinteractionbetweenmarketvolatility,marketliquidityandtheconsequentialliquidityofbankbalancesheetshasbecomemorecloselyintegratedduringrecentevents.Regulatorsarepushingbankstohaveproperliquidityriskmanagementpolicyandcontingencyplanstomanageanyliquiditycrisis.Therobustnessofthecontingencyplansforliquidity,dependsonaccuracyoftheestimationofunexpectedcreditlossesatvariousportfoliolevels.StressTestingTheindustryhasrecognizedtheimportanceofdevelopingandusingforwardlookingscenarioswithinstressteststoexploreknownandunknownrisks.Regulatorsareplacingincreasingemphasisonstresstesting(atgrouplevelaswellasatvariouskeystrategicportfoliolevels)aspartoftheindividualcapitalassessmentprocessandalsotoassessriskswhicharenotcapturedinstandardmarketriskmeasures(e.g.VaR).第六页，共31页。KeyBusinessdriversforchangecontinued

BusinessDriversInstitutionsarestrivingtoincreaserevenueswithintightcapitalconstraints.IncreasingdemandfrominvestorstoimprovetheTotalShareholderReturn(TSR)impliesalltheactivitiesofthefirmneedstoaddvalue.Toensurethat,ariskbasedperformancemanagementneedstobeputinplaceandfirmlylinkedwiththecapitalallocationdecisionprocess.Whiletherecentmarketturbulencehasreducedinvestorappetiteforcertaintypesofstructuredcreditproducts,ingeneral,existingstructuredproductportfoliowillremainandnewtypesofcomplexstructuredproductsmaycontinuetobetradedbythebanksastheypresenthighmarginopportunities.Abilitytomeasure/managecreditriskforportfoliosinvolvingcomplexproductsisboundtobecomeoneofthetruedifferentiatorsofperformanceamongthepeers.Thebusinessenvironmentforcredithaschangedcompletely.ThusthereisclearlyaneedforchangeofworkingaswellIncreaseShareholderreturn/OptimiseEconomicCapitalShareholderreturnisdrivenbyeconomicprofitabilitywhichisthespreadbetweentheriskadjustedreturnonequityandthefirm’sriskadjustedcostofequity.Institutionsneedtoallocatecapitaltobusinessareasandtransactionswhichhavehighestmarginalriskadjustedreturnoncapital.Ariskadjustedperformancemanagement(RAPM)frameworkisrequiredtoenabletheseobjectivestobedelivered.RAPMneedstofeedintocapitalallocation/creditportfoliocontrolprocessestoensurethat(i)capitalallocatedincreaseshareholdervalueand(ii)creditlimitsimposedonvariousportfoliolevelsareinsyncwiththeRAPMoutputs.Continued/IncreasingProductComplexityThereisanincreasedfocusonthevaluationandeffectivecounterpartyexposuremeasurementandmanagementforcomplexproducts.Abilitytomeasure/managecreditriskforportfoliosinvolvingcomplexproductswouldbecomeoneofthekeydifferentiatorsandprovidecompetitiveadvantagetobanks.ConvergenceofMarketRisk&CreditRiskMarketriskmeasurementtechniquesareincreasinglybeingusedtomeasurecertaintypesofcreditexposuresthatareliquidandthatcanbecredithedged(e.g.SFTs/OTCderivatives).Withincreasingincidenceofcreditriskwithintradingbooks/portfolios,quantificationofincrementaldefaultriskcharge(IDRC)inthetradingbookisoneoftheprioritiesforthebanksaswellastheregulators.Aspertherecentstudypublishedbyagroupoflargeregulators*,firmsthatavoidedsignificantlossesduringtherecentmarketturbulencetypicallywerebetteratintegratingexposuresacrossmarketandcounterpartcreditrisk.*Source:“ObservationsonRiskManagementPracticesduringtheRecentMarketTurbulence”publishedbySeniorSupervisorsGroupdatedMarch06,2008第七页，共31页。KeyBusinessdriversforchangecontinued

BusinessDriversKeyenablersforthestrategiesthataidcreditportfoliomanagementaredevelopmentofveryactivesecondarymarketforloanportfoliosthatprovidenewavenuestodiversifytheportfolioexposure,increasingtendencytomanagealltheexposureunderasinglenameasaportfolioandadventofadvancedportfoliomodellingtoolstomeasure/managecreditriskatportfoliolevels.Opportunitiestomeasurecreditriskinaholisticmannerandbenefitsthatareobtainedthroughsignificantreductionofregulatorycapital(andthuscosts)wouldcontinuetopushbankstopursuecreditportfoliomanagementstrategiesmoreactivelyinthefuture.IncreasingliquificationofloanmarketsIncreasedloanliquidityacrossthecreditspectrum(andespeciallyforhighqualitylargecorporatedebt)overthelastfewyears,duetorisingvolumesinloansales,syndicationandtradinghavecreatedalargesecondarymarketforloans.Portfoliomanagerscantapthesemarketstorebalancetheirportfoliothroughbuying/sellingofloans.Structuredcreditproductssuchascreditderivatives(CSS,CLN,FirstDefaultbasket,TotalReturnSwaps,CreditSpreadOptions,etc)andsecuritisationstructures(CLO,CDO,CBO,CIO,etc)alsohelpstransformriskposedbyilliquidcreditexposures..ConvergenceofFixedIncomeTrading&LargeCorporateLendingWholesalebanksthatareactiveinbothcorporatelendingandbondunderwritingarebeginningtoviewloansandbondsassubstitutableproductsinthesameassetclass.Subsequently,thereisanemergingtrendtomanageloans,bondsandderivativeexposurestothesamenamesasasingleportfolio.NeedforincreasedportfoliodiversificationManagingcreditriskatportfoliolevelsrecognisetheeffectsofdiversification.Recognitionofdiversificationeffectscoulddirectlybenefitbanksthroughreducingportfolioriskmeasuressignificantlyandthussignificantreductioninriskcapitaltobesetaside.Fore.g.diversifyingdebtswithemergingmarketdebtscanbringinsignificantbenefits.AdvancesinCreditRiskAnalyticsAdventofsophisticatedratingmodelsandadvancedportfoliomodelsforestimationofexpectedlosses/unexpectedlosses/economiccapitalcontinuetopushthefrontiersofcreditportfoliomanagementfurther.第八页，共31页。CreditPortfolioManagement–MarketParticipationOtherKeyFindingsOfthebankshavingCPMfunction,assetownershippatternacrossCPMandBusisasbelow:14%-completelyownedbyCPM30%-completelyownedbyBUs35%-bothbyCPMandBUsMajorityoftheBanks(78%)havingCPMfunctionalsomeasureperformanceoftheircreditportfoliosonrisk-adjustedbasis(e.g.RAROC)70%ofthebanksuseexternalvendordevelopedcreditportfoliomodels(e.g.JPMorgan,Moodyetc)andonly20%ofthemuseinternallydevelopedmodelsBankshaveratedtheimportanceofthefollowingstrategictoolsformanagementofcreditportfoliosinthefollowingorder:Approval/Disapprovalofnewbusinessesandrenewal/non-renewalofexistingbusinessLoansalesandtradingCreditDerivativesSecuritisationsBanks’preferenceofusingvariouscreditderivativestructureisonthefollowingorder:CreditDefaultSwapsCreditLinkedNotesTotalReturnSwapsSource:Deloitteresearchincorporating(i)ourfindingsfromourdiscussionswithseniorexecutivesofCPM(i)ourinsightsfromengagementsincreditrisktransformation,economiccapitalallocationandportfoliomanagementand(iii)surveysconductedbyvariousorganisationsonbehalfoftheInternationalAssociationofCreditPortfolioManagers(IACPM)ThereisaclearshiftamongtheTopTierbanksfavouringcreditportfoliomanagementoverthelastfewyears.ItisinterestingtonotethatputtingCPMinplacealsoenablesthebankstogoastepfurthertoimplementrisk-adjustedperformancemanagementframework.第九页，共31页。CurrentCreditSituation–LessonsLearntCreditPortfolioManagementoneofthesignsofa“ModernBank”第十页，共31页。EmergingBusinessModel

HighleveloverviewDevelopmentofbetter/enhancedpracticesforcreditriskmeasurementoverthelastfewyearsistransformingthecreditmanagementstrategyfromastatic,transaction/dealbasedapproachtoamoredynamicportfoliomanagementmodelLimitationsonLendingPrimarilyrelationship-drivenStrategytooriginateandholdModelistocrosssellproductstoexistingfranchisecustomersRiskmanagedonproductsilobasis(securedandunsecured).Largethinlypricedcreditsasclient‘entrytickets’Scopeofex-postmanagementlimitedtoassetsales,ABSandMBSTraditionalmanagementmodelAdvancedmanagementmodelEnhancedRiskMeasurementImprovedratingtoolsEnhancementsinLGDandEADestimationmodelsIncreaseinsophisticationofmodellingportfoliocreditstatistics(ER,EL,UL,CreditVaR)IncreaseinemphasisonEconomicCapital/EconomicProfitPortfolioManagementStrategytobuy/sell/hold(andhedge)Reductioninriskofindividualobligors(concentrations)Optimisationofrisk/returnInvestordiversificationanddemandforyieldIncreasedinterestinalternativecredittransferproductsAligningeconomiccapitaltoregulatorycapitalEmergingBusinessParadigm–CreditPortfolioManagementOriginate(OriginateandHold)RiskTransformation(UnderwriteandDistribute)EndInvestorsLoansCredit-sensitiveInstrumentsEnhancedRiskMeasurement第十一页，共31页。EmergingBusinessModel

CPM:Keyobjectives&BusinessBenefitsReductionandmanagementofcreditconcentrationriskMonitoringandhedgingdefaultriskObtainandoptimisereturntorisk/profitabilityprofileofcreditportfolioEstimationofunexpectedlossandeconomiccapital/profit/creditVaREstimationofportfolio,regional,sectoralandindividualreturnsCalculationofportfolio,regional,sectoralandindividualRAROCandSharpe(orotherprofitabilitymetrics)Profitabilityanalysis–Assessingmarginalriskcontributionsofnewregions/sectors/obligorstocreditportfolioFormulationoflimitsstrategybasedonprofitabilityEnhancementstopricingmodelsEnhancementstoportfoliocreditreportingTransitionfrombuy-and-holdtooriginate-and-distributeCentralisedcreditriskportfoliomanagementSophisticated,responsiverisk-grading&migrationanalysisEnhancedanalysisandunderstandingofoverallportfolioriskprofileandprofitabilityBetterperceptionofsector,region,accountreturntoriskprofilesandprofitabilityActiveportfoliomanagementrebalancingImproveddecisionmakingonestablishmentofcreditlimitsbasedonriskcontributionBetterunderstandingofthepositive/adverseimpactofmarginalriskcontributiononportfoliobehaviourImprovedcreditportfolioreportingGreateruseofhighendanalyticsandstatisticalmodellingGreateruseofsophisticatedtechnologyandsimulationsinriskassessment&managementKeyobjectivesBusinessBenefitsCPMhelpsfirmsmanagetheircreditmoreactivelywithchangingmarketconditionswhileatthesametimeensurethatallthecreditinvestmentsarealignedwiththeoverallstrategyofthefirmandmaximiseshareholderwealth.第十二页，共31页。EmergingBusinessModel

CreditPortfolioManagement-IntroductionCreditPortfolioManagementisaframeworktoenablehigherreturnstoriskandincreasedshareholdervaluethrough(i)Optimaluseofcapital:efficientcapitalallocationbyaligningwithriskadjustedperformancemanagementtoinvestmentdecisionsand(ii)Reductioninriskcapital:achievedbymoreefficientmanagementandcontrolofcreditportfoliosaidedbyadvancedriskpricingmechanismsandportfolioanalytictoolsTheprimaryobjectiveoftheCreditPortfolioManagementistoachievesignificantreductionofthethreemajorrisksthatimpactthequalityandprofitabilityofacreditportfolionamely:Creditmigration,ConcentrationandDefaultcorrelationHowever,CreditPortfolioManagementgoesbeyondmereportfoliobasedcreditriskmeasurementandmanagementandmoreimportantlystrivestooptimizetherisk/returnprofileofabank‘screditportfolio.CPMcanbeusedbybankstooptimisereturntoriskprofileofitsunderlyingcreditportfolio(s)andpushthemclosertotheefficientfrontierasmuchaspossible.EfficientFrontieristhebestrisk-returnprofilethatisavailableinthemarketatagivenpointoftime.Theportfolioslyingontheefficientfrontierprovidesmaximumreturnsforagivenlevelofrisk(orhastheminimumriskforagivenlevelofreturn).Creditportfoliomanagementisnotjustanadvancedmechanismoranewfadtomeasure/managecreditriskatportfoliolevel,itisaframeworkthatfacilities“risk-based”capitalallocationdecisionstooptimisetherisk/returnprofileofthebank’screditportfolioformaximisingTotalShareholderReturns(TSR)第十三页，共31页。EmergingBusinessModel

ExtensionofCreditLifeCyclewithCPMAttributeTraditionalModelEmergingModelInvestmentStrategyOriginate&HoldUnderwrite&DistributeOwnershipoftheCreditAssetsBusinessUnitBusinessUnitaswellasPortfolioManagementorPortfolioManagementMeasurementofRiskTransactionlevelanalysisoncounterpartiesModelonlylossestodefaultPortfoliobasedtoolsPortfoliodiversification/DefaultcorrelationistakenintoaccountManagementofRiskBinaryapprovalprocessatorigination(approve/reject)ApplicationofRisk-ReturndecisionmakingprocessBasisforCompensationforLoanOriginationVolumeRiskAdjustedPerformanceIncrementalReturnsovertheRACE/RAROCEPricingSimplegridbasedapproachBasedontheincrementalriskcontributiontotheportfolioapartfromthereturnsThereisnodifferencebetweenthetraditionalandemergingmodelonthe“Origination&DealStructuring”.ThisactivitycontinuestobeperformedbytheBU.However,thetransferpricewithCPMneedstobeagreedonthisstepbeforeprovidingaquotewiththeCustomer.Oncethesales/syndicationiscomplete,theassetsaretransferredtotheCPMbyBUsonthetermsagreedduringthedeal-structuring.IncomerecognitionfortheBUshappenatthispointoftimeCPMperformstheactivityofbuying/sellingloansbasedonthedesiredportfoliocompositionandalsoexecutescredithedgestheythinkitisnecessarytotakethecreditriskoffthebalancesheetofthebank.Creditratinganalyseswouldstillbeperformedbasedonanalysisofindividualcounterparties/facilitiesbythecreditfunction.Thiswouldalsoincludeperiodicreviewsoftheratingsassignedtocounterparties/facilitiesbasedonlatestfinancialinformation.Nosignificantimprovementoverthetraditionalapproach.ThisisthepointatwhichCPMtakesownershipoftheassets.CPMisresponsibletomeasurecreditriskattransactionlevelaswellasportfoliolevel.TheyperformMTMvaluationsofthecreditexposureonregularbasisandprovideinputsfortheEconomiccapitalandotherregulatoryreporting.CPMisresponsiblefortheportfolioreviewandcontrol.Portfolioreviewinvolvesreviewingtheperformanceofcreditportfoliosonregularbasiswithinarisk-adjustedframework.Creditlimitsareassigned/reviewedoncreditportfoliosbasedontheperformancereview.CPMisresponsibletoensurecompliancewiththelimitsset.BUsareresponsbileforthesyndication/salesoftheloans.Onapprovalofratingsbythecreditfunction,BUwouldfinalisethepricingwiththecustomerandpublishthefinalpricewithotherparticipatingbanksinthecaseofloansyndication.Portfoliomanagementactivitiesincludes(i)providingthetransferpriceforanynewdealsbeingoriginatedbyBUsinstep1,(ii)periodicallyreviewtheperformanceofthecreditportfoliosandmakedecisionsonhedgesand(iii)seniormanagementreportingontheperformanceofportfoliosTheresponsibilityofrestructuring/recoveryfallsunderthecreditfunction.ThisteamisresponsibleforliaisonwithailingcounterpartiesandhoweverwouldworkcloselywithCPM.3456721CreditManagementLifecyclewithCPPMdonotchangethecreditmanagementlifecyclecomponentsin-to-to.Atbest,thereisanadditionoffewactivitiesinthecreditlifecycleowingtointroductionofCPM.Moreimportantly,thereisashuffleofresponsibilitiesbetweentheBUsandtheCPM.第十四页，共31页。CreditPortfolioManagement

DeloitteFrameworkThisframeworkisdevelopedbasedontheinsightsgainedthroughournumerousengagementswithTopTierinvestmentandcommercialbanksintheareaofdefinitionofcreditriskincludingdefinitionoftheirfuturestateoperatingmodel.Thisrepresentsonlyaholisticframeworkanditskeycomponentsandthisisnotaoff-the-shelfready-madesolutionthatcanbeappliedforanybank.EachBankwillhavetofigureoutitsownbest-fitmodel/solutiontoimplement,howeverwithinthisoverallframework,dependingonfactorssuchasbusinessmix,marketposition,organisationculture,portfolioconstituentsandcompetitiveadvantage.ThisframeworkcannotonlybeappliedforthosebanksthatareattheirinitialstagesofintroducingCPMbutalsotothosebanksthathaveCPMinsomeformorotherandarekeentoevolvefurthertoreapthebusinessbenefitsitproves.SalientFeaturesDeloitteFrameworkofCPMisusedforthedetaileddiscussion.Eachofthecomponentsofthe“Deloitte–CPMframework”canbeconsideredasthestepsorthekeyconsiderationsfortheimplementationofCPMforabank.DeloitteCPMFramework–Components第十五页，共31页。ComponentsofCreditPortfolioManagement

StrategyRisk-HedgeOrientedCPMEnhancedReturn-OrientedCPMBasicversionofCPMfocusingonthecoremandateofCPMintroductionReductionofRiskinCreditPortfoliosinsteadofincreasingreturnshencedefensivestrategyTypicalaimistofreeupEconomicorRegulatoryCapitalAimstoimprovetherisk/returnbalancebynotonlyreducingrisk,butalsoraisingreturns.Hencethismethodcanbecalledoffensivestrategynotsimplytoreleaseeconomiccapital,butalsotomakeeffectiveuseofit,anditisnormallyusedinthecreditmarketforflexiblerebalancingofcreditportfolios(riskhedgingandrisktaking).ObjectivesSellingtothirdpartyinvestors(banksorinstitutionalinvestors)toreachdesiredholdlevelsatthetimeofinitialloanclosing.Structuringloanstoaccommodaterisk/returnprofilesofinvestorsandneedsoftheborrower.Usingmarketobservablepricesandcomparableloanswherepricesdonotexist.Transferpricing:CreatinginternalincentiveswithinbusinessandCPMtoencouragesalesinreasonabletimeframes.CommonActivitiesOntransferringtheloantoCPMbook,thisdefensivestrategyinvolvesreducing,sellingand/orhedgingloanexposuresThisistoimproveSharpe/RAROCratioandminimisevolatilitythroughmanagedexits(e.g.directloansalesorcredithedgesorsecuritisation)OncetheloanistransferredontotheCPMbook,anoffensive(enhancedreturn-orientedCPM)strategyinvolvesaddingappropriatequantitiesandlevelsofcreditrisktominimiseportfolioriskandmaximisereturnsthroughcreditassetmanagementandloantrading.SpecificActivitiesBankscanimplementdifferenttypesofCreditPortfolioManagementmodelsdependingonavarietyofinternalandexternalfactors.TypesofCreditPortfolioManagementimplementedbyabankisgo