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CreditRiskManagement
EnhancingYourBottomLineEbrahimShabudinManagingDirectorDeloitte&ToucheLLPTheAFP23rdAnnualConferenceNewOrleansNovember3-6,2002CreditBackgroundThoroughidentificationandaccuratemeasurementofcreditrisk,supportedbystrongriskmanagementcanhelpimprovethebottomline…..Anuncertainandvolatileeconomic environmentsignificantlyimpactsthisability…..Thedesiretogrowandturninoutstanding resultshasatendencytoputpressureonthe checksandbalanceswithinbusinessesValuePropositionCreditplaysacriticalrolein“selling”productsandservicesExpandsrevenueopportunitieswithcreditworthy,incrementalcustomersUtilizesinnovativestructurestosupportbusinessrelationshipsEffectivecreditriskmanagementlimitscreditlossesandprovidesstablecashflowsandearningsMarketplacerewardscompaniesexhibitingearningsandcashflowstabilitywithhigherP/EmultiplesMarketplacepenalizescreditinducedvolatilityand“surprises”RaisesquestionsaboutqualityofmanagementCorporateCreditRiskCompaniesareexposedtosignificantlevelsofcreditriskemanatingfromdifferentsourcesAccountsReceivablesOtherNotesReceivablesBuyerandFranchiseFinancingWithRecourseFinancingProjectFinanceStructuredTransactionsLeaseswithRecourseDerivativesExposuresFX,InterestRateRisk,Commoditiesetc.CollateralRiskParentorThirdPartyGuaranteesCommercialandStandbyLettersofCreditNotealsothatCriticalSupplierstothecompanymayposespecificcreditriskDSOImpact…anexampleActualCompanyAPeerAverageQ3A/R$295,396,000Q3Sales$261,201,000\DSOs=124*51.3HypotheticalDCashDSOs51.3Q3Sales$261,201,000\Q3A/R=$122,002,230+$173,393,770*Equals295.4M/261.2Mx90(ornumberofdaysinsalesperiod)CreditasaFacilitatorCreditriskmanagementisimportant
CreditisafacilitatorofbusinessgrowthandperformanceHighbusinessmarginstendtoattractlowerqualityclientsandthereforehigherriskprofiletomanageClients(buyers)maybeconcentratedinselectedindustriesandprovidelimitedportfoliodiversificationopportunityPoorcreditriskmanagementresultinginnegativeimpacttobottom-lineisheavilypenalizedbymarketsCreditStrategy&RiskToleranceSpecificQuantifiableObjectivesManagementReviewMethodologyCreditStrategyStatementandRiskToleranceCoordinationwithBusinessPlanThebusinessstrategiesandobjectivesdrivetheestablishmentofcreditpoliciesandprocedures.Measurementandreportingaswellastheuseofcurrenttechnologiesenhancecreditdecision-makingandimproveriskmanagement.Theentireprocessiscontinuallyre-evaluatedandimproved.CreditRiskAreastoConsiderCreditPolicyCreditApprovalAuthorityLimitSettingPricingTermsandConditionsDocumentation:ContractsandCovenantsCollateralandSecurityCollections,DelinquenciesandWorkoutsExposureManagementAggregationControlPeriodicAccountReviewsPayments/AgingCreditConditionCompliancewithCovenants,TermsTechnology/ReportsTransactions/BookingsRisk-adjustedReturnSalesChannelsRiskStrategyUnderwritingStandardsCreditApplicationAnalysisBusiness/IndustryFinancialCreditCreditScoringandRatingsOrigination/AssessmentAdministrationMonitoring/ControlRiskManagementPortfolioManagementConcentrationDiversificationAllowanceforBadDebtsRiskMitigationObjectivesTypeofExposureInstrumentsorMethodsValueCreationBusinessPerformanceMeasuresOrganizationsneedarigoroussetofmeasurestosupportcontinuousimprovementPerformance-basedmanagementutilizesmetricsthatmeasureactualperformanceagainstpredeterminedthresholds.Thethresholdsareestablishedtakingintoaccounttheorganization’sstrategy,operatingenvironmentandprocesscontrols.Themeasuresdrivevaluecreationandshouldsupportproblemidentificationandcorrection.BusinessStrategySystemsOperationsFinancePerformanceManagementSaleschannelsContracts&DocumentationCreditanalysisCreditlimitPricing&termsCreditAnalysisCreditDecisionsCollectionsCREDITPOLICYCollateralacceptancePortfoliomanagementFinancialanalysisDisposal/
RiskmitigationCollateralmanagementCustomermanagementExposuremeasurementManagementreportingExposureaggregationRecoveriesCreditscoringRiskratingRISKMANAGEMENTCreditRiskManagement’sInter-relatedActivitiesComplianceOriginationReportingTransactionsCreditPolicies
&Procedures
Analysis&RiskManagementGovernance,ControlandImplementation
MeasurementMethodologiesTechnology&DataIntegrityCreditStrategy&RiskTolerance
AcompleteandcoherentriskmanagementframeworkcontainsthefollowingelementsCreditRiskManagementANewParadigmAnewbusinessparadigmhadevolved:causingalackofrelianceongoodfundamentalanalysisTheideathatstockmarketvalueswouldcontinuetogoupindefinitelyIncreasinglycompetitive,complexandvolatilemarketplaceHigherthanexpectedactualdebtburdensExtensiverelianceonunrealisticfuturecashflowsFailuresincorporategovernanceQuestionablepersonalandcorporateethicsImplicationsforCorporateGovernanceCurrentorganizationstructurestoberevisitedClarityaroundrolesandresponsibilitiesNeedforhonesty,integrityandindependence(self-regulation)TechnicalexpertiseofpeopleandstrongmanagementprocessesImproveddisclosurerequirementsImportanceandimplementationofsanctionsIncreasedlegislationandcompliancerequirementsFoundation:CreditRatingandUnderwritingStandardsRiskIdentification,Origination,CreditAdministration,etc.ShortTerm:ManagingExpectedLossRiskIdentification,Transaction
Structuring,Approval&PricingDecisions,Reserving,etc.NearTerm:ManagingEconomicCapital/CreditVaRPortfolioRiskConcentration,RiskBasedLimits,etc.
Vision: ManagingRisk/ReturnPricingdecisions,Performancemeasurement,businessandcustomersegmentation,compensation,etc.AbusinessmodelviewofCreditRiskInfrastructurecomponentsCreditRiskManagement–StrategicVisionDevelopmentStagesFoundationStageincludesapplicationofriskidentificationmethodologies,riskscoringorratingsystemsandstrongunderwritingstandards
BasicStagetendstoincludemanagingonatransactionalbasisbyevaluatingspecificattributessuchasstructuring,collateralandpricing
AdvancedStagerepresentsmanagingonaportfoliobasisincludingaspectssuchasconcentrations,correlationsanddiversification
TheSophisticatedStageincludesapplicationofhighlydevelopedmeasurementtechniquesfortransactionsandportfolios,supportedbydecision-makingrelatingtosegmentsorbusinessesagainstestablishedhurdlerates.CreditRiskClarified
Creditriskisdefinedastheriskoflossorpotentiallossresultingfrom:DefaultincontractualobligationsbyacustomerMigrationinconditionandratingDeteriorationinperformance
Creditriskincludesbothanexpected(predictable)andunexpected(volatile)losscomponent.
BusinesseshavetocontendwithExpectedandUnexpectedLossesExpectedLossesAnticipatedCostofdoingbusinessChargedtoprovisionsCapturedinpricingRelativelyeasiertomeasureAssessingexpectedlossincludesdeterminingexposure,defaultprobabilityandseverityUnexpectedLossesUnanticipatedbutinevitableMustbeplannedforCoveredbyreservesAllocatedtobusinessesDifficulttomeasureAssessingunexpectedlossrequiresmakingqualitativejudgmentsaroundpotentialvolatilityofaveragelossesCreditRiskManagementExplainedAlthoughcreditriskmaybedifficulttomeasureitisimportanttoestimateandmanage
WhatdoesCreditRiskManagementmean?Itrepresentsaninstitution’sabilitytoproperlyidentifyandevaluatethepotentialriskofdefaultinpaymentofobligationsofcustomersItincorporatesthefirm’sabilitytoeffectivelymanageandcontrolthisexposureinawaythatisconsistentwiththeinstitution’sbusinessstrategy,riskappetiteandcreditcultureImportantBuildingBlocksEffectiveCreditRiskManagementrequiresClearoriginationandunderwritingstandardsAstrongcorporateandcreditcultureHighlydevelopedriskmeasurementtechniquesAbilitytorecognizeandcoverexpectedandunexpectedlossesPricingcommensuratewithrisksundertakenMethodologiestoassessnetprofitcontributionsbycustomersandappropriatebusinesssegmentsProperallocationofcapitalandmanagementresourcesInorderto:Improveoverallcorporateperformance,measuredbyahigherEPSorP/Eratio(ormarketvalue)CreditPolicyandProcessCreditPolicyshouldbeclearandconciseCreditUnderwritingStandardsmustbedevelopedandincludedinpolicyCreditProcessesshouldbereasonableandallowquickresponsetoclientsHealthybalancebetweensalesandcreditapprovalshouldexistandberespectedRisk唉Mon蚊itor唤ingExp哄osu问re涨mus为tb追ec乞omp扑let沉ea撕nd由cur坑ren暂tReg符ula雨rr斩epo乒rti报ng烟and民up原dat县ing择of竞cl欲ien哑ts’绪pa去yme违nt锣per脸for寺man富ceMin从imu舱ma睁nnu和al梨rev诱iew另so债fc搁lie剥nts玩sh乒oul拆db摇ep悟erf洋orm雾edFin村anc脾ial狗co句ndi转tio太ns晃sho古uld弹be绿re结gul禽arl幻玉ya前sse陪sse基dReq耳uir屈ed夕act四ion船mu拨st惭be债ini弟tia述ted贵an叠df蜂oll枝ow候up辆mus遥tt糟ake产pl策aceCon谣tra袋ct亚Ter李ms村and肯Do芳cum程ent见ati取onCont贷ract嗽neg绞otia巡寿tion沈smu感stt雄ake摄plac舞eat永the遗rig搬htl客evel耻in训the枕orga夏niza拳tionApp闭rop纲ria刺te扶app腿rov天als剂mu冠st绸be托obt羊ain斜edInte针rnal士or剪exte搬rnal酸leg觉ald烈epar亚tmen沈tsm寇ust耍docu却ment倍com还plet离elyTer版ms婚and悲co母ndi躲tio芽ns财sho产uld锻be碰un港der银sto艰od劈燕and歌co亿mpl饮ian些ce采mec锯han鹅ism周pu障ti顷np潜lac唤eExce日ptio梯nsm蛾ust谢ber擦epor筛ted稼and绑mana筋ged蚊urge淘ntly协to惧reso锈luti旺onRis爱kR崭ati尼ng缓Sys跳tem尽Ef啄fec照tiv岁ene技ssCred尖itS革cori膜ngi面sge芽nera绢lly杯used泥to鄙“ris梦kra滚te”肥homo纵gene字ous浪port吧foli省osHig咏hes膝ta锡ppl谈ica唱bil范ity招is示in拆co艺nsu馋mer耕an章dr兆eta苦il啄por怨tfo散lio熊sSome荒adv耻ance谱dsc智orin扣gsy蓄stem刘sar弊ebe宋ing升migr唉ated棵for蓬use巨in娃rati膝ng“尝midd批lem丘arke浴t”c划lien势tsSuc游hm朋ode墨ls果are奇on漆ly权as果goo冰da龟st寨he智und帜erl漆yin锻ga眨ssu啄mpt仇ion歇sInt劝ern玩al裳cre价dit丧ra擦tin若gs悲yst撞ems概ar后ed部iff痛icu步lt截to蛙ass继ess渠an叉da区re芹oft竟en茂not荐in假dep溪end谅ent劲ly汉val洁ida润tedClie促ntr容elat咸ions油hip给may炮inte鲁rfer润ewi婚tho继bjec季tive莫ass豆essm再ent茄ofr拼isksRati兽ngc钉rite款ria昨usua电lly梯ama寒tter吴of抬prac汁tice筹rat寻her袋than帐wri斯tten宜pol谣icyRat衣ing快sa晨re贤not维co缺nsi宅ste费nt蜓ove适rt疏imeQua酸lit拔ati聚ve颈cre裹dit疲as蓝ses暂sme耽nts及of胶ten继la悄gc葬urr密ent戒ma归rke已ti拐nfo怖rma马tio蚂nInst品itut访ions帖oft烈ena厨ssum杀eama顶ppin顷gwi市the楚xter棋nal厌rati佛ngs邮ino巷rder左to吊quan遵tify姓cre丸dit腔riskEffe屡ctiv低eRi猪skR与atin内gSy庆stem惨sSuff沃icie搜ntg旨ranu百lari轮tyo绝fri穿skr铅atin幕gca怨tego认riesAcc私ura劫te斗and贯ti祸mel叉ya严ssi捐gnm绳ent比of赌ra司tin炭gsClea银ran如dco雹nsis缘瑞tent循app柔lica孙tion胡of艘def辽ault央def膨init跨ionPer耍iod瞎ic症cal腿ibr域ati卷on,穿tr辈ian扰gul坡ati五on杀and箩va仁lid并ati章on何of锐ris稼kr粮ati顽ngsAcc排ura衫te酿ide蓬nti辈fic江ati种on昆of因mig涉rat国ion窄of居tr旱ans霜act关ion现sa进nd叔por观tfo剪lio染s(棋as堂ref由lec邀ted轿by劲up桥gra辜des歇an富dd字own仗gra呢des房诚in欺ra辟tin阵gs)Cred言itE乘valu浓atio膊n:F顺inan醉cial动Fac袍torsGet号th师ei判nfo阔rma未tio点ny壮ou避nee巷dt敞om塔ake室a窄ful考la差nal甜ysi援sSom贱ei嫩nfo掉rma枪tio方nw狡ill付ne促ed闪to亦be橡cro然ss-眨che激cke宿da汉nd仆obt劈燕ain卫ed赵on角ar离egu愤lar肃an符dt粘ime爱ly与bas志isBe榴con魄str浆uct唐ive筝ly拳cyn蹄ica哀l:妄new鲜bu妹sin荒ess锋mo先del怖sa墓re周dif券fic载ult坐to尘pu己ll坦offBe起cog直niz找ant庆of愉de荐lay事ing膊ta监cti丢csNum际ber膀sd亩on’酷tt巷ell浪th码ew贴hol屡es剑tor版y!Cred歌itE体valu歉atio者n:Q瓦uali较tati袜veF蚕acto爽rsEval荒uati蜜ono阔fsu宣bjec皇tive蜂fac品tors惠is治ofte钱nti汉mes伤more弟imp尾orta绸ntt绕han造the之nume娘rica策lan主alys懒isPeo剑ple朗ma况ke怒ab浆usi粒nes汗s:犹vis丧ion咳s,疑val白ues物an彼ds兽tra果teg封ies枕ar悔eo妈nly撤wo原rds肝un告les流sp排eop陪le抽imp下lem引ent成th盲emMana颂geme覆nt,销indu滤stry允,pr亡oduc门t,g握eogr核aphy卷,co乔mpet吴itio摧net碑c.a耗lli姨nflu斜ence术res忧ults搞and海mus捞tbe纺pro销perl打yas范sess膊edAnal陆ysis动-par议alys驼ism寸ayl酷ead档tow效rong掠dec总isio级nsArt索an熄dS册cie庸nce副of养Ju花dgm谁entGett罗ing则acce颜sst希oth狱ebe拘stc晒lien呼tsa战nda婶llt已her室elev祖ant百info羞rmat桥ion佛isa弊cha区llen仇geEnsu什ring蒸pro吵per菠anal亭ysis芝is手done潜req突uire漫sa蛙stro按ngc甲orpo汪rate陵cul介tureUtil捷izin典gqu输alif规ied搅reso伞urce板sbo雁thi跑nter厨nall汽yan援dex蒸tern失ally唤enh途ance朽sth蝇ere暴sult垒sOfte雀nth听ela毙cko麻fth箭ewi鼓llt技oac确tis荣wha遇tca复uses义hig藏hlo排ssesConc六ludi液ngC贱omme炊ntsCom缝pan菠ies袋th激at朽mea略sur势ea侦nd武man榆age很cr林edi第tr帐isk临in洞a闭pro脊-ac瘦tiv带em耻ann种er累wil溉lb愈ene刊fit缸fr顺om旅af贞avo虫rab虑le胁ris锦kp引rof敌ile体re况sul应tin晴gi暮nHig艘her黄re莫ven感ueLow乡丰er检los蛾sesImp决rov沈ed箩eff枯ici伤enc毯iesHig吵her刮EP鸟S,世P/E常ra瓜tio堆sa烫nd贱mar胸ket吗va炮lue待sCon河clu捧din尸gC背omm织ent敌sRis神kA外sse权ssm报ent腥an渣dL建imi舟tM请ana猎gem碌entCred膏itI错nfra燥stru糖ctur普ean男dPo厌rtfo糕lio昌Mana辜geme颤ntCre捆dit灶An能aly估tic达sS狠upp商ortCred很itT迅echn道olog娃yEn剃able轮mentCre住dit弄Qu昼ali老tyCre尿dit辰Un杯der俗wri灶tin衣gRis垃kR舌ati搞ng舒Sys燃tem前Ef便fec粥tiv将ene悔ssCoun泄terp味arty挡and详Por陕tfol年ioL要imit鼻sOrga航niza歼tion发alS证truc姜turePoli狠cies俯and饭Pro炎cedu翅resTech鞋nolo伐gyS慕elec怒tion讲and优Imp酬leme贡ntat损ionPro指ble名mA宇sse州tM吩ana越gem排entRis新kR闲ati锻ng要Cal缝ibr午ati透onTra嘴nsa容cti沈on播Pri听cin挎g,课Str洪uct耐ure毙an拢dS检upp院ortDefa己ult帜Prob挖abi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