德勤信用风险管理英文2

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)CreditPolicyandProcessCreditPolicyshouldbeclearandconciseCreditUnderwritingStandardsmustbedevelopedandincludedinpolicyCreditProcessesshouldbereasonableandallowquickresponsetoclientsHealthybalancebetweensalesandcreditapprovalshouldexistandberespectedRis劝kM展oni颗tor妈ingExpo匠sure杨mus障tbe势com从plet棒ean唯dcu学rren贯tRegu肚lar窗repo蔽rtin忙gan我dup杏dati抛ngo息fcl松ient斥s’p已ayme择ntp筒erfo情rman形ceMini沿mum摊annu逆alr思evie异wso鹅fcl匆ient离ssh奖ould犯be洽perf秤orme短dFina败ncia悼lco枣ndit到ions粒sho琴uld泻ber嚷egul浇arly即ass暖esse绣dRequ已ired乏act仙ion瓶must减be椒init龟iate咸dan画dfo筋llow氧up慈must华tak顷epl盘aceCont违ract劳Ter缩慧msa惊ndD捡ocum奔enta算tionCont坚ract迁neg夏otia珍tion抵smu愤stt拨ake罩plac庙eat抛the案rig桑htl蔑evel预in轨the复orga雹niza哪tionApp播rop距ria妙te那app刑rov密als波mu其st森be损obt努ain丘edInte逗rnal维or队exte卧rnal虾leg万ald锐epar杂tmen啄tsm肚ust菠docu肌ment柳com猾plet剪elyTerm饺san熟dco特ndit住ions贼sho堂uld倦beu诉nder座stoo酒dan迈dco闪mpli仙ance采mec戒hani道smp合uti套npl栋aceExce佳ptio夜nsm搜ust售ber建epor驻ted片and帮mana饼ged老urge束ntly塔to槽reso卸luti两onRisk眼Rat海ing影Syst奶emE颗ffec呆tive椅nessCre抚dit调Sc罢ori柱ng军is艇gen买era蹈lly袋us付ed工to价“ri稠sk椅rat植e”真hom鼻oge聪neo傲us副por址tfo砖lio五sHigh怠est两appl傍icab旺ilit灯yis脊in多cons织umer状and撞ret饶ail纯port竭foli梅osSom托ea诱dva捐nce鞋ds球cor换ing胁sy筛ste江ms污are庙be爱ing配mi霸gra猴ted商fo召ru味se潜in蔽rat干ing费“m通idd幻玉le局mar宜ket那”c狐lie拖ntsSuc确hm规ode糖ls政are妈on跳ly归as吉goo卫da施st吵he懒und饱erl谨yin居ga思ssu葵mpt妖ion慢sInt妖ern澡al掀cre剖dit专ra上tin怎gs严yst语ems管ar员ed说iff明icu阁lt召to聋ass译ess太an槐da繁re写oft随en织not惰in饥dep盯end缺ent匆ly毕val删ida锈tedCli福ent宝re催lat澡ion闸shi祥pm路ay闹int扩erf县ere伪wi六th苗obj基ect俩ive及as美ses头sme请nt协of息ris刘ksRati然ngc缘瑞rite厉ria烫usua棒lly担ama虑tter腥of巧prac绢tice泽rat悦her疏than退wri僚tten存pol忽icyRat间ing砖sa桌re故not卵co没nsi拴ste尽nt蝴ove遍rt抽imeQua虾lit调ati堤ve兔cre铺dit旗as傻ses弯sme艰nts撇of文ten沉la季gc鸽urr灿ent赌ma吗rke迟ti攀nfo陕rma湖tio亮nIns辆tit旦uti爹ons炮of柳ten黑as祝sum炮eam爷app设ing嚼wi慰th削ext妈ern颤al蒙rat溪ing脾si扯no加rde常rt同oq身uan围tif闷yc忌red屈it风ris爪kEff攻ect肯ive卫Ri怪sk奇Rat笨ing苍Sy吃ste雪msSuf池fic矿ien巨tg恳ran倘ula键rit舰yo赏fr裙isk砌ra希tin盘gc记ate魔gor投iesAcc念ura弱te匆and奔ti施mel殿ya柏ssi对gnm抖ent陵of膝ra桐tin旦gsClea地ran丽dco盒nsis惨tent剑app召lica碑tion繁of源def写ault侨def售init眼ionPer潜iod洞ic候cal戏ibr疏ati雨on,额tr躁ian猛gul浑ati换on束and窗va驻lid贝ati誓on介of汉ris卧kr销ati愿ngsAccu匪rate般ide糠ntif矛icat僚ion预ofm讽igra启tion废of赵tran项sact捞ions宾and徒por教tfol朱ios轮(as宾refl麦ecte犯dby于upg范rade洪san萝ddo垒wngr赛ades羡in钳rati焦ngs)Cre浆dit僵Ev越alu追ati兰on:粮Fi亮nan辰cia剖lF辩act压orsGet社th警ei牌nfo席rma纱tio府ny宁ou毒nee酱dt经om柏ake膝a镇ful吉la运nal树ysi灿sSome针inf自orma揉tion伤wil陷lne猎edt须obe旺cro误ss-c酷heck摔eda副ndo塌btai避ned样ona番reg绕ular灶and访tim抵ely青basi蔽sBec仆onst连ruct芽ivel堆ycy易nica傍l:n馆ewb脾usin乒ess她mode菠lsa钓red世iffi消cult奇to压pull购offBe物cog元niz恐ant叮of奏de效lay灰ing值ta届cti嫩csNumb朽ers知don’仇tte督llt齐hew腊hole聋sto浆ry!Cre灶dit怎Ev乖alu滋ati手on:朵Qu备ali武tat伯ive犹Fa证cto液rsEval御uati拆ono混fsu雾bjec祖tive准fac魔tors级is湖ofte巾nti驻mes肢more侨imp蝴orta勒ntt锻han肠the讽nume抹rica球lan酬alys染isPeop禾lem食ake利abu洋sine有ss:树visi提ons,望val茧ues佛and胶stra律tegi取esa漆reo夕nly渣word贝sun触less玻peo终ple希impl盒emen醋tth圾emMana诊geme悠nt,匠indu乳stry茄,pr泛oduc票t,g仙eogr捡aphy软,co针mpet抖itio任net树c.a行lli管nflu鸽ence辉res外ults创and辰mus明tbe礼pro竹perl此yas采sess皆edAnal赖ysis相-par想alys编ism妻ayl铜ead偶tow畏rong泊dec屋isio胀nsArt母an劫dS盈cie忙nce慕of葛Ju程dgm突entGet揪tin有ga搁cce马ss奥to麦the讽be锹st者cli曾ent畜sa撇nd毙all重th歌er抗ele饿van钻ti持nfo羊rma醒tio针ni抖sa串ch驶all晚eng断eEns归uri志ng埋pro住per先an迁aly坑sis员is造do仍ne爸req肆uir蝇es夫as孩tro稿ng择cor滤por范ate野cu释ltu伪reUti凤liz翁ing均qu亦ali疮fie岁dr刑eso泊urc洒es毒bot喜hi搬nte幸rna达lly狮an豪de优xte耕rna挂lly山en算han腿ces渡th超er萝esu斯ltsOft前en卷the伶la因ck丘of慌the欠wi慈ll拒to氧act以is吴wh根at矿cau央ses饱hi固gh姜los着sesCon渔clu位din港gC忧omm酷ent醒sCom业pan丝式ies做th桥at挨mea涂sur盟ea正nd么man乓age纵cr丝式edi仔tr带isk狭in庆a折pro蝇-ac施tiv枪em目ann萌er纽奉wil塞lb骄ene穷fit习fr胖om不af昨avo梢rab葬le悟ris伪kp现rof捎ile泉re按sul仔tin肥gi越nHig赚her刻re闪ven怕ueLow伍er完los筝sesImpr吴oved堪eff腔icie货ncie担sHigh齐erE躁PS,壶P/E主rati膏osa也ndm峰arke筐tva市luesConc际ludi洲ngC仁omme银ntsRisk死Ass集essm控ent庆and参Limi读tMa争nage词mentCred仆itI予nfra坟stru麻ctur椒ean茂dPo言rtfo留lio筝Mana酱geme絮ntCred祥itA山naly蚊tics膀Sup然portCred年itT浸echn盼olog章yEn都able餐mentCre滚dit窄Qu含ali牙tyCre逐dit袍Un痒der艰wri至tin罢gRis初kR所ati躁ng矩Sys玻tem考Ef狡fec较tiv叼ene耀ssCoun亲terp彼arty句and衰Por可tfol坛ioL刮imit烟sOrga泳niza管tion杠alS貌truc摇turePol暗ici美es暖and爱Pr鞠oce划dur歇esTec逐hno屿log全yS董ele病cti腾on湖and舒Im顾ple捎men族tat样ionPro挂ble捏mA宇sse立tM的ana嫁gem蒜entRis脆kR鸽ati册ng浅Cal鉴ibr锦ati吓onTran膊sact栗ion羊Pric脸ing,钩Str停uctu舒rea世ndS扯uppo叛rtDefa型ult坏Prob锤abil联ity闻and磁Reco珍very市Cal股ibra痕tionCre贤dit抵Re且ser堵ve剂Met犯hod族olo饰gyRisk带Bas草edP粮rici桨ngM构odel懂sRisk完Adj壤uste总dRe特turn靠Ana洲lysi洋sPort拾foli厕oVa姑lue档Meas办urem津entCre欠dit如Ri摘sk摔Mea疲sur每eme销ntCre晚dit端Pe燥rfo碰rma姿nce秋Sc摔ore璃car箩dsInt锣ern务al埋Sof凤twa需reExte蜓rnal至Ven钳dor封Soft染wareAppe筛ndix丧:Bu暗sine饮ssP难ropo盾sal喷Chec浆klis嚷tBus桥ine愉ss凶Pro币pos堆al掀Sum尼mar鹿yCus诵tom貌er,味Ra撞tin刺g,国Leg娱al荒Sta伪tus秋,L全ine吼of窑Bu水sin芦essGua罚ran外tor辅,i抬fa亿ny…悟sam捉eColl旅ater渔al,低ifa槽ny…t明rue窜valu抚eex崭plai吹nedOthe碰rSu切ppor鞠t,i贴fan径y...董Leg苏alo绘rmo但ral尤onlyThe赠Tran江sact暖ion…胶risk搅san农dmi牙tiga赏tionAmou飞nt,鱼purp龙ose,侦ter黑msa柱ndc毕ondi槽tion打sSou雾rce郊so控fr答epa悠yme棵nt…卷cl辱ear廊ly羡ide絮nti校fie加dCli室ent茶pa疫yme难nt掠his糟tor望ya味nd昼rel星ati经ons扇hipAppe失ndix鄙:Bu余sine伙ssP怀ropo郊sal正Chec珍klis筛tRat铅ion并ale催an永dA麻nal凡ysi退sCust歉omer腹,Gu拔aran昏tor,简Col泡late贩ral,划Sup右portFac浴ili练ty摄Des从cri下pti萌onAmo较unt漆,p特urp钞ose求,t觉eno献r,泼pri共cin壤g,阳ter远ms,喉co屠ndi君tio优ns,励co简ven浑ant寒s,沫res陶tri驶cti重ons享et律c.Con赤sid懒er档aff戚ect艇on制ab画ove戏e.绳g.毕new培le咽ver重ageFaci谨lity屑Rat允ing?Repa咐ymen丘tCa忍paci剪tyFut缺ure犁ca缩慧sh仰flo伶w,下con川ver咱sio闹no求fa义sse详ts弱etc涝.Cons茶iste讨ncy已with针Cre贱dit丙Stra捎tegy拦and茂Pol场icyCon销fir勤m,克and批id城ent膜ify绒an扒ye潜xce盏pti高ons药to禾po撞lic堤y,役und刑erw甚rit贺ing怕st栋and拜ard锡s,答or弄pro哭ces醋sRis钞ka溜dju觉ste走dr然etu涛rn择acc乞ept歪abi让lit泼yApp问end仗ix:施Bu株sin集ess梁Pr盲opo保sal五Ch辉eck仔lis编tCli如ent猪Re煌lat荷ion点shi歼pBus肆ine这ss平str会ate据gy:册in罚cre拌ase属,m炊ain困tai咸no勤rd采ecr拣eas币ee灵xpo社sur酱eo狡re爸xit祖re养lat任ion报shi非pCon登sid傅er芳rel患ati子on仔to缎rat领ing魔,l别ate怕st乡丰ris为kp侨rof孙ile丹an拍dp联aym规ent姻pe促rfo师rma押nceCust法omer适pro善fita雕bili洪ty:稀risk啦adj吨uste永dre袋turn淘,re搜venu量e,f佳ees,付dir胞ect钳and腐allo帽cate循dco慌sts腿etc.Any堆conf胳lict需sof基int辅eres志tor始spe貌cial讨con挺cern犯sAppe谎ndix泥:Bu制sine拍ssP乡丰ropo户sal巨Chec幸klis傅tMacr奔oAn尼alys只isBusi