信用风险管理德勤1课件

信用风险管理-德勤2023/7/31信用风险管理德勤[1]信用风险管理-德勤2023/7/25信用风险管理德勤[1]1CreditBackgroundThoroughidentificationandaccuratemeasurementofcreditrisk,supportedbystrongriskmanagementcanhelpimprovethebottomline…..Anuncertainandvolatileeconomic environmentsignificantlyimpactsthisability…..Thedesiretogrowandturninoutstanding resultshasatendencytoputpressureonthe checksandbalanceswithinbusinesses信用风险管理德勤[1]CreditBackgroundThoroughiden2ValuePropositionCreditplaysacriticalrolein“selling”productsandservicesExpandsrevenueopportunitieswithcreditworthy,incrementalcustomersUtilizesinnovativestructurestosupportbusinessrelationshipsEffectivecreditriskmanagementlimitscreditlossesandprovidesstablecashflowsandearningsMarketplacerewardscompaniesexhibitingearningsandcashflowstabilitywithhigherP/EmultiplesMarketplacepenalizescreditinducedvolatilityand“surprises”Raisesquestionsaboutqualityofmanagement信用风险管理德勤[1]ValueProposition信用风险管理德勤[1]3CorporateCreditRiskCompaniesareexposedtosignificantlevelsofcreditriskemanatingfromdifferentsourcesAccountsReceivablesOtherNotesReceivablesBuyerandFranchiseFinancingWithRecourseFinancingProjectFinanceStructuredTransactionsLeaseswithRecourseDerivativesExposuresFX,InterestRateRisk,Commoditiesetc.CollateralRiskParentorThirdPartyGuaranteesCommercialandStandbyLettersofCreditNotealsothatCriticalSupplierstothecompanymayposespecificcreditrisk信用风险管理德勤[1]CorporateCreditRiskCompanies4DSOImpact…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)信用风险管理德勤[1]DSOImpact…anexampleActualC5CreditasaFacilitatorCreditriskmanagementisimportant

CreditisafacilitatorofbusinessgrowthandperformanceHighbusinessmarginstendtoattractlowerqualityclientsandthereforehigherriskprofiletomanageClients(buyers)maybeconcentratedinselectedindustriesandprovidelimitedportfoliodiversificationopportunityPoorcreditriskmanagementresultinginnegativeimpacttobottom-lineisheavilypenalizedbymarkets信用风险管理德勤[1]CreditasaFacilitatorCredit6CreditStrategy&RiskToleranceSpecificQuantifiableObjectivesManagementReviewMethodologyCreditStrategyStatementandRiskToleranceCoordinationwithBusinessPlanThebusinessstrategiesandobjectivesdrivetheestablishmentofcreditpoliciesandprocedures.Measurementandreportingaswellastheuseofcurrenttechnologiesenhancecreditdecision-makingandimproveriskmanagement.Theentireprocessiscontinuallyre-evaluatedandimproved.信用风险管理德勤[1]CreditStrategy&RiskToleran7CreditRiskAreastoConsiderCreditPolicyCreditApprovalAuthorityLimitSettingPricingTermsandConditionsDocumentation:ContractsandCovenantsCollateralandSecurityCollections,DelinquenciesandWorkoutsExposureManagementAggregationControlPeriodicAccountReviewsPayments/AgingCreditConditionCompliancewithCovenants,TermsTechnology/ReportsTransactions/BookingsRisk-adjustedReturnSalesChannelsRiskStrategyUnderwritingStandardsCreditApplicationAnalysisBusiness/IndustryFinancialCreditCreditScoringandRatingsOrigination/AssessmentAdministrationMonitoring/ControlRiskManagementPortfolioManagementConcentrationDiversificationAllowanceforBadDebtsRiskMitigationObjectivesTypeofExposureInstrumentsorMethods信用风险管理德勤[1]CreditRiskAreastoConsiderC8ValueCreationBusinessPerformanceMeasuresOrganizationsneedarigoroussetofmeasurestosupportcontinuousimprovementPerformance-basedmanagementutilizesmetricsthatmeasureactualperformanceagainstpredeterminedthresholds.Thethresholdsareestablishedtakingintoaccounttheorganization’sstrategy,operatingenvironmentandprocesscontrols.Themeasuresdrivevaluecreationandshouldsupportproblemidentificationandcorrection.BusinessStrategySystemsOperationsFinancePerformanceManagement信用风险管理德勤[1]ValueCreationBusinessPerform9SaleschannelsContracts&DocumentationCreditanalysisCreditlimitPricing&termsCreditAnalysisCreditDecisionsCollectionsCREDITPOLICYCollateralacceptancePortfoliomanagementFinancialanalysisDisposal/

RiskmitigationCollateralmanagementCustomermanagementExposuremeasurementManagementreportingExposureaggregationRecoveriesCreditscoringRiskratingRISKMANAGEMENTCreditRiskManagement’sInter-relatedActivitiesComplianceOriginationReportingTransactions信用风险管理德勤[1]SaleschannelsContracts&Docu10CreditPolicies

&Procedures

Analysis&RiskManagementGovernance,ControlandImplementation

MeasurementMethodologiesTechnology&DataIntegrityCreditStrategy&RiskTolerance

AcompleteandcoherentriskmanagementframeworkcontainsthefollowingelementsCreditRiskManagement信用风险管理德勤[1]CreditPolicies

&Procedures11ANewParadigmAnewbusinessparadigmhadevolved:causingalackofrelianceongoodfundamentalanalysisTheideathatstockmarketvalueswouldcontinuetogoupindefinitelyIncreasinglycompetitive,complexandvolatilemarketplaceHigherthanexpectedactualdebtburdensExtensiverelianceonunrealisticfuturecashflowsFailuresincorporategovernanceQuestionablepersonalandcorporateethics信用风险管理德勤[1]ANewParadigmAnewbusinessp12ImplicationsforCorporateGovernanceCurrentorganizationstructurestoberevisitedClarityaroundrolesandresponsibilitiesNeedforhonesty,integrityandindependence(self-regulation)TechnicalexpertiseofpeopleandstrongmanagementprocessesImproveddisclosurerequirementsImportanceandimplementationofsanctionsIncreasedlegislationandcompliancerequirements信用风险管理德勤[1]ImplicationsforCorporateGov13Foundation: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–StrategicVision信用风险管理德勤[1]Foundation:CreditRatingand14DevelopmentStagesFoundationStageincludesapplicationofriskidentificationmethodologies,riskscoringorratingsystemsandstrongunderwritingstandards

BasicStagetendstoincludemanagingonatransactionalbasisbyevaluatingspecificattributessuchasstructuring,collateralandpricing

AdvancedStagerepresentsmanagingonaportfoliobasisincludingaspectssuchasconcentrations,correlationsanddiversification

TheSophisticatedStageincludesapplicationofhighlydevelopedmeasurementtechniquesfortransactionsandportfolios,supportedbydecision-makingrelatingtosegmentsorbusinessesagainstestablishedhurdlerates.信用风险管理德勤[1]DevelopmentStagesFoundationS15CreditRiskClarified Creditriskisdefinedastheriskoflossorpotentiallossresultingfrom:DefaultincontractualobligationsbyacustomerMigrationinconditionandratingDeteriorationinperformance

Creditriskincludesbothanexpected(predictable)andunexpected(volatile)losscomponent.

信用风险管理德勤[1]CreditRiskClarified Creditr16BusinesseshavetocontendwithExpectedandUnexpectedLossesExpectedLossesAnticipatedCostofdoingbusinessChargedtoprovisionsCapturedinpricingRelativelyeasiertomeasureAssessingexpectedlossincludesdeterminingexposure,defaultprobabilityandseverityUnexpectedLossesUnanticipatedbutinevitableMustbeplannedforCoveredbyreservesAllocatedtobusinessesDifficulttomeasureAssessingunexpectedlossrequiresmakingqualitativejudgmentsaroundpotentialvolatilityofaveragelosses信用风险管理德勤[1]Businesseshavetocontendwit17CreditRiskManagementExplainedAlthoughcreditriskmaybedifficulttomeasureitisimportanttoestimateandmanage

WhatdoesCreditRiskManagementmean?Itrepresentsaninstitution’sabilitytoproperlyidentifyandevaluatethepotentialriskofdefaultinpaymentofobligationsofcustomersItincorporatesthefirm’sabilitytoeffectivelymanageandcontrolthisexposureinawaythatisconsistentwiththeinstitution’sbusinessstrategy,riskappetiteandcreditculture信用风险管理德勤[1]CreditRiskManagementExplain18ImportantBuildingBlocksEffectiveCreditRiskManagementrequiresClearoriginationandunderwritingstandardsAstrongcorporateandcreditcultureHighlydevelopedriskmeasurementtechniquesAbilitytorecognizeandcoverexpectedandunexpectedlossesPricingcommensuratewithrisksundertakenMethodologiestoassessnetprofitcontributionsbycustomersandappropriatebusinesssegmentsProperallocationofcapitalandmanagementresourcesInorderto:Improveoverallcorporateperformance,measuredbyahigherEPSorP/Eratio(ormarketvalue)信用风险管理德勤[1]ImportantBuildingBlocksEffec19CreditPolicyandProcessCreditPolicyshouldbeclearandconciseCreditUnderwritingStandardsmustbedevelopedandincludedinpolicyCreditProcessesshouldbereasonableandallowquickresponsetoclientsHealthybalancebetweensalesandcreditapprovalshouldexistandberespected信用风险管理德勤[1]CreditPolicyandProcessCredi20RiskMonitoringExposuremustbecompleteandcurrentRegularreportingandupdatingofclients’paymentperformanceMinimumannualreviewsofclientsshouldbeperformedFinancialconditionsshouldberegularlyassessedRequiredactionmustbeinitiatedandfollowupmusttakeplace信用风险管理德勤[1]RiskMonitoringExposuremustb21ContractTermsandDocumentationContractnegotiationsmusttakeplaceattherightlevelintheorganizationAppropriateapprovalsmustbeobtainedInternalorexternallegaldepartmentsmustdocumentcompletelyTermsandconditionsshouldbeunderstoodandcompliancemechanismputinplaceExceptionsmustbereportedandmanagedurgentlytoresolution信用风险管理德勤[1]ContractTermsandDocumentati22RiskRatingSystemEffectivenessCreditScoringisgenerallyusedto“riskrate”homogeneousportfoliosHighestapplicabilityisinconsumerandretailportfoliosSomeadvancedscoringsystemsarebeingmigratedforuseinrating“middlemarket”clientsSuchmodelsareonlyasgoodastheunderlyingassumptions InternalcreditratingsystemsaredifficulttoassessandareoftennotindependentlyvalidatedClientrelationshipmayinterferewithobjectiveassessmentofrisksRatingcriteriausuallyamatterofpracticeratherthanwrittenpolicyRatingsarenotconsistentovertimeQualitativecreditassessmentsoftenlagcurrentmarketinformationInstitutionsoftenassume

amappingwithexternalratingsinordertoquantifycreditrisk信用风险管理德勤[1]RiskRatingSystemEffectivene23EffectiveRiskRatingSystemsSufficientgranularityofriskratingcategoriesAccurateandtimelyassignmentofratings

ClearandconsistentapplicationofdefaultdefinitionPeriodiccalibration,triangulationandvalidationofriskratingsAccurateidentificationofmigrationoftransactionsandportfolios(asreflectedbyupgradesanddowngradesinratings)信用风险管理德勤[1]EffectiveRiskRatingSystemsS24CreditEvaluation:FinancialFactorsGettheinformationyouneedtomakeafullanalysisSomeinformationwillneedtobecross-checkedandobtainedonaregularandtimelybasisBeconstructivelycynical:newbusinessmodelsaredifficulttopulloffBecognizantofdelayingtacticsNumbersdon’ttellthewholestory!信用风险管理德勤[1]CreditEvaluation:FinancialF25CreditEvaluation:QualitativeFactorsEvaluationofsubjectivefactorsisoftentimesmoreimportantthanthenumericalanalysisPeoplemakeabusiness:visions,valuesandstrategiesareonlywordsunlesspeopleimplementthemManagement,industry,product,geography,competitionetc.allinfluenceresultsandmustbeproperlyassessedAnalysis-paralysismayleadtowrongdecisions信用风险管理德勤[1]CreditEvaluation:Qualitative26ArtandScienceofJudgmentGettingaccesstothebestclientsandalltherelevantinformationisachallengeEnsuringproperanalysisisdonerequiresastrongcorporatecultureUtilizingqualifiedresourcesbothinternallyandexternallyenhancestheresultsOftenthelackofthewilltoactiswhatcauseshighlosses信用风险管理德勤[1]ArtandScienceofJudgmentGet27ConcludingCommentsCompaniesthatmeasureandmanagecreditriskinapro-activemannerwillbenefitfromafavorableriskprofileresultinginHigherrevenueLowerlossesImprovedefficienciesHigherEPS,P/Eratiosandmarketvalues信用风险管理德勤[1]ConcludingCommentsCompaniest28ConcludingCommentsRiskAssessmentandLimitManagementCreditInfrastructureandPortfolioManagementCreditAnalyticsSupportCreditTechnologyEnablementCreditQualityCreditUnderwritingRiskRatingSystemEffectivenessCounterpartyandPortfolioLimitsOrganizationalStructurePoliciesandProceduresTechnologySelectionandImplementationProblemAssetManagementRiskRatingCalibrationTransactionPricing,StructureandSupportDefaultProbabilityandRecoveryCalibrationCreditReserveMethodologyRiskBasedPricingModelsRiskAdjustedReturnAnalysisPortfolioValueMeasurementCreditRiskMeasurementCreditPerformanceScorecardsInternalSoftware

ExternalVendorSoftware信用风险管理德勤[1]ConcludingCommentsRiskAssess29Appendix:BusinessProposalChecklistBusinessProposalSummaryCustomer,Rating,LegalStatus,LineofBusinessGuarantor,ifany…sameCollateral,ifany…truevalueexplainedOtherSupport,ifany...LegalormoralonlyTheTransaction…risksandmitigationAmount,purpose,termsandconditionsSourcesofrepayment…clearlyidentifiedClientpaymenthistoryandrelationship信用风险管理德勤[1]Appendix:BusinessProposalCh30Appendix:BusinessProposalChecklistRationaleandAnalysisCustomer,Guarantor,Collateral,SupportFacilityDescriptionAmount,purpose,tenor,pricing,terms,conditions,covenants,restrictionsetc.Consideraffectonabovee.g.newleverageFacilityRating?Re