德勤信用風(fēng)險(xiǎn)管理

1、credit risk managementenhancing your bottom lineebrahim shabudinmanaging director deloitte & touche llpthe afp 23rd annual conference new orleansnovember 3-6, 2002credit backgroundlthorough identification and accurate measurement of credit risk, supported by strong risk management can help impro

2、ve the bottom linel.an uncertain and volatile economic environment significantly impacts this abilityl.the desire to grow and turn in outstanding results has a tendency to put pressure on the checks and balances within businessesvalue propositioncorporate credit risklcompanies are exposed to signifi

3、cant levels of credit risk emanating from different sourcesdso impact an exampleq3 a/rq3 sales dsos =dsosq3 sales q3 a/r = * equals 295.4m/261.2m x 90(or number of days in sales period)$295,396,000$261,201,000124*51.3$261,201,000$122,002,23051.3credit as a facilitatorlcredit risk management is impor

4、tant credit strategy & risk toleranceuspecific quantifiable objectivesumanagement review methodologycredit objectives and risk tolerancescredit policiescredit risk management processesimprove profitabilityreportingcredit strategy/ plancommon performancemetricsucredit strategy statement and risk

5、toleranceucoordination with business planthe business strategies and objectives drive the establishment of creditpolicies and procedures. measurement and reporting as well as the use of current technologies enhance credit decision-making and improve risk management. the entire process is continually

6、 re-evaluated and improved.credit risk areas to considerlcredit policylcredit approval authorityllimit settinglpricing terms and conditionsldocumentation: contracts and covenantslcollateral and securitylcollections, delinquencies and workoutslexposure managementorigination/assessmentadministrationmo

7、nitoring/controlriskmanagementvalue creationbusiness performance measuresorganizations need a rigorous set of measures to support continuous improvementperformance-based management utilizes metrics that measure actual performance against predetermined thresholds. the thresholds are established takin

8、g into account the organizations strategy, operatingenvironment and process controls.the measures drive value creation and should support problem identification and correction.business strategysystemsoperationsfinanceperformance managementsales channelscontracts & documentationcredit analysiscre

9、dit limitpricing & termscredit analysiscredit decisionscollectionscredit policycollateral acceptanceportfolio managementfinancial analysisdisposal / risk mitigationcollateral managementcustomer managementexposure measurementmanagement reportingexposure aggregationrecoveriescredit scoringrisk rat

10、ingrisk managementcredit risk managements inter-related activitiescomplianceoriginationreportingtransactionscredit policies & procedures analysis & riskmanagementgovernance, controland implementationmeasurementmethodologiestechnology & data integritycredit strategy & risk tolerancea

11、complete and coherent risk management framework contains the following elementscredit risk managementreassessment credit strategy & risk tolerancea new paradigmla new business paradigm had evolved: causing a lack of reliance on good fundamental analysislthe idea that stock market values would co

12、ntinue to go up indefinitelylincreasingly competitive, complex and volatile market placelhigher than expected actual debt burdenslextensive reliance on unrealistic future cash flowslfailures in corporate governancelquestionable personal and corporate ethicsimplications for corporate governancelcurre

13、nt organization structures to be revisitedlclarity around roles and responsibilitieslneed for honesty, integrity and independence (self-regulation)ltechnical expertise of people and strong management processeslimproved disclosure requirementslimportance and implementation of sanctionslincreased legi

14、slation and compliance requirementsrisk identification, origination, credit administration, etc.risk identification, transaction structuring, approval & pricing decisions, reserving, etc.portfolio risk concentration, risk based limits, etc. pricing decisions,performance measurement, business and

15、 customer segmentation, compensation, etc.a business model view of credit risk infrastructure componentscredit risk management strategic visiondevelopment stages foundation stage includes application of risk identification methodologies, risk scoring or rating systems and strong underwriting standar

16、ds basic stage tends to include managing on a transactional basis by evaluating specific attributes such as structuring, collateral and pricing advanced stage represents managing on a portfolio basis including aspects such as concentrations, correlations and diversification credit risk clarifiedbusi

17、nesses have to contend with expected and unexpected losseslexpected losseslunexpected lossescredit risk management explainedlalthough credit risk may be difficult to measure it is important to estimate and manage important building blocksleffective credit risk management requirescredit policy and pr

18、ocesslcredit policy should be clear and conciselcredit underwriting standards must be developed and included in policylcredit processes should be reasonable and allow quick response to clientslhealthy balance between sales and credit approval should exist and be respectedrisk monitoringlexposure mus

19、t be complete and currentlregular reporting and updating of clients payment performance lminimum annual reviews of clients should be performedlfinancial conditions should be regularly assessedlrequired action must be initiated and follow up must take placecontract terms and documentationlcontract ne

20、gotiations must take place at the right level in the organizationlappropriate approvals must be obtainedlinternal or external legal departments must document completelylterms and conditions should be understood and compliance mechanism put in placelexceptions must be reported and managed urgently to

21、 resolutionrisk rating system effectivenesslcredit scoring is generally used to “risk rate” homogeneous portfolioseffective risk rating systems sufficient granularity of risk rating categories accurate and timely assignment of ratings clear and consistent application of default definition periodic c

22、alibration, triangulation and validation of risk ratings accurate identification of migration of transactions and portfolios (as reflected by upgrades and downgrades in ratings) credit evaluation: financial factorslget the information you need to make a full analysislsome information will need to be

23、 cross-checked and obtained on a regular and timely basislbe constructively cynical: new business models are difficult to pull offlbe cognizant of delaying tacticslnumbers dont tell the whole story!credit evaluation: qualitative factorslevaluation of subjective factors is often times more important

24、than the numerical analysislpeople make a business: visions, values and strategies are only words unless people implement themlmanagement, industry, product, geography, competition etc. all influence results and must be properly assessedlanalysis-paralysis may lead to wrong decisionsart and science

25、of judgmentlgetting access to the best clients and all the relevant information is a challengelensuring proper analysis is done requires a strong corporate culturelutilizing qualified resources both internally and externally enhances the resultsloften the lack of the will to act is what causes high lossesconcluding commentslcompanies that measure and manage credit risk in a pro-active manner will benefit from a favorable risk profile resulting in concluding commentsrisk assessment and limit managementcredit infrastructure and portfolio managementcredit analytics supportcredit technology en