抵押品評(píng)估和信用風(fēng)險(xiǎn)管理的含義(共44頁(yè)).ppt

1、Funding Cost資金成本資金成本Operating Cost運(yùn)營(yíng)成本運(yùn)營(yíng)成本Expected Loss (PD LGD) 預(yù)計(jì)損失預(yù)計(jì)損失Unexpected Loss非預(yù)期損失非預(yù)期損失 (Required Return Allocated Economic Capital)Value Added價(jià)值增加價(jià)值增加MARGIN利潤(rùn)利潤(rùn)價(jià)格價(jià)格PRICEBy reducing lossgiven default, thebank can reducethe margin without reducing value added. 通過(guò)降低違約損失，銀行可以降低利潤(rùn)而不降低價(jià)值增加部分。E

2、L: Expected Loss預(yù)計(jì)損失PD: Probability of Default違約概率LGD: Loss Given Default違約損失率UL: Unexpected Loss非預(yù)期損失1 - PV at the default date of recoveries + PV of costs associated with collecting回收物在違約日的現(xiàn)值+會(huì)收的相關(guān)成本的現(xiàn)值EAD (Exposure at default)違約風(fēng)險(xiǎn)暴露WrongCollateralEvaluation錯(cuò)誤的抵押品評(píng)估HigherWright-offs更高的壞帳核銷(xiāo)Capital

3、Waste資本浪費(fèi)Higher LGDEstimation增高違約損失率HigherProvision更高的壞賬損失Lower Profits利潤(rùn)更低PV: Present value現(xiàn)值EL: Expected Loss 預(yù)計(jì)損失PD: Probability of Default 違約概率LGD: Loss Given Default 違約損失率UL: Unexpected Loss 非預(yù)期損失Source: Collateral, Collateral Law and Collateral Substitutes, B. Balkenhol and H. Schutte,Social F

4、inance Programme, Working Paper No. 26, p17來(lái)源：抵押品，擔(dān)保法和擔(dān)保替代品Price B (2,450$/m)Price A (2,000$/m)Price C (1,900$/m)Weighted-averageof A and B (Price D)A和B的加權(quán)平均價(jià)格Unadjusted estimated Price E ($/m)?調(diào)整前價(jià)格Note: Each price points should not beseparated by a major street or river, which affect the price dif

5、ferences 注：每個(gè)價(jià)格點(diǎn)不能被主要街道或河流分割，這會(huì)影響價(jià)格150m50m70m30m(Price A 30) + (Price B 70)(Price D 150) + (Price C 50)Price D =70 + 30Price E =50 + 150= 2,315 ($/m) = 2,211 ($/m) Rent price B (320$/month)Rent price A (350$/month)Rent price C (360$/month)Weighted-averageof A and B (price D)A和B加權(quán)平均價(jià)格Estimated rent p

6、rice E估計(jì)E出租價(jià) ($/month?)Note: Each price points should not beseparated by a major street or river, which affect the price differences每個(gè)價(jià)格不能被主要街道或河流分割，這會(huì)影響價(jià)格40m10m30m15mAnnual rent (maintenance cost + property taxes) 年租金-（維護(hù)成本+房產(chǎn)稅）PV= ( 1 + r )nPV: Present value現(xiàn)值A(chǔ)nnual rent年租金 (33612)(maintenance cos

7、t維護(hù)成本 300)(Price D 40) + (Price C 10)(Price A 15) + (Price B 30)PV = ( 1+0.08 )tRent D =30 + 15Rent E =10 + 40= 330 ($/month) = 336 ($/month) t=1 10= 25,042 ($)PV: Present value現(xiàn)值Source: Understanding real estate values in a rising marketBrief Article, Gerald A. Bower, When the above legal issues ar

8、e involved, the price of the property coulddrop substantially. 注意：當(dāng)涉及到以上法律問(wèn)題時(shí)，房地產(chǎn)的價(jià)格可能會(huì)大幅降低*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p57, 92, 95*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p123Collater

9、alManagement抵押品管理CollateralManagementfor CRM抵押品管理SafeguardingtheEnforceability保護(hù)強(qiáng)制行使權(quán)Safe Custody/Collateral Book保管/抵押品登記冊(cè)Credit File信貸檔案 Record Keeping檔案記錄 Revaluation/Reappraisal against credit exposure根據(jù)信用風(fēng)險(xiǎn)再評(píng)估/再評(píng)價(jià) Numbering/Tagging編號(hào)/標(biāo)簽 Maturity Management到期管理 Renewal of security interest 更新?lián)＠?/p>

10、 Periodical check of inventory 定期實(shí)物檢查Source: Interagency Appraisal and Evaluation Guidelines, FDIC, 1994Borrower: ABC Trading Co. Internal Credit Score: 4B External: n/a As of: Mar 08借款方：ABC貿(mào)易公司， 內(nèi)部編號(hào)：4B，外部：不適用，日期：3月8日Thousand $Note: Fire insurance policy for collateralized building may be kept sepa

11、rately in orderby expiration date because of the importance of the expiration date management.注意：擔(dān)保建筑物的火災(zāi)保險(xiǎn)書(shū)應(yīng)該按照期滿(mǎn)日單獨(dú)排列，因?yàn)楣芾肀ｋU(xiǎn)到期日很重要。Note: When accepting and returning collateral, receipt should be issued to and received from the borrower by the bank, which should indicate concerned goods and documents in detail:type, number/quantity, date, with signature. 注意：當(dāng)接受和歸還抵押品時(shí)，應(yīng)該交給和收回借款方收條，收條上應(yīng)該寫(xiě)明相關(guān)物品和文件的明細(xì)：種類(lèi)，數(shù)字/數(shù)量，日期，簽名*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p320-323*Based on: Law in a Nutshell: Secured tran