個人信用卡組合ppt課件

1、1Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Delinquency Migration, Macroeconomic Indicators & Applications to Portfolio Credit Risk Forecasting逾期變動、宏觀經(jīng)濟指標以及在組合信用風險預測中

2、的應用Credit Portfolio Analytics信貸組合分析組信貸組合分析組2Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Overview 概述概述q Credit Portfolio Analytics Group Mission 信貸組合分析組的使命信貸組合分析組的使命qTo pro

3、vide management with an independent, top-down, macroeconomic-driven asset quality forecast range, including a baseline forecast based on most-likely assumption, that is accurate, comprehensive, nimble, and actionable.q向管理層提供以宏觀經(jīng)濟為基礎、獨立、自上而下的資產(chǎn)質量預測，包括根據(jù)向管理層提供以宏觀經(jīng)濟為基礎、獨立、自上而下的資產(chǎn)質量預測，包括根據(jù)“最可最可幾假設作出的、準確

4、、全面、可提供行動依據(jù)的基準線預測。幾假設作出的、準確、全面、可提供行動依據(jù)的基準線預測。qAssist in management of earnings volatility associated with risk in the credit portfolio.q協(xié)助管理與信用組合風險有關的盈利波動。協(xié)助管理與信用組合風險有關的盈利波動。qTo mitigate significant potential losses due to event risk, and減少因事件風險造成的重大潛在損失；以及減少因事件風險造成的重大潛在損失；以及 qTo design and implemen

5、t proactive strategies for portfolio management.設計和實施主動性的組合管理戰(zhàn)略設計和實施主動性的組合管理戰(zhàn)略q Old EnvironmentOne Forecast Opinion 舊的環(huán)境舊的環(huán)境預測角度的看法預測角度的看法qLine-of-Business/Risk Management provided asset Quality forecast to Senior Management由業(yè)務線由業(yè)務線/風險管理部門向高級管理層提供資產(chǎn)質量預測風險管理部門向高級管理層提供資產(chǎn)質量預測qq“Bottoms Up” approachacco

6、unt level data ”自下而上自下而上“的預測方法的預測方法賬戶級數(shù)據(jù)賬戶級數(shù)據(jù)q- How many standard deviations from expected? 距離期望值有多少個標準差？距離期望值有多少個標準差？qNo Contrarian view 不采取反向觀點不采取反向觀點qNot explicitly linked to future economic environment 沒有與未來的經(jīng)濟環(huán)境建立明確的沒有與未來的經(jīng)濟環(huán)境建立明確的關聯(lián)關聯(lián)qOne outcome provided to senior management 只向高級管理層提供一個結果只向高級

7、管理層提供一個結果q- Conservative? Reasonable? Or a stretch? 保守？合理？還是太樂觀？保守？合理？還是太樂觀？3Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Overview 概述概述qNew EnvironmentOne Forecast Opinion

8、新的環(huán)境新的環(huán)境統(tǒng)一的預測觀點統(tǒng)一的預測觀點qProvide CEO, CFO, and Chief Risk Officer with an alternative to Line-of-Business forecasts除業(yè)務線預測之外，向首席執(zhí)行官、財務總監(jiān)和風險總監(jiān)提供另一個選擇除業(yè)務線預測之外，向首席執(zhí)行官、財務總監(jiān)和風險總監(jiān)提供另一個選擇qForecasting based on a single view of the economy 根據(jù)對經(jīng)濟的單一看法進行預測根據(jù)對經(jīng)濟的單一看法進行預測qAbility to run numerous simulation and sens

9、itivity analyses 能夠進行大量的模擬和敏感性分能夠進行大量的模擬和敏感性分析析qSynchronized loan and interest income forecast with the Corporate Treasury 貸款和利息收貸款和利息收入預測與集團司庫部同步入預測與集團司庫部同步 q qObjective 目的目的qThe main objective is to produce a forecast of the credit loss associated with the Consumer Credit Card taking into account

10、the following factors:主要目標是在考慮以下因素的前提下，提供與個人信用卡有關的信用損失預測主要目標是在考慮以下因素的前提下，提供與個人信用卡有關的信用損失預測qUnderlying macroeconomic indicators 相關的宏觀經(jīng)濟指標相關的宏觀經(jīng)濟指標qThe banking industry credit environment 銀行業(yè)的信用環(huán)境銀行業(yè)的信用環(huán)境qMigration of banks loans along the delinquency bucket spectrum (including Bankruptcy/Deceased sta

11、tus and Charge-offs) 銀行貸款沿逾期檔自低向高的變動包括破產(chǎn)銀行貸款沿逾期檔自低向高的變動包括破產(chǎn)/狀況惡化和撇賬）狀況惡化和撇賬）q Models Produced for Commercial Products 開發(fā)用于商業(yè)產(chǎn)品的模型開發(fā)用于商業(yè)產(chǎn)品的模型qMacroeconomic-based loss forecast models have been developed (for combined Bank of America and Fleet legacy portfolios:已經(jīng)開發(fā)基于宏觀經(jīng)濟的損失預測模型針對美國銀行和已經(jīng)開發(fā)基于宏觀經(jīng)濟的損失預測模

12、型針對美國銀行和Fleet兩家公司合并前的組合）：兩家公司合并前的組合）：qLegacy Bank of AmericaCredit Card (Total Managed) 美國銀行合并前美國銀行合并前信用卡管理的全部信用卡管理的全部信用卡貸款）信用卡貸款）qLegacy FleetCredit Card (Total Managed) Fleet 合并前合并前信用卡管理的全部信用卡貸款）信用卡管理的全部信用卡貸款）qLegacy FleetCredit Card (Master Trust) Fleet 合并前合并前信用卡主信托結構）信用卡主信托結構）qLegacy MiBNAConsum

13、er Card-US (Total Managed, Securitized) MiBNA合并前合并前美國個人信用卡管理的全部信用卡貸款，證券化）美國個人信用卡管理的全部信用卡貸款，證券化）qLegacy MiBNAConsumer Card-Europe (Total Managed, Securitized)MiBNA合并前合并前歐洲個人信用卡管理的全部信用卡貸款，證券化）歐洲個人信用卡管理的全部信用卡貸款，證券化）qLegacy MiBNAConsumer Card-Canada (Total Managed, Securitized)MiBNA合并前合并前加拿大個人信用卡管理的全部信用

14、卡貸款，證券化）加拿大個人信用卡管理的全部信用卡貸款，證券化）4Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Main Components of the Loss Model損失模型的主要組成部分損失模型的主要組成部分q Step 1 : Establishing the Future Credi

15、t Environment 第第1步：確立遠期信用環(huán)境步：確立遠期信用環(huán)境q Using forecasted economic data, estimate the future Consumer Credit Cycle Index (CCCI). 使用預測的經(jīng)濟數(shù)據(jù)，估算遠期的消費者信用周期指數(shù)使用預測的經(jīng)濟數(shù)據(jù)，估算遠期的消費者信用周期指數(shù)CCCI）q Step 2 : Applying the Credit Environment to the Banks Portfolio第第2步：對銀行的信用組合應用信用環(huán)境步：對銀行的信用組合應用信用環(huán)境q Derive future deli

16、nquency migration matrices based on the forecasted CCCI. 根據(jù)預測的根據(jù)預測的CCCI導出遠期的逾期變動矩陣導出遠期的逾期變動矩陣q Step 3 : Forecasting the Banks Credit Quality, and Delinquencies第第3步：預測銀行的信用質量和貸款逾期情況步：預測銀行的信用質量和貸款逾期情況q Multiply current delinquency bucket distribution by forecasted migration matrices to arrive at the f

17、uture delinquency dollar distribution.用預測的變動矩陣乘以當前的逾期檔分布，得出遠期的逾期金額分布。用預測的變動矩陣乘以當前的逾期檔分布，得出遠期的逾期金額分布。q Account for new business, and pay-downs, and align with Corporate Treasury, Line of Business Finance, as well as Securitization Finance overall loan growth targets.在考慮新業(yè)務和現(xiàn)金支付情況的前提下，就貸款增長的總體目標與集團司庫部

18、、業(yè)務線財務部以及證券化融資部取在考慮新業(yè)務和現(xiàn)金支付情況的前提下，就貸款增長的總體目標與集團司庫部、業(yè)務線財務部以及證券化融資部取得一致。得一致。q Step 4 : Forecast the Credit Loss第第4步：預測信用損失步：預測信用損失q For “defaulted” loans, apply “Severity of Loss” assumptions (or one minus recovery rate). 對對“違約貸款，運用違約貸款，運用“損失嚴重度假設或損失嚴重度假設或1減去回收率）。減去回收率）。q Produce a projection of “pote

19、ntial credit loss” for future time-periods. 得出遠期得出遠期“潛在信用損失的預測值。潛在信用損失的預測值。5Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Loss Forecast Process損失預測流程損失預測流程 q Step 1 : Establ

20、ishing the Future Credit Environment第第1步：確立遠期信用環(huán)境步：確立遠期信用環(huán)境q Step 2 : Applying the Credit Environment to the Banks Portfolio第第2步：對銀行的信用組合應用信用環(huán)境步：對銀行的信用組合應用信用環(huán)境q Step 3 : Forecasting the Banks Credit Quality & Delinquencies第第3步：預測銀行的信用質量和貸款逾期情況步：預測銀行的信用質量和貸款逾期情況q Step 4 : Forecast the Credit Loss

21、第第4步：預測信用損失步：預測信用損失6Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Consumer Credit Cycle IndexDomestic US 消費者信用周期指數(shù)消費者信用周期指數(shù)美國國內美國國內CCCI indicates the credit state of the con

22、sumer credit card market as a wholeCCCI 反映個人信用卡市場的總體信用狀況Due to the differences noticeable between the credit environment of the US and other countries, a region-specific credit cycle index was constructed for the US, Canada, and Europe credit card portfolios.由于美國和其他國家的信用環(huán)境有明顯的差異，因此針對美國、加拿大和歐洲的信用卡組合分

23、別構造可地區(qū)性信用周期指數(shù)。The Index is designed to be:指數(shù)的設計原則：“Positive”, for good times, indicating lower levels of downgrading and defaults, and a higher upgrading probability, than average在景氣好的時期，指數(shù)為“正”，表明與平均水平相比，信用等級降低和違約處于較低水平，信用等級升高的可能性較高“Negative”, for bad times, implying higher levels of downgrading and

24、 defaults, and a lower upgrading probability, than average在景氣不好的時期，指數(shù)為“負”，表明與平均水平相比，信用等級降低和違約處于較高水平，信用等級升高的可能性較低q What is the CCCI?什么是什么是 CCCI？q How do we construct it?如何構造這個指數(shù)？如何構造這個指數(shù)？As a representative of credit card economic environment the industry net charge-off rates was used. (the metric fo

25、r the top 100 commercial banks)采用代表信用卡經(jīng)濟環(huán)境好壞的行業(yè)凈撇賬率來構造這個指數(shù)。（100家最大的商業(yè)銀行） A normal distribution transformation of the industry Net Charge-off rate is used.采用按正態(tài)分布形式表示的行業(yè)凈撇賬率。q How do we model it?如何模擬這個指數(shù)？如何模擬這個指數(shù)？As a result of their relationship to Industry NCOs rate, and after testing economic data

26、, the following variables are included in the CCCI model:考慮到這個指數(shù)與行業(yè)凈撇賬率的關系，在測試經(jīng)濟數(shù)據(jù)后，CCCI 模型中包含以下變量：Unemployment Rate失業(yè)率The ratio of GDP to the number of National Bankruptcy FilingGDP與全國破產(chǎn)申請數(shù)的比值Quarterly growth rate of National bankruptcy Filing全國破產(chǎn)申請數(shù)的季度增長率Treasury Bond Spread (10Yr. Tr. bond minus

27、3 month Tr. bill)國債利差10年期長期國債利率減去3月期短期國債利率）ttNCONCOttNCOCCCI1117Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。q Model 模型模型A comparison between the actual value of the Indust

28、ry net Charge-off rate and the model fitted value was illustrated行業(yè)凈撇賬率實際值與模擬擬合值的對比The predicted value of the Industry Net Charge-off rate was converted into a Credit Cycle Index value. The bar chart graph is an illustrative representation of this Consumer Credit Cycle Index. 行業(yè)凈撇賬率的預測值轉換為信用周期指數(shù)值。條狀

29、圖代表這個消費者信用周期指數(shù)，只用于示意的目的Industry Net Charge-Offs Forecasting-NEW MODELR-sqrd=93.65%, MAD=0.01645, DW=1.265-1.90-1.80-1.70-1.60-1.50-1.40-1.30-1.201Q 901Q 911Q 921Q 931Q 941Q 951Q 961Q 971Q 981Q 991Q 001Q 011Q 021Q 031Q 041Q 051Q 06Norm Inverse NCOsNCOsPredictionForecastL95U95For illustrative purposes

30、 only僅用于示意目的僅用于示意目的Consumer Credit Cycle IndexDomestic US 消費者信用周期指數(shù)消費者信用周期指數(shù)美國國內美國國內行業(yè)凈撇賬率預測新模型消費者信用周期指數(shù)與行業(yè)凈撇賬率新提出的模型8Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Consumer

31、Credit Cycle IndexCCCI & Macroeconomic IndicatorsUS 消費者信用周期指數(shù)消費者信用周期指數(shù)CCCI與宏觀經(jīng)濟指標與宏觀經(jīng)濟指標美國美國Increase in GDP and decrease in bankruptcy filings have a positive impact on the credit environmentGDP增長和破產(chǎn)申請數(shù)下降，對信用環(huán)境有積極的影響.Higher unemployment affects negatively the credit environment.失業(yè)率增加，對信用環(huán)境有負面影響H

32、igher bankruptcy growth translates into worse credit environment.破產(chǎn)加速增長，信用環(huán)境惡化Higher Treasury spreads are positively related to the dynamics of the credit cycle.國債利差增加，與信用周期的動態(tài)是正相關關系For illustrative purposes only僅用于示意目的僅用于示意目的GDP與全國破產(chǎn)申請數(shù)的比值滯后1個季度失業(yè)率 滯后3個季度國債利差 滯后8個季度全國破產(chǎn)申請數(shù)增長速度 滯后4個季度9Confidential a

33、nd Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Consumer Credit Cycle IndexCanada & UK消費者信用周期指數(shù)消費者信用周期指數(shù)加拿大和英國加拿大和英國q What is the Canadas CCCI? 加拿大的加拿大的 CCCI 是什么？是什么？CCCI indicates the

34、health of the consumer credit card market of Canada as a whole. CCCI反映加拿大個人信用卡市場的總體健康狀況q How do we model it? 如何模擬這個指數(shù)？如何模擬這個指數(shù)？As a result of their relationship to Industry NCOs rate, and after testing economic data, the following variables are included in the Canadas CCCI model:考慮到這個指數(shù)與行業(yè)凈撇賬率的關系，在測

35、試經(jīng)濟數(shù)據(jù)后，加拿大CCCI模型中包含以下變量：Unemployment Rate 失業(yè)率The ratio of GDP to the number of National Bankruptcy Filing GDP與全國破產(chǎn)申請數(shù)的比值3-Month Prime Corporate Paper Rate.3月期優(yōu)等企業(yè)票據(jù)利率 The US Credit Card Industry Net Charge-off Rates. 美國信用卡業(yè)凈撇賬率。CANADA 加拿大加拿大United Kingdom 英國英國q What is the UKs CCCI? 英國的英國的 CCCI 是什么？

36、是什么？CCCI indicates the health of the consumer credit card market of the United Kingdom as a whole.CCCI反映英國個人信用卡市場的總體健康狀況 q How do we model it? 如何模擬這個指數(shù)？如何模擬這個指數(shù)？As a result of their relationship to Industry Net Charge-offs rate, and after testing economic data, the following variables are included i

37、n the UKs CCCI model:考慮到這個指數(shù)與行業(yè)凈撇賬率的關系，在測試經(jīng)濟數(shù)據(jù)后，英國CCCI模型中包含以下變量：Unemployment Rate 失業(yè)率The ratio of GDP to the number of Individual Insolvencies GDP與個人破產(chǎn)數(shù)的比值3-Month London Interbank Offer Rate (LIBOR) 3月期倫敦銀行同業(yè)拆出利率LIBOR）10-Year Treasury Rate.10年期國債利率。10Confidential and Proprietary Materials: for use b

38、y Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。q Canada 加拿大加拿大A comparison between the actual value of the Industry net Charge-off rate and the model fitted value was illustrated行業(yè)凈撇賬率實際值與模擬擬合值的對比The predicted value of the

39、Industry Net Charge-off rate was converted into a Credit Cycle Index value. The bar chart graph is an illustrative representation of this Consumer Credit Cycle Index. 行業(yè)凈撇賬率的預測值轉換為信用周期指數(shù)值。條狀圖代表這個消費者信用周期指數(shù)，示意性。q United Kingdom 英國英國For illustrative purposes only僅用于示意目的僅用于示意目的Consumer Credit Cycle Inde

40、xCanada & UK消費者信用周期指數(shù)消費者信用周期指數(shù)加拿大和英國加拿大和英國消費者信用周期指數(shù)與行業(yè)凈撇賬率加拿大信用卡業(yè)凈撇賬率預測加拿大消費者信用周期指數(shù)與行業(yè)凈撇賬率英國英國行業(yè)凈撇賬率11Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Credit Cycle IndexCCC

41、I & Macroeconomic IndicatorsCANADA消費者信用周期指數(shù)消費者信用周期指數(shù)CCCI與宏觀經(jīng)濟指標與宏觀經(jīng)濟指標加拿大加拿大Higher unemployment affects negatively the credit environment.失業(yè)率增加，對信用環(huán)境有負面影響。Canadas industry net charge-off rate moves in parallel with the U.S. industry net charge-off rate.加拿大的行業(yè)凈撇賬率與美國的行業(yè)凈撇賬率共同進退。Increase in GDP an

42、d decrease in insolvencies have a positive impact on the credit environment.GDP增長和破產(chǎn)人數(shù)下降，對信用環(huán)境有積極的影響.Short-term rates are negatively related to the industry net charge-off rate.短期國債利率與行業(yè)凈撇賬率是負相關關系。For illustrative purposes only僅用于示意目的僅用于示意目的GDP/個人破產(chǎn)數(shù)個人破產(chǎn)數(shù)失業(yè)率失業(yè)率滯后滯后3個季度個季度3月期短期國債利率月期短期國債利率美國信用卡行業(yè)凈撇賬率

43、美國信用卡行業(yè)凈撇賬率12Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Credit Cycle IndexCCCI & Macroeconomic Indicatorsthe UK消費者信用周期指數(shù)消費者信用周期指數(shù)CCCI與宏觀經(jīng)濟指標與宏觀經(jīng)濟指標英國英國Increase in GDP

44、 and decrease in insolvencies have a positive impact on the credit environment.GDP增長和破產(chǎn)人數(shù)下降，對信用環(huán)境有積極的影響.Higher unemployment affects negatively the credit environment.失業(yè)率增加，對信用環(huán)境有負面影響。It is expected that over the next two years we would have a more stressed credit environment for the UKs credit card

45、industry.預計未來兩年內，英國信用卡業(yè)將面臨壓力更大的信用環(huán)境The longer-term interest rate (10-year Treasury Bond rate) is negatively related to the U.K. industry net charge-off rate.期限較長債券的利率10年期國債利率與英國行業(yè)凈撇賬率是負相關關系。The 3-month LIBOR rate is negatively related to the U.K. industry net charge-off rate.3月期LIBOR利率與英國行業(yè)凈撇賬率是負相關關

46、系-It is expected that in the next two years there would be a significant increase in the number of individual insolvencies in the UK. 預計未來兩年內，英國個人破產(chǎn)數(shù)將顯著增加。-This is as a result of the new bankruptcy legislation in the UK which is in effect as of April04. The Enterprise Act reduced the course of bankr

47、uptcy protection for individuals from three years to one year. 這是英國從2019年4月開始實行新破產(chǎn)法的結果，企業(yè)法將個人的破產(chǎn)保護期從三年縮短為一年。- Increases in individual insolvencies affect negatively the credit environment. 個人破產(chǎn)數(shù)的增加對信用環(huán)境有負面影響。For illustrative purposes only 僅用于示意目的僅用于示意目的GDP/個人破產(chǎn)數(shù)個人破產(chǎn)數(shù)滯后滯后1個季度個季度失業(yè)率失業(yè)率滯后滯后1個季度個季度3個月個月

48、LIBOR利率利率滯后滯后4個季度個季度10年期國債利率年期國債利率滯后滯后1個季度個季度個人破產(chǎn)數(shù)個人破產(chǎn)數(shù)消費者信用周期指數(shù)消費者信用周期指數(shù)英國英國13Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Loss Forecast Process 損失預測流程損失預測流程 q Step 1 : Es

49、tablishing the Future Credit Environment第第1步：確立遠期信用環(huán)境步：確立遠期信用環(huán)境q Step 2 : Applying the Credit Environment to the Banks Portfolio第第2步：對銀行的信用組合應用信用環(huán)境步：對銀行的信用組合應用信用環(huán)境q Step 3 : Forecasting the Banks Credit Quality & Delinquencies第第3步：預測銀行的信用質量和貸款逾期情況步：預測銀行的信用質量和貸款逾期情況q Step 4 : Forecast the Credit

50、Loss第第4步：預測信用損失步：預測信用損失14Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Modeling Delinquency Migration模擬逾期變動模擬逾期變動qDefault behavior of credit card portfolios can be modeled u

51、sing delinquency migration movement; a migration matrix also known as a transition matrix.可使用逾期變動法來模擬信用組合的違約行為，稱為變動矩陣法，也稱為變化矩陣法。qDelinquency migration analysis tries to answer questions like逾期變動分析試圖回答以下這類問題q- “What is the probability that a 以下事件的概率是多大q. 30 days-past-due loan stays past due one more

52、cycle over the next month? 逾期30天的貸款繼續(xù)逾期至下一個月q. 180 days-past-due loan ends up in charge-off status during the next 3 month?” 逾期180天的貸款在未來3個月被劃入撇賬類別？”q- Answer: “All migration information is contained in a Transition Matrix.” 答案：“所有變動信息都報告在變化矩陣內”。qAverage Quarterly BACs Delinquency Migration Matrixq

53、美國銀行集團的季度平均逾期變動矩陣73.15% of 61-90 DPD loans end up in 91-120 DPD, while 26.66% will migrate to the cure state逾期逾期61-90天的貸款中，天的貸款中，73.15%會進入逾期會進入逾期91-120天的狀態(tài)，天的狀態(tài)，償還的占償還的占26.66%。TO SatusFROM StatusPerforming5-30 DPD31-60 DPD61-90 DPD91-120 DPD121-150 DPD151-180 DPDDefault (C/Os)BKP/ DecW/DPerforming89

54、.5010.330.175-30 DPD77.8222.000.1831-60 DPD48.3351.460.2161-90 DPD26.6673.150.2091-120 DPD17.2582.540.20121-150 DPD14.0085.790.21151-180 DPD50.4849.310.20C/Os0.00100.00W/D0.00100.00For illustrative purposes only僅用于示意目的僅用于示意目的起點狀態(tài)起點狀態(tài)目標狀態(tài)目標狀態(tài)良好良好逾期逾期5-30天天逾期逾期31-60天天逾期逾期61-90天天逾期逾期91-120天天逾期逾期121-150

55、天天逾期逾期151-180天天撇賬撇賬表現(xiàn)表現(xiàn)15Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel only. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。Economic Index Based Migration基于經(jīng)濟指數(shù)的變動基于經(jīng)濟指數(shù)的變動q Modifying transition and default probabilities along

56、 the modeled economic scenarios 根據(jù)模擬的經(jīng)濟情境，修正變動概率和違約概率qq- An Index which reflects economic performance is constructed so that a value of “0” represents a neutral economic performance.構造一個反映經(jīng)濟表現(xiàn)的指數(shù)，經(jīng)濟表現(xiàn)為中性時這個指數(shù)的值為“0”q- An average transition matrix, corresponding to the “neutral economy” scenario was c

57、onstructed. 與所構造的“中性經(jīng)濟情境相對應的是平均變化矩陣q- Relative to this average, in 相對于這個平均值q- Good scenarios:the value of the index is positive (greater than zero)qthere are more upgrades and fewer defaults. 好情境：指數(shù)為正值大于零）；信用升級增加，違約減少。q- Bad scenarios: the value of the index is negative (less than zero)qthere are mo

58、re downgrades and more defaults. 壞情境：指數(shù)為負值小于零）；信用降級增加，違約增加。q- Any change in economic index values reflects changes in the mean of the distribution along the scenarios. 經(jīng)濟指數(shù)值的任何變化都反映情境分布均值的變化。16Confidential and Proprietary Materials: for use by Bank of America and China Construction Bank personnel on

59、ly. See applicable contract. 保密資料，切勿外傳：僅供美國銀行和中國建設銀行的人員使用。詳見相關的合同。What we want to do here 我們要實現(xiàn)的目標我們要實現(xiàn)的目標Traditionally, an average of historical data has been used to construct the delinquency migration matrix. 傳統(tǒng)上，使用歷史數(shù)據(jù)的平均值來構造逾期變動矩陣。傳統(tǒng)上，使用歷史數(shù)據(jù)的平均值來構造逾期變動矩陣。The procedure outlined herein incorporat

60、es an important step beyond this. 這里介紹的方法包括一個傳統(tǒng)方法里沒有的重要步驟。這里介紹的方法包括一個傳統(tǒng)方法里沒有的重要步驟。The likelihood of migration from one delinquency status to another is defined as a function of the state of the economy, as reflected by the CCCI. 從一個逾期狀態(tài)進入另一個逾期狀態(tài)的似然率被定義為從一個逾期狀態(tài)進入另一個逾期狀態(tài)的似然率被定義為CCCI所代表所代表的經(jīng)濟狀況的函數(shù)。的經(jīng)濟狀況的函數(shù)。17Confidential and Propriet