德勤-信用風(fēng)險(xiǎn)管理課件

1、Credit Risk ManagementEnhancing Your Bottom LineEbrahim ShabudinManaging Director Deloitte & Touche LLPCredit BackgroundThorough identification and accurate measurement of credit risk, supported by strong risk management can help improve the bottom line.An uncertain and volatile economic environment

2、 significantly impacts this ability.The desire to grow and turn in outstanding results has a tendency to put pressure on the checks and balances within businessesValue PropositionCredit plays a critical role in “selling” products and servicesExpands revenue opportunities with creditworthy, increment

3、al customersUtilizes innovative structures to support business relationshipsEffective credit risk management limits credit losses and provides stable cash flows and earningsMarketplace rewards companies exhibiting earnings and cash flow stability with higher P/E multiplesMarketplace penalizes credit

4、 induced volatility and “surprises”Raises questions about quality of managementCorporate Credit RiskCompanies are exposed to significant levels of credit risk emanating from different sourcesAccounts Receivables Other Notes ReceivablesBuyer and Franchise FinancingWith Recourse FinancingProject Finan

5、ceStructured TransactionsLeases with RecourseDerivatives Exposures FX, Interest Rate Risk, Commodities etc.Collateral RiskParent or Third Party Guarantees Commercial and Standby Letters of CreditNote also that Critical Suppliers to the company may pose specific credit riskDSO Impact an exampleActual

6、Company APeer AverageQ3 A/R$295,396,000Q3 Sales$261,201,000 DSOs =124*51.3HypotheticalD CashDSOs51.3Q3 Sales$261,201,000 Q3 A/R =$122,002,230+$173,393,770 * Equals 295.4M/261.2M x 90(or number of days in sales period)Credit as a FacilitatorCredit risk management is important Credit is a facilitator

7、of business growth and performanceHigh business margins tend to attract lower quality clients and therefore higher risk pro manageClients (buyers) may be concentrated in selected industries and provide limited portfolio diversification opportunityPoor credit risk management resulting in negative imp

8、act to bottom-line is heavily penalized by marketsCredit Strategy & Risk ToleranceSpecific Quantifiable ObjectivesManagement Review MethodologyCredit Strategy Statement and Risk ToleranceCoordination with Business PlanThe business strategies and objectives drive the establishment of creditpolicies a

9、nd 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 re-evaluated and improved.Credit Risk Areas to ConsiderCredit PolicyCredit Approval AuthorityLimit SettingPricing Terms an

10、d ConditionsDocumentation: Contracts and CovenantsCollateral and SecurityCollections, Delinquencies and WorkoutsExposure ManagementAggregationControlPeriodic Account ReviewsPayments/AgingCredit ConditionCompliance with Covenants, TermsTechnology/ReportsTransactions/ BookingsRisk-adjusted ReturnSales

11、 ChannelsRisk StrategyUnderwriting StandardsCredit ApplicationAnalysisBusiness/ IndustryFinancialCreditCredit Scoring and RatingsOrigination/AssessmentAdministrationMonitoring/ControlRiskManagementPortfolio ManagementConcentrationDiversificationAllowance for Bad DebtsRisk MitigationObjectivesType of

12、 ExposureInstruments or MethodsValue 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 taki

13、ng 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 analysisCredit

14、 limitPricing & termsCredit AnalysisCredit DecisionsCollectionsCREDIT POLICYCollateral acceptancePortfolio managementFinancial analysisDisposal / Risk mitigationCollateral managementCustomer managementExposure measurementManagement reportingExposure aggregationRecoveriesCredit scoringRisk ratingRISK

15、 MANAGEMENTCredit Risk Managements Inter-related ActivitiesComplianceOriginationReportingTransactionsCredit Policies & Procedures Analysis & RiskManagementGovernance, Controland ImplementationMeasurementMethodologiesTechnology & Data IntegrityCredit Strategy & Risk ToleranceA complete and coherent r

16、isk management framework contains the following elementsCredit Risk ManagementA New ParadigmA new business paradigm had evolved: causing a lack of reliance on good fundamental analysisThe idea that stock market values would continue to go up indefinitelyIncreasingly competitive, complex and volatile

17、 market placeHigher than expected actual debt burdensExtensive reliance on unrealistic future cash flowsFailures in corporate governanceQuestionable personal and corporate ethicsImplications for Corporate GovernanceCurrent organization structures to be revisitedClarity around roles and responsibilit

18、iesNeed for honesty, integrity and independence (self-regulation)Technical expertise of people and strong management processesImproved disclosure requirementsImportance and implementation of sanctionsIncreased legislation and compliance requirementsFoundation: Credit Rating and Underwriting Standard

19、sRisk Identification, Origination, Credit Administration, etc.Short Term: Managing Expected LossRisk Identification, Transaction Structuring, Approval & Pricing Decisions, Reserving, etc.Near Term: Managing Economic Capital / Credit VaRPortfolio Risk Concentration, Risk Based Limits, etc. Vision: Ma

20、naging Risk/ReturnPricing decisions,Performance measurement, business and customer segmentation, compensation, etc.A business model view of Credit Risk Infrastructure componentsCredit Risk Management Strategic VisionDevelopment StagesFoundation Stage includes application of risk identification metho

21、dologies, risk scoring or rating systems and strong underwriting standards 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 co

22、ncentrations, correlations and diversification The Sophisticated Stage includes application of highly developed measurement techniques for transactions and portfolios, supported by decision-making relating to segments or businesses against established hurdle rates.Credit Risk ClarifiedCredit risk is

23、 defined as the risk of loss or potential loss resulting from: Default in contractual obligations by a customerMigration in condition and ratingDeterioration in performance Credit risk includes both an expected (predictable) and unexpected (volatile) loss component. Businesses have to contend with E

24、xpected and Unexpected LossesExpected LossesAnticipatedCost of doing businessCharged to provisionsCaptured in pricingRelatively easier to measureAssessing expected loss includes determining exposure, default probability and severityUnexpected LossesUnanticipated but inevitableMust be planned forCove

25、red by reservesAllocated to businessesDifficult to measureAssessing unexpected loss requires making qualitative judgments around potential volatility of average lossesCredit Risk Management ExplainedAlthough credit risk may be difficult to measure it is important to estimate and manage What does Cre

26、dit Risk Management mean?It represents an institutions ability to properly identify and evaluate the potential risk of default in payment of obligations of customersIt incorporates the firms ability to effectively manage and control this exposure in a way that is consistent with the institutions bus

27、iness strategy, risk appetite and credit cultureImportant Building BlocksEffective Credit Risk Management requiresClear origination and underwriting standards A strong corporate and credit cultureHighly developed risk measurement techniques Ability to recognize and cover expected and unexpected loss

28、esPricing commensurate with risks undertakenMethodologies to assess net profit contributions by customers and appropriate business segmentsProper allocation of capital and management resourcesIn order to:Improve overall corporate performance, measured by a higher EPS or P/E ratio (or market value)Cr

29、edit Policy and ProcessCredit Policy should be clear and conciseCredit Underwriting Standards must be developed and included in policyCredit Processes should be reasonable and allow quick response to clientsHealthy balance between sales and credit approval should exist and be respectedRisk Monitorin

30、gExposure must be complete and currentRegular reporting and updating of clients payment performance Minimum annual reviews of clients should be performedFinancial conditions should be regularly assessedRequired action must be initiated and follow up must take placeContract Terms and DocumentationCon

31、tract negotiations must take place at the right level in the organizationAppropriate approvals must be obtainedInternal or external legal departments must document completelyTerms and conditions should be understood and compliance mechanism put in placeExceptions must be reported and managed urgentl

32、y to resolutionRisk Rating System EffectivenessCredit Scoring is generally used to “risk rate” homogeneous portfoliosHighest applicability is in consumer and retail portfoliosSome advanced scoring systems are being migrated for use in rating “middle market” clientsSuch models are only as good as the

33、 underlying assumptionsInternal credit rating systems are difficult to assess and are often not independently validatedClient relationship may interfere with objective assessment of risksRating criteria usually a matter of practice rather than written policyRatings are not consistent over timeQualit

34、ative credit assessments often lag current market informationInstitutions often assume a mapping with external ratings in order to quantify credit riskEffective Risk Rating SystemsSufficient granularity of risk rating categoriesAccurate and timely assignment of ratings Clear and consistent applicati

35、on of default definitionPeriodic calibration, 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 FactorsGet the information you need to make a full analysis

36、Some information will need to be cross-checked and obtained on a regular and timely basisBe constructively cynical: new business models are difficult to pull offBe cognizant of delaying tacticsNumbers dont tell the whole story!Credit Evaluation: Qualitative FactorsEvaluation of subjective factors is

37、 often times more important than the numerical analysisPeople make a business: visions, values and strategies are only words unless people implement themManagement, industry, product, geography, competition etc. all influence results and must be properly assessedAnalysis-paralysis may lead to wrong

38、decisionsArt and Science of JudgmentGetting access to the best clients and all the relevant information is a challengeEnsuring proper analysis is done requires a strong corporate cultureUtilizing qualified resources both internally and externally enhances the resultsOften the lack of the will to act

39、 is what causes high lossesConcluding CommentsCompanies that measure and manage credit risk in a pro-active manner will benefit from a favorable risk pro in Higher revenueLower lossesImproved efficienciesHigher EPS, P/E ratios and market valuesConcluding CommentsRisk Assessment and Limit ManagementC

40、redit Infrastructure and Portfolio ManagementCredit Analytics SupportCredit Technology EnablementCredit QualityCredit UnderwritingRisk Rating System EffectivenessCounterparty and Portfolio LimitsOrganizational Structure Policies and ProceduresTechnology Selection and ImplementationProblem Asset Mana

41、gementRisk Rating CalibrationTransaction Pricing, Structure and SupportDefault Probability and Recovery CalibrationCredit Reserve MethodologyRisk Based Pricing ModelsRisk Adjusted Return AnalysisPortfolio Value MeasurementCredit Risk MeasurementCredit Performance Scorecards Internal Software Externa

42、l Vendor SoftwareAppendix: Business Proposal ChecklistBusiness Proposal SummaryCustomer, Rating, Legal Status, Line of BusinessGuarantor, if anysameCollateral, if anytrue value explainedOther Support, if any. Legal or moral onlyThe Transactionrisks and mitigationAmount, purpose, terms and conditions

43、Sources of repayment clearly identifiedClient payment history and relationshipAppendix: Business Proposal ChecklistRationale and AnalysisCustomer, Guarantor, Collateral, SupportFacility DescriptionAmount, purpose, tenor, pricing, terms, conditions, covenants, restrictions etc.Consider affect on above e.g. new leverageFacility Rating?Repayment CapacityFuture cash flow, conversion of assets etc.Consistency with Credit Strategy and PolicyConfirm, and identify any exceptions to policy, underwriting standards, or processRisk adjusted return acceptability Appendix: Business Proposal Checkli