商業(yè)銀行信用風(fēng)險管理

1、商業(yè)銀行信用風(fēng)險管理石曉軍Credit Risk Management in Banking: A Modern PerspectiveChapter 1商業(yè)銀行信用風(fēng)險來源及幾個問題一、SummarySources of credit risk: taking Citigroup as exampleInquiry of influencing determinants: 6 aspects 3二、DefinitionCredit risk is the potential of financial loss resulting from the failure of a borrower

2、or counterparty to honor its financial or contractual obligations.A Definition by Citigroup4三、Sources of credit riskCitigroup as example：5個最 2005全球最大的金融機(jī)構(gòu)世界獲利最豐厚的金融服務(wù)公司花旗的國際業(yè)務(wù)服務(wù)範(fàn)圍在美國金融服務(wù)公司中名列第一，在 100 個國家開展業(yè)務(wù)，在許多國家已經(jīng)超過 100 年。金融產(chǎn)業(yè)中最有價值的品牌擁有金融產(chǎn)業(yè)中最廣泛的產(chǎn)品線道瓊永續(xù)世界指數(shù)(Dow Jones Sustainability World Index) 和FT

3、SE4Good 指數(shù)(FTSE4GoodIndex)入選公司51。risk management functionsSenior Risk Officer is responsible for:establishing standards for the measurement and reporting of risk,managing and compensating the senior independent risk managers at the business level,approving business-level risk management policies,rev

4、iewing major risk exposures and concentrations across the organization.The independent risk managers at the business levelresponsible for establishing and implementing risk management policies and practices within their business, for overseeing the risk in their business, and forresponding to the ne

5、eds and issues of their business.62。RISK CAPITALRisk capitalthe amount of capital required to absorb potential unexpected economic losses resulting from extremely severe events over a one-year time period.7drivers of “economic lossesCredit risk losses primarily result from a borrowers or counterpart

6、ys inability to meet its obligations.Market risk losses arise from fluctuations in the market value of trading and non-trading positions, including changes in value resulting from fluctuation in rates.Operational risk losses result from inadequate or failed internal processes, people, systems or fro

7、m external events.Insurance risks arise from unexpectedly high payouts on insurance liabilities.8(1) Reduction in risk represents diversification between risk sectors.93。Credit risk arises in：lendingsales and tradingderivativessecurities transactionssettlementand when the Company acts as an intermed

8、iary on behalf of its clients and other third parties104。LoansConsumer Credit90 Days or More Past DueIn millions of dollars at December 31Corporate CreditCash-Basis LoansIn millions of dollars at December 311112CASH-BASIS, RENEGOTIATED, AND PAST DUE LOANSCitigroup 按照盈利性對質(zhì)量不好的貸款資產(chǎn)進(jìn)行分類：1cash-basis 是指利

9、息無望收回、甚至局部本金也難以回收的貸款2renegotiated 是指還款條款重新商定的貸款3past due 是指逾期，但還款前景不定的情況13信用風(fēng)險準(zhǔn)備金計(jì)提情況：DOC文件5。Allowance for loan losses146。Credit Risk Mitigation緩解uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its portfolio, in addition to outright asset sales.effect of thes

10、e transactions is to transfer credit risk to credit-worthy, independent third parties.Beginning in the fourth quarter of 2003, the results of the mark-to-market and any realized gains or losses on credit derivatives are reflected in the Principal Transactions line on the Consolidated Statement of In

11、come.15At December 31, 2005 and 2004, $40.7 billion and $27.3 billion, respectively, of credit risk exposure was economically hedged.1660%、58%177。Credit Exposure Arising from DerivativesCredit risk is the exposure to loss in the event of nonperformance by the other party to the transaction where the

12、 value of any collateral held is not adequate to cover such losses.181920credit exposure on derivatives and foreign exchange contracts is primarily to professional counterparties in the financial sector, with 79% arising from transactions with banks, investments banks, governments and central banks,

13、 and other financial institutions.Managing：measures and monitors credit exposure taking into account the current mark-to-market value of each contract plus a prudent estimate of its potential change in value over its life.This measurement of the potential future exposure for each credit facility is

14、based on a stressed simulation of market rates and generally takes into account legally enforceable risk-mitigating agreements for each obligor such as netting and margining.218。Concentration of credit riskConcentrations of credit risk exist when changes in economic, industry or geographic factors s

15、imilarly affect groups of counterparties whose aggregate credit exposure is material in relation to Citigroups total credit exposure.portfolio of financial instruments is broadly diversified along industry, product, and geographic lines, material transactions are completed with other financial insti

16、tutions, particularly in the securitiestrading, derivatives, and foreign exchange businesses.22limit exposure to any one geographic region, country or individual creditor and monitors on a continuous basis.most significant concentration of credit risk was with the U.S. government and its agencies.pr

17、imarily results from trading assets and investments issued by the U.S. government and its agencies, amounted to $78.0 billion and $88.1 billion at December 31, 2005 and 2004.next largest exposure is to the Mexican government and its agencies, which are rated investment grade by both Moodys and S&P.

18、amounted to $20.7 billion and $23.8 billion at December 31, 2005 and 2004 composed of investment securities, loans, and trading assets.23四、表外工具的信用風(fēng)險趙出于應(yīng)對競爭與資本監(jiān)管的壓力，近幾十年來商業(yè)銀行一直積極投身于金融創(chuàng)新，出現(xiàn)表外工具使用迅猛增長的情況很大一局部的表外工具本身實(shí)際上就是類信貸的工具，所以Basel認(rèn)為可以通過一定的“轉(zhuǎn)換因子計(jì)算它們等價于多少的表內(nèi)的信貸資產(chǎn)風(fēng)險暴露24Basel分類：擔(dān)保以及類似的或有負(fù)債承諾與外匯、匯率以及股票指

19、數(shù)有關(guān)的交易擔(dān)保類擔(dān)保guarantee銀行作為第三方提供擔(dān)保承兌acceptance承兌匯票，承擔(dān)到期按匯票面值兌付給持票人的責(zé)任有追索的交易transactions with recourse盡管貸款或其他資產(chǎn)已出售給第三方，但銀行仍然承擔(dān)信用風(fēng)險?？梢允恰百u權(quán)的形式25備用信用證standby letters of credit如果客戶不能履約，開證行必須要按照標(biāo)的合同進(jìn)行賠償，注意：標(biāo)的合同可以是財務(wù)性的也可以是非財務(wù)性的。SLC有很廣泛的用途，可用于擔(dān)保、保函、賠償和履約保函。跟單信用證documentary letters of credit開證行在見到運(yùn)貨單時付款給出口商。保函與

20、賠償、履約保函warranties, indemnities and performance bonds銀行為其客戶的履約行為向第三方提供的擔(dān)保。26信用風(fēng)險特征信用風(fēng)險大小擔(dān)保是直接信貸的替代 信用風(fēng)險等同于針對同一對象的表內(nèi)貸款資產(chǎn)承兌是直接信貸的替代 信用風(fēng)險等同于針對同一對象的表內(nèi)貸款資產(chǎn)有追索的交易信用風(fēng)險沒有得到真正的轉(zhuǎn)移 其信用風(fēng)險等同于原來的資產(chǎn)的所包含的信用風(fēng)險備用信用證用于擔(dān)保時其信用風(fēng)險等同于等量的表內(nèi)工具所包含的信用風(fēng)險；用于保函等時，信用風(fēng)險稍小（原來同保函等）跟單信用證信貸的直接替代，但期限短，而且有貨物作為抵押 信用風(fēng)險小于等量的表內(nèi)貸款資產(chǎn)保函、賠償與履約包函與

21、擔(dān)保極為相似，但信用風(fēng)險取決于被擔(dān)?？蛻袈男衅浣?jīng)常性業(yè)務(wù)的能力，而不是直接對客戶的當(dāng)前債務(wù)的擔(dān)保，所以，不是信貸的直接等價 信用風(fēng)險也小于等量的表內(nèi)貸款資產(chǎn)表外擔(dān)保類工具的信用風(fēng)險比較 27承諾commitment通常是指在未來某個時刻從事某項(xiàng)交易的承諾Adverse in accruing of credit risk exposureCommitment with recourse or without recourse資產(chǎn)出售與回購協(xié)議asset sale and repurchase agreement：銀行向第三方出售一筆貸款、證券或固定資產(chǎn)，同時承諾在一定時期之后或特定情況下購回直

22、接遠(yuǎn)期購置outright forward purchase：承諾在未來指定日期以商定條件購置一筆貸款、證券或資產(chǎn)28遠(yuǎn)期遠(yuǎn)期存款forward-forward deposit：一方在未來某指定日期向另一方存入一筆款項(xiàng)，后者按商定的利率向前者支付利息。局部付款的股票與證券partial-paid shares and securities：認(rèn)購時，認(rèn)購方僅支付股票發(fā)行價或證券面值的一局部，發(fā)行人在約定日期或某個未指定的未來日期要求認(rèn)購人繳足剩余款備用信貸安排standby facility：無條件的貸款承諾，只要借款人提出借款要求，銀行就必須滿足。票據(jù)發(fā)行便利note issuance fac

23、ility與滾動承銷安排revolving underwriting facility：借款人可29 在一定的年限內(nèi)重復(fù)發(fā)行3個月或6個月的期票，同時由銀行提供一定額度的信貸支持。如果借款人不能在市場上以最低發(fā)行價格發(fā)行票據(jù)那么由承銷銀行按照預(yù)定的價格買下，此時，借款人將會從信貸額度內(nèi)提取資金。可撤消的包括：信貸額度credit line和未使用的透支安排undrawn overdraft facilities：非承諾性貸款額度、可審查的借款安排，一旦銀行要求還款，借款人必須還款。銀行有權(quán)在借款人信用下降時主動收回承諾，不構(gòu)成直接的信用風(fēng)險。30信用風(fēng)險特征信用風(fēng)險大小回購協(xié)議售出資產(chǎn)的信用風(fēng)

24、險仍然由原來的出售銀行承擔(dān)，等同于原來售出資產(chǎn)的信用風(fēng)險直接遠(yuǎn)期購買與回購相似，購入資產(chǎn)的信用風(fēng)險完全由購入銀行承擔(dān)（實(shí)際很少使用）等同于表內(nèi)等量資產(chǎn)的信用風(fēng)險遠(yuǎn)期遠(yuǎn)期存款實(shí)際上相當(dāng)于存款銀行向接受存款的銀行放出一筆“貸款”對存款銀行而言完全等價于等量貸款的信用風(fēng)險部分付款證券未繳余額實(shí)際上等同于等量的貸款，區(qū)別僅僅在于期限有可能是不確定的（英國國債市場使用較多）等同于余額總數(shù)的貸款資產(chǎn)的信用風(fēng)險備用信貸安排承諾的實(shí)際使用額不確定小于承諾總量的貸款資產(chǎn)的信用風(fēng)險票據(jù)發(fā)行便利承諾的實(shí)際使用額不確定小于承諾總量的貸款資產(chǎn)的信用風(fēng)險表外承諾類工具的信用風(fēng)險比較 31交易類包括外匯遠(yuǎn)期交易、貨幣與利率

25、互換、貨幣期貨、貨幣期權(quán)、遠(yuǎn)期利率協(xié)議、股票指數(shù)期貨、股指期權(quán)等主要是市場風(fēng)險交易對手的違約風(fēng)險：即使衍生工具合約為正，但交易對手不履行合約，將面臨信用風(fēng)險場外交易的信用風(fēng)險大上市交易的信用風(fēng)險?。罕ＷC金、直接與清算所清算32巴委員會：等價信貸轉(zhuǎn)換系數(shù)CCFcredit conversion factorII.A.13 Paragraph. 82892004/6 CPwith 1988 accord specification表外工具的等價信貸轉(zhuǎn)換系數(shù) 工具轉(zhuǎn)換系數(shù)可無條件或在客戶信用品質(zhì)下降時可撤回的承諾0%短期跟單、以貨物為抵押的信用證、原始期限1年以下（含1年）的承諾20%履約保函、投標(biāo)保函、原始期限1年以上的承諾、備用信貸安排、票據(jù)發(fā)行便利50%銀行承兌、備用信用證、資產(chǎn)遠(yuǎn)期購買、有追索的資產(chǎn)出售回購、證券資產(chǎn)抵押100%33交易類：當(dāng)前敞口法計(jì)算衍生工具的當(dāng)前盯市值，取“正值計(jì)算剩余期限內(nèi)面臨的潛在風(fēng)險敞口，等于合約帳面本金總額的一定比例。按剩余時間和類型確定比例，5種類型：利率、匯率、黃金、股票、黃金以外的貴金屬、其他商品14天以下的匯率合約不納入信用風(fēng)險計(jì)量范圍兩者之和剩余時間利率匯率及黃金股票黃金以外的貴金屬其他商品1年及以內(nèi)01671015年0.5587125年以上1.57.51081534五、six key questionsP. Jackson; W. P