贷款组合信用风险管理

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1、CREDITRISKOFLOANPORTFOLIOSFromSaundersandCornettI.IntroductionCreditriskofaloan(asset)portfolioshouldtakeintoaccountboththeconcentrationriskandthebenefitfromloanportfoliodiversification.Portfoliocreditriskcanbeusedtosetmaximumloanconcentrationlimitsforcertainbusi

2、nessorborrowingsectors.TheFDICImprovementActof1991requiresbankregulatorstoincorporatecreditconcentrationriskintotheirevaluationofbankinsolvencyrisk.I.IntroductionBankswillbeallowedtousetheirown"internal"models,suchasCreditMetricsandCreditRisk+andKMV'sPortfolioMan

3、ager,tocalculatetheircapitalrequirementsagainstinsolvencyriskfromexcessiveloanconcentrations.TheNationalAssociationofInsuranceCommissioners(NAIC)hasdevelopedlimitsfordifferenttypesofassetsandborrowersininsurers'portfolios-aso-calledpigeonholeapproach.II.SimpleMod

4、elsofLoanConcentrationRisk1.MigrationAnalysis:LendingofficerstrackS&P,Moody's,ortheirowninternalcreditratingsofcertainpoolsofloansorcertainsectors.Ifthecreditratingsofanumberofborrowersinasectororratingclassdeclinefasterthanhasbeenhistoricallyexperienced,thenlend

5、ingtothatsectororclasswillbecurtailed.II.SimpleModelsofLoanConcentrationRiskTABLE:AHypotheticalRatingMigrationorTransitionMatrixRiskGradeatEndofYear_______________________________________123Default________________________________________Riskgradeat1.85.10.04.01Be

6、ginningof2.12.83.03.02Year3.03.13.80.04________________________________________II.SimpleModelsofLoanConcentrationRiskAloanmigrationmatrix(ortransitionmatrix)seekstoreflectthehistoricexperienceofapoolofloansintermsoftheircredit-ratingmigrationovertime.Assuch,itcan

7、beusedasabenchmarkagainstwhichthecreditmigrationpatternsofanynewpoolofloanscanbecompared.E.g.:Forgrade2loans,historically12percenthavebeenupgradedto1,83percenthaveremainedat2,3percenthavebeendowngradedto3,and2percenthavedefaultedbytheendoftheyear.II.SimpleModelso

8、fLoanConcentrationRiskSupposethattheFIisevaluatingthecreditriskofitscurrentportfolioofloansofgrade2ratedborrowersandthatoverthelastfewyearsamuchhigherpercentag