贷款组合信用风险管理.ppt

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1、CREDITRISKOFLOANPORTFOLIOSFromSaundersandCornettI.IntroductionCreditriskofaloan(asset)portfolioshouldtakeintoaccountboththeconcentrationriskandthebenefitfromloanportfoliodiversification.Portfoliocreditriskcanbeusedtosetmaximumloanconcentrationlimitsforcertainbusinessorborrowingsectors.T

2、heFDICImprovementActof1991requiresbankregulatorstoincorporatecreditconcentrationriskintotheirevaluationofbankinsolvencyrisk.I.IntroductionBankswillbeallowedtousetheirown"internal"models,suchasCreditMetricsandCreditRisk+andKMV'sPortfolioManager,tocalculatetheircapitalrequirementsagainsti

3、nsolvencyriskfromexcessiveloanconcentrations.TheNationalAssociationofInsuranceCommissioners(NAIC)hasdevelopedlimitsfordifferenttypesofassetsandborrowersininsurers'portfolios-aso-calledpigeonholeapproach.II.SimpleModelsofLoanConcentrationRisk1.MigrationAnalysis:LendingofficerstrackS&P,Mo

4、ody's,ortheirowninternalcreditratingsofcertainpoolsofloansorcertainsectors.Ifthecreditratingsofanumberofborrowersinasectororratingclassdeclinefasterthanhasbeenhistoricallyexperienced,thenlendingtothatsectororclasswillbecurtailed.II.SimpleModelsofLoanConcentrationRiskTABLE:AHypotheticalR

5、atingMigrationorTransitionMatrixRiskGradeatEndofYear_______________________________________123Default________________________________________Riskgradeat1.85.10.04.01Beginningof2.12.83.03.02Year3.03.13.80.04________________________________________II.SimpleModelsofLoanConcentrationRiskAlo

6、anmigrationmatrix(ortransitionmatrix)seekstoreflectthehistoricexperienceofapoolofloansintermsoftheircredit-ratingmigrationovertime.Assuch,itcanbeusedasabenchmarkagainstwhichthecreditmigrationpatternsofanynewpoolofloanscanbecompared.E.g.:Forgrade2loans,historically12percenthavebeenupgrad

7、edto1,83percenthaveremainedat2,3percenthavebeendowngradedto3,and2percenthavedefaultedbytheendoftheyear.II.SimpleModelsofLoanConcentrationRiskSupposethattheFIisevaluatingthecreditriskofitscurrentportfolioofloansofgrade2ratedborrowersandthatoverthelastfewyearsamuchhigherpercentag