商业银行信用风险管理

1. 商业银行信用风险管理 Credit Risk Management in Banking: A Modern Perspective 石晓军

2. Chapter 1商业银行信用风险来源及几个问题

3. 一、Summary • Sources of credit risk: taking Citigroup as example • Inquiry of influencing determinants: 6 aspects

4. 二、Definition • Credit risk is the potential of financial loss resulting from the failure of a borrower or counterparty to honor its financial or contractualobligations. ——A Definition by Citigroup

5. 三、Sources of credit risk • Citigroup as example：5个最 2005 • 全球最大的金融機構 • 世界獲利最豐厚的金融服務公司 • 花旗的國際業務服務範圍在美國金融服務公司中名列第一，在 100 個國家開展業務，在許多國家已經超過 100 年。 • 金融產業中最有價值的品牌 • 擁有金融產業中最廣泛的產品線 • 「道瓊永續世界指數」(Dow Jones Sustainability World Index) 和「FTSE4Good 指數」(FTSE4GoodIndex)入選公司

6. 1。risk management functions • Senior 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, • reviewing major risk exposures and concentrations across the organization. • The independent risk managers at the business level • responsible for establishing and implementing risk management policies and practices within their business, • for overseeing the risk in their business, and for • responding to the needs and issues of their business.

7. 2。RISK CAPITAL • Risk capital • the amount of capital required to absorb potential unexpected economic losses resulting from extremely severe events over a one-year time period.

8. drivers of “economic losses” • Credit risk losses primarily result from a borrower’s or counterparty’s 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 from external events. • Insurance risks arise from unexpectedly high payouts on insurance liabilities.

9. (1) Reduction in risk represents diversification between risk sectors.

10. 3。Credit risk arises in： • lending • sales and trading • derivatives • securities transactions • settlement • and when the Company acts as an intermediary on behalf of its clients and other third parties

11. 4。Loans Consumer Credit 90 Days or More Past Due In millions of dollars at December 31 Corporate Credit Cash-Basis Loans In millions of dollars at December 31

13. CASH-BASIS, RENEGOTIATED, AND PAST DUE LOANS Citigroup 按照盈利性对质量不好的贷款资产进行分类： （1）cash-basis 是指利息无望收回、甚至部分本金也难以回收的贷款 （2）renegotiated 是指还款条款重新商定的贷款 （3）past due 是指逾期，但还款前景不定的情况

14. 5。Allowance for loan losses 信用风险准备金计提情况：DOC文件

15. 6。Credit Risk Mitigation（缓解） • 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 these 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 Income.

16. At December 31, 2005 and 2004, $40.7 billion and $27.3 billion, respectively, of credit risk exposure was economically hedged.

17. 60%、58%

18. 7。Credit Exposure Arising from Derivatives • Credit risk is the exposure to loss in the event of nonperformance by the other party to the transaction where the value of any collateral held is not adequate to cover such losses.

21. credit 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, 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 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.

22. 8。Concentration of credit risk • Concentrations of credit risk exist when changes in economic, industry or geographic factors similarly affect groups of counterparties whose aggregate credit exposure is material in relation to Citigroup’s total credit exposure. • portfolio of financial instruments is broadly diversified along industry, product, and geographic lines, material transactions are completed with other financial institutions, particularly in the securitiestrading, derivatives, and foreign exchange businesses.

23. limit 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. • primarily 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 Moody’s and S&P. amounted to $20.7 billion and $23.8 billion at December 31, 2005 and 2004 • composed of investment securities, loans, and trading assets.

24. 四、表外工具的信用风险（赵） • 出于应对竞争与资本监管的压力，近几十年来商业银行一直积极投身于金融创新，出现表外工具使用迅猛增长的情况 • 很大一部分的表外工具本身实际上就是类信贷的工具，所以Basel认为可以通过一定的“转换因子”计算它们等价于多少的表内的信贷资产风险暴露

25. Basel分类： • 担保以及类似的或有负债 • 承诺 • 与外汇、汇率以及股票指数有关的交易 • 担保类 • 担保（guarantee）——银行作为第三方提供担保 • 承兑（acceptance）——承兑汇票，承担到期按汇票面值兑付给持票人的责任 • 有追索的交易（transactions with recourse）——尽管贷款或其他资产已出售给第三方，但银行仍然承担信用风险。可以是“卖权”的形式

26. 备用信用证（standby letters of credit）——如果客户不能履约，开证行必须要按照标的合同进行赔偿，注意：标的合同可以是财务性的也可以是非财务性的。SLC有很广泛的用途，可用于担保、保函、赔偿和履约保函。 • 跟单信用证（documentary letters of credit）——开证行在见到运货单时付款给出口商。 • 保函与赔偿、履约保函（warranties, indemnities and performance bonds）——银行为其客户的履约行为向第三方提供的担保。

27. 信用风险特征 信用风险大小 担保 是直接信贷的替代 信用风险等同于针对同一对象的表内贷款资产 承兑 是直接信贷的替代 信用风险等同于针对同一对象的表内贷款资产 有追索的交易 信用风险没有得到真正的转移 其信用风险等同于原来的资产的所包含的信用风险 备用信用证 用于担保时其信用风险等同于等量的表内工具所包含的信用风险；用于保函等时，信用风险稍小（原来同保函等） 跟单信用证 信贷的直接替代，但期限短，而且有货物作为抵押 信用风险小于等量的表内贷款资产 保函、赔偿与履约包函 与担保极为相似，但信用风险取决于被担保客户履行其经常性业务的能力，而不是直接对客户的当前债务的担保，所以，不是信贷的直接等价 信用风险也小于等量的表内贷款资产 表外（担保类）工具的信用风险比较

28. 承诺（commitment） • 通常是指在未来某个时刻从事某项交易的承诺 • Adverse in accruing of credit risk exposure • Commitment with recourse or without recourse • 资产出售与回购协议（asset sale and repurchase agreement）：银行向第三方出售一笔贷款、证券或固定资产，同时承诺在一定时期之后或特定情况下购回 • 直接远期购买（outright forward purchase）：承诺在未来指定日期以商定条件购买一笔贷款、证券或资产

29. 远期—远期存款（forward-forward deposit）：一方在未来某指定日期向另一方存入一笔款项，后者按商定的利率向前者支付利息。 • 部分付款的股票与证券（partial-paid shares and securities）：认购时，认购方仅支付股票发行价或证券面值的一部分，发行人在约定日期或某个未指定的未来日期要求认购人缴足剩余款 • 备用信贷安排（standby facility）：无条件的贷款承诺，只要借款人提出借款要求，银行就必须满足。 • 票据发行便利（note issuance facility）与滚动承销安排（revolving underwriting facility）：借款人可

30. 在一定的年限内重复发行3个月或6个月的期票，同时由银行提供一定额度的信贷支持。如果借款人不能在市场上以最低发行价格发行票据则由承销银行按照预定的价格买下，此时，借款人将会从信贷额度内提取资金。在一定的年限内重复发行3个月或6个月的期票，同时由银行提供一定额度的信贷支持。如果借款人不能在市场上以最低发行价格发行票据则由承销银行按照预定的价格买下，此时，借款人将会从信贷额度内提取资金。 • 可撤消的包括：信贷额度（credit line）和未使用的透支安排（undrawn overdraft facilities）：非承诺性贷款额度、可审查的借款安排，一旦银行要求还款，借款人必须还款。银行有权在借款人信用下降时主动收回承诺，不构成直接的信用风险。

31. 信用风险特征 信用风险大小 回购协议 售出资产的信用风险仍然由原来的出售银行承担， 等同于原来售出资产的信用风险 直接远期购买 与回购相似，购入资产的信用风险完全由购入银行承担（实际很少使用） 等同于表内等量资产的信用风险 远期远期存款 实际上相当于存款银行向接受存款的银行放出一笔“贷款” 对存款银行而言完全等价于等量贷款的信用风险 部分付款证券 未缴余额实际上等同于等量的贷款，区别仅仅在于期限有可能是不确定的（英国国债市场使用较多） 等同于余额总数的贷款资产的信用风险 备用信贷安排 承诺的实际使用额不确定 小于承诺总量的贷款资产的信用风险 票据发行便利 承诺的实际使用额不确定 小于承诺总量的贷款资产的信用风险 表外（承诺类）工具的信用风险比较

32. 交易类 • 包括外汇远期交易、货币与利率互换、货币期货、货币期权、远期利率协议、股票指数期货、股指期权等 • 主要是市场风险 • 交易对手的违约风险：即使衍生工具合约为正，但交易对手不履行合约，将面临信用风险 • 场外交易的信用风险大 • 上市交易的信用风险小：保证金、直接与清算所清算

33. 工具 转换系数 可无条件或在客户信用品质下降时可撤回的承诺 0% 短期跟单、以货物为抵押的信用证、原始期限1年以下（含1年）的承诺 20% 履约保函、投标保函、原始期限1年以上的承诺、备用信贷安排、票据发行便利 50% 银行承兑、备用信用证、资产远期购买、有追索的资产出售回购、证券资产抵押 100% • 巴委员会：等价信贷转换系数（CCF）credit conversion factor • II.A.13 Paragraph. 82~89（2004/6 CP）with 1988 accord specification 表外工具的等价信贷转换系数

34. 剩余时间 利率 汇率及黄金 股票 黄金以外的贵金属 其他商品 1年及以内 0 1 6 7 10 1~5年 0.5 5 8 7 12 5年以上 1.5 7.5 10 8 15 • 交易类：当前敞口法 • 计算衍生工具的当前盯市值，取“正”值 • 计算剩余期限内面临的潜在风险敞口，等于合约帐面本金总额的一定比例。按剩余时间和类型确定比例，5种类型：利率、汇率、黄金、股票、黄金以外的贵金属、其他商品（14天以下的汇率合约不纳入信用风险计量范围） • 两者之和

35. 五、six key questions • P. Jackson; W. Perraudin 1999/10 • (i) What is the relative riskiness of credit exposures across different maturities? • (ii) Does the nature of credit risk vary across different countries? • (iii) Do credit exposures with the same rating behave differently depending on the type of borrower(sovereign versus non-sovereign, bank versus industrial or utility)? • (iv) Do credit risk models successfully track risks associated with credit portfolios? • (v) Are ratings by agencies such as Moody’s or Standard & Poor’s reliable? • (vi) Does the credit risk of loans differ from that of bonds?

36. Does the riskiness of credit exposures depend on maturity? • whether there is a significant maturity structure to credit risk and in particular whether shorter-maturity exposures should carry less capital than longer-maturity exposures. • reasonable measure: the credit spread times the maturity of the exposure