毕博上海银行咨询Credit Risk Mgmt Sys Analytics Rating training_FSS Simulation.ppt

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1、,Risk Rating 99/9/17,2,Overview of Risk Rating Module,Risk Rating Module rating system.,rating.Rating model:*Best Practice risk rating*risk rating*,3,Overview of Risk Rating Module,Risk Rating Module Rating System rating.rating system rating.:*KPMG,risk rating,*rating system*rating review risk ratin

2、g system-system rating system,4,Methods to Design the Risk Rating Process,The design process encompasses many factors,which are:Identify FSS requirements and International Best Practices to use in the rating processDefine a methodology featuring both an objective measure of default risk and subjecti

3、ve risk ratings definitionsDetermine risk rating attributes based on Hanvits portfolio typesInvestigate,enhance and define a default risk modeling algorithmDevelop an integrated module to contain the rating method,document conclusions and capture dataDevelop a grading manual,Risk Rating:*rating*defa

4、ult risk risk rating*Risk Rating*default modeling,*rating,*,5,Tools of the Rating Process,Risk Rating Module-computer based application screens used to analyze borrower and all related credit facilities.Captures borrower data,loan data,and analysts conclusions,in addition to generating default rate

5、calculations.Risk Rating Manual-the set of risk rating policies and guidelines used by the analyst in completing the rating process.Consists of:Procedures for Risk Rating Risk Rating Rules FSS Guidance,Rating Risk Rating-.,default rate Risk Rating-rating risk rating:-Risk Rating-Risk Rating-,6,Risk

6、Rating Methodology,1)Borrower Risk-an evaluation of the borrowers credit risk based on borrower specific risk attributes2)Facility Risk-an evaluation of the credit risk for each of the borrowers credit facilities based on unique attributes of each loan facility3)Notations of other risks which are no

7、t encompassed in the risk ratings or that warrant additional attention,The methodology used to analyze a borrowing relationship and assign risk ratings is broken down into three areas which make up the main components of the risk rating module:,Risk Rating risk rating risk rating:1)-2)-3)risk rating

8、,7,Risk Rating Methodology,The overriding principal of risk rating is that the individual ratings are first aligned by borrower with risk of default.This risk of default measure is produced at the borrower level with the presumption that a borrower will default on all obligations if it defaults on a

9、ny.Based on facility structure such as collateral type,term and guarantee,the facility rating is adjusted from the final borrower rating based on the fraction of the loans value that is likely to be lost in the event of default.The resulting final facility rating,representing expected and unexpected

10、 loss,corresponds to the product of the two concepts of default and loss in the event of default.,Borrower Grade,12345678910,Facility Info,1 2345678910,Facility Grade,Adjusts for LIED,Virtually no risk,Higher risk of default,Very little risk of loss,Definite risk of loss,with,gives,Risk Rating ratin

11、g default risk Risk rating.Default risk.,default default.rating rating.Default.rating default default.,8,Risk Rating Methodology,Individual ratings are assigned by groupings determined through the average EDF and category description from S&P rating equivalents.,Risk Grade,12345678910,+-+-+-+-+-,Sta

12、ndard&PoorsEquivalents,S&P One YearAverage EDF,AAA to A,A-to BBB+,BBB to BBB-,BB+to BB,Description,Superior,Excellent,BB-to B+,B to B-,CCC+,CCC,CCC-,Strong,Above Average,Acceptable,Generally Acceptable,Special Mention,Substandard,Doubtful,Loss,20%,0.02%,0.12%,0.25%,0.85%,2.25%,7.50%,15%,75%,100%,D,R

13、isk Rating EDF S&P rating,9,Credit Rating Structure,Scoring Judgement Credit Rating,.,Rating,Data,Default Distance,Scoring,Judgement,+,*Model,(10),*,*,10,Merton Approach:()(Default),Asset Value,D,*,:Default Distance,*,:Multiflier,*,:,*,:,*,:Cash Flow,e,(0+1*CDD+2*GDD+3*NF1),1+e,(0+1*CDD+2*GDD+3*NF1)

14、,*,:Probability of Default,*,:Company Default Distance,*,:Group Default Distance,*,:Non-Financial Factors,*,:Equation Intercept&Weights,*,:Exponential,DD,k,AV,D,CF,PD,CDD,GDD,NF,e,DD k,PD=,CF,Merton Model,(Default).,DD(Default Distance),.,Data.,Asset Value,Debt,Time,100%,70%,Asset value,is volatile,

15、Asset value,becomes deficient,Borrower,defaults,Model,11,Model DD(Default Distance),(%),0.35,0.40,0.00,0.10,0.15,0.20,0.25,0.30,8,9,0.05,1,2,3,4,7,5,6,DD,.,*:8797,6,000,DD,DD DD,Scoring 83%,Merton Model,12,Model Scoring,*Cash Flow DD,*DD,2,5,1,10,9,8,7,6,4,3,Cash Flow,3.24,2.69,Model,1.78,2.05,Model,Default Distance,1.35%,Default Distance,13,*,*(),*(),*:,*:,*,2,3,1,10,5,6,7,8,9,4,.,14,Scoring Judgement,3-,Scoring,Judgement,Credit Rating,9,4+,1,2,3,10,6,7,8,4,5,*Scoring Judgement Credit Rating,Credit Rating(),15,FINAL BORROWER RATING DOCUMENTATION,Borrower Number,219168,3-,.,3,3.,