毕博上海银行咨询To-Be-Deliverables appendix(1).ppt

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1、Table of Contents,1Executive Summary2Background&Overview3Commercial CRMS“To Be”Process Model,Design Requirements&Work-Plan4Retail CRMS:Objectives,“To Be”Components,Process Improvements&Work-Plan5Commercial CRMS Process Improvements6Plan Sign-Off&Next Steps 7Appendix,1.2.3.CRMS“To-Be”,4.CRMS:,“To-Be”

2、,5.CRMS 6.7.,1 CRMS:KIS,KIS:*1 CRMS KIS.*Phase 1.-:,Shenanigans,-Scoring&Rating-Pricing-(VAR)*KPMG.,scoring/rating KPMG high level.,A.1.1 CRMS:,CRMS:High Level,.,*.*.(“”)*,.(“:”)*.(“”),RM/,A.1.2 CRMS:-,CRMS:High Level,spread/,A.1.2 CRMS:-,CRMS:High Level,-,CRMS(3),spread/,CRMS*()*,CRMS,flags,A.1.2 C

3、RMS:-,CRMS:High Level,-,6,1,SCORING,RATING,A.1.3 CRMS:-output,CRMS:High Level,/.(attention flag).,(shenanigan flag).1,.().stress test.3.,.attention flag shenanigan flag,.,*CRMS*,*()*,A.1.3 CRMS:-output,CRMS:High Level,output*(up,down,flat)*shenanigan flag*(multiple/single),A.1.4 CRMS:-,CRMS:High Lev

4、el,*Output,.*chart of accounts.*design support logic().*KIS Line.,*.,.,.,A.2.1 CRMS:-,CRMS:High Level,.,.FSS.,Loan Review OfficersRM(portfolio level),A.2.2 CRMS:-,Commercial CRMS:Module Objectives&High-Level Design Requirements,-,C/F,CRMS input5 C/F Rating input,FSC,(),/,A.2.2 CRMS:-,Commercial CRMS

5、:Module Objectives&High-Level Design Requirements,-Loan Monitoring,Loan monitoring.,A.2.3 CRMS:-output,Commercial CRMS:Module Objectives&High-Level Design Requirements,5 C/F.C/F.5 5 C/F,.,.,inputCRMS 5 C/F Rating(),Inputs,A.2.3 CRMS:-Output,Commercial CRMS:Module Objectives&High-Level Design Require

6、ments,Outputs-FSC,A.2.4 CRMS:-,Commercial CRMS:Module Objectives&High-Level Design Requirements,.(t vs.).,.,.,BP.BP.KMV.,A.3.1 CRMS:-,Commercial CRMS:Module Objectives&High-Level Design Requirements,.,.().LTV.,RMLoan Review,A.3.2 CRMS:-,Commercial CRMS:Module Objectives&High-Level Design Requirement

7、s,-Loan Monitoring,CRMS input()rating,Output,A.3.3 CRMS:-Output,Commercial CRMS:Module Objectives&High-Level Design Requirements,.,Outputs,input()rating,Inputs(),Commercial CRMS:&High-Level,A.3.4 CRMS:-,pricing module.batch.,.,KIS.KPMG operational,.specifications specifications.,A.4.1 CRMS:-,CRMS:hi

8、gh-level,EXPOSURE.RATING OUTPUT RATING.SCORING,Rating,RATING.,(SCORING),RATING SCORING rating.,Loan Review OfficersRMs,A.4.2 CRMS:RATING-,CRMS:High-Level,1:rating scoring.,A.4.2 CRMS:,CRMS:High-Level,Default Distance?,1.41%,output.,Rating(rating)mapping.,Scoring:,x,x,x,x,x,A.4.2 CRMS:,CRMS:High-Leve

9、l,2A:scoring rating.,1.41%,A.4.2 CRMS:,CRMS:High-Level,1.41%,1.55%,Rating,.Rating mapping.,x,Dynamics,X,Rating-.,.,A.4.2 CRMS:,CRMS:High-Level,2B:Rating Rating.,?,Rating Scheme,1,2,3,4,5,6,7,8,9,10,11,-,X,-,X,X,X,Final Obligor Rating,X,3:Rating.,Rating Scheme,1,2,3,4,5,6,7,8,9,10,11,-,X,-,X,X,/,X,Ra

10、ting,X,1,/structure,X,X,Rating,3-,2,/structure,X,X,Rating,3,3,/structure,X,X,Rating,3+,(,Rating rating scheme).,A.4.2 CRMS:,CRMS:High-Level,A.4.3 CRMS:Rating-OUTPUTS,CRMS:High-Level,INPUTS,Inputs,:RATING.RATING.,.RATING.RATING.SCORE(0-100)MAPPING,.Rating,Rating Rating.:1);2),.3)()RATING.,A.4.3 CRMS:

11、Rating-OUTPUTS,CRMS:High-Level,()Rating Rating,.().Rating rating.ratings Rating,rating.rating.,A.4.3 CRMS:Rating-OUTPUTS,CRMS:High-Level,Outputs(Saved)rating rating,A.4.4 CRMS:Rating-,CRMS:High-Level,FSS rating rating.DD rating.,.,Rating.,ratings.,Pricing.,NPV par price(NPV 0)NPV batch mode,RM,A.5.1

12、 CRMS:Pricing-,CRMS:High Level,A.5.2 CRMS:Pricing-,CRMS:High Level,-,-,application,Par Price,*Transition Matrices*ABC*Utilization,*Reset timing/*rating,Output NPVPar price,-,NPV,*Reset timing/*rating,Output NPV,Rating,A.5.2 CRMS:Pricing-,CRMS:High Level,*Transition Matrices*ABC*Utilization,Pricing/N

13、PV.-pricing.Output.pricing,/,Output NPVPar price batch NPV,Transition Matrices ABC Utilization,Reset timing/,A.5.3 CRMS:Pricing-Output,CRMS:High Level,A.5.4 CRMS:Pricing-,CRMS:High Level,RM relationship.Output.,ABC,pring model.prime rate.Transition matrices average utilization pricing.,pricing model

14、.,.exposure,value at risk(VAR)VAR marginal,NPV()score,watch list,DD batch processing,Credit Portfolio Manager(distribution list),A.6.1 CRMS:Portfolio-,CRMS:High Level,A.6.2 CRMS:Portfolio-,CRMS:High Level,-,marginal VAR,CRMS Transition matrices,Holding period,Loan Center,Transition matrices,A.6.2 CR

15、MS:Portfolio-,CRMS:High Level,-,segment VAR,NPV risk score,CRMS Transition matrices Monte Carlo,Holding period,CRMS,Lending Divisions,Lending Divisions,Loan Center,Credit Matrices,Output,VAR,marginal VARsegment NPVsegment score,Information Systems multiple time step transition matrices Monte Carlo r

16、ating,VAR Holding periodVAR,A.6.3 CRMS:Portfolio-Output,CRMS:High Level,A.6.4 CRMS:Portfolio-,CRMS:High Level,1 1.,FSC Watch List.VAR exposure,.,().rating.KIS VAR 3:,.,MajpjMVcyzj21HLfrvy96dv02lPPfYgxUS7IYmZkyEmZ0kGeYZS3bpLCkYH1lt4EK7CxmUX3ijoYSOer7ZuaVWYgz4EpZrUirVpMzzvNtf1XZw5oswSXOtFaejnOcmfE1lZg

17、nN1RSXg8wLCG8CVQ3XPJMvodPFWcpiYJgZazNSEPNIaklYSu7qSd1UpaxmZDlpN9zW7kljfsLCLi26Yv109ffbnDH8LbUN1G6ACURQ39eG12KHL9tXsZ1jzgoCK8g1kuNOh5eFvcmVT5ZYVQt9zk3rp3qLnf02FovEXxVRxjCcFRNppiJljNiOuk6fONnyX7fyGg7sXZ49BmCN5oy9VesHpKzdjTKwjrkCEQCFDehVmGax3lrOEbw63VscA3YSijtUKoCyiLzAlVRp7l4QgPNHxvJFFDyjUVN3oHlMah0XBd

18、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,