毕博上海银行咨询CreditRiskMgmtSysAnalyticsRatingtrainingFSSSimulation

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1、Risk Rating 99/9/172Overview of Risk Rating ModulePrincipal Objectives The principal audience of this document is the Hanvit Bank Credit Planning Dept in advance of the required FSS rating system simulation.This document may also serve as the basis for initial Credit Officer training and documentati

2、on to support the FSS request for rating methodology submission.Specifically,the purpose of the rating model design effort is:Design a standardized,effective risk rating system for the commercial loan portfolio based on FSS Guidelines and International Best Banking PracticesDetermine risk ratings fo

3、r the majority of the portfolio,leading to conclusions about the level of credit risk in the portfolioCalculate and support the analysis of the adequacy of loan loss provisionsRisk Rating Module rating system .,rating .Rating model :*Best Practice risk rating *risk rating *3To Reach These Objectives

4、 To achieve the objectives of the rating system,the Credit Planning Dept.needs to have an understand how ratings are created.Additionally,the FSS rating system simulation is necessary to demonstrate the effectiveness of the rating methodology.Specific steps up through and including the simulation:KP

5、MG,KIS and Hanvit Bank Management are working together to complete the design of the risk rating methodology,process and toolsHanvit Bank personnel will be trained in the use of the draft rating systemThe risk rating system will be simulated with an initial rating review as follows Rate an initial s

6、ample of borrowers and their facilities Calculate and compare loan provisions from the new rating system against the previous systemOverview of Risk Rating ModuleRisk Rating Module Rating System rating .rating system rating .:*KPMG,risk rating,*rating system *rating review risk rating system -system

7、 rating system 4Methods to Design the Risk Rating ProcessThe 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 subjective risk ratings d

8、efinitionsDetermine 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 manualRisk Rating :*rating *default risk risk ra

9、ting *Risk Rating *default modeling ,*rating ,*5Tools of the Rating ProcessRisk 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 calculations.Ri

10、sk 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 GuidanceRating Risk Rating-.,default rate Risk Rating -rating risk rating :-Risk Rating -Risk Rating -6Risk Rating Methodo

11、logy1)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 not encompassed i

12、n the risk ratings or that warrant additional attentionThe 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 7Risk Rating Me

13、thodologyThe 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 any.Based on facili

14、ty 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 loss,corresponds

15、to the product of the two concepts of default and loss in the event of default.Borrower Grade12345678910 Facility Info1 2345678910 Facility GradeAdjusts for LIED Virtually no riskHigher risk of defaultVery little risk of lossDefinite risk of losswithgivesRisk Rating rating default risk Risk rating.D

16、efault risk .,default default .rating rating.Default .rating default default .8Risk Rating MethodologyIndividual ratings are assigned by groupings determined through the average EDF and category description from S&P rating equivalents.Risk Grade12345678910+-+-+-+-+-Standard&PoorsEquivalentsS&P One Y

17、earAverage EDFAAA to AA-to BBB+BBB to BBB-BB+to BBDescriptionSuperiorExcellentBB-to B+B to B-CCC+CCCCCC-StrongAbove AverageAcceptableGenerally AcceptableSpecial MentionSubstandardDoubtfulLoss20%0.02%0.12%0.25%0.85%2.25%7.50%15%75%100%DRisk Rating EDF S&P rating 9Credit Rating Structure Scoring Judge

18、ment Credit Rating.Rating,Data,Default Distance Scoring Judgement +*Model (10),*,*10 Merton Approach:()(Default)Asset ValueD*:Default Distance*:Multiflier*:*:*:Cash Flow e(0+1*CDD+2*GDD+3*NF1)1+e(0+1*CDD+2*GDD+3*NF1)*:Probability of Default*:Company Default Distance*:Group Default Distance*:Non-Fina

19、ncial Factors*:Equation Intercept&Weights*:ExponentialDDkAVD CFPD CDDGDDNFeDD kPD =CF Merton Model ,(Default).DD(Default Distance).Data .Asset Value DebtTime100%70%Asset valueis volatileAsset valuebecomes deficientBorrowerdefaultsModel 11Model DD(Default Distance)(%)0.350.400.000.100.150.200.250.308

20、90.051234756 DD .*:87 97 6,000,DD DD DD Scoring 83%Merton Model 12Model Scoring*Cash Flow DD*DD 25110987643Cash Flow 3.242.69Model 1.782.05Model Default Distance 1.35%Default Distance 13*,*()*()*:,*:,*2311056789 4 .14 Scoring Judgement 3-ScoringJudgementCredit Rating 94+1231067845 *Scoring Judgement Credit Rating Credit Rating()15FINAL BORROWER RATING DOCUMENTATIONBorrower Number219168 3-,.3 3 .