FRM二级基础班培训讲义：信用风险测量与管理（打印版）.docx

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1、PCreditRiskMeasurementand卜Management,83.i3.：2-203乌业llQTopicWeightingsinFRMPartIISessionNO.Contents%Session1MarketRiskMeasurementandManagement20Session2CreditRiskMeasurementandManagement20Session3OperationalRiskandResiliency20Session4LiquidityandTreasuryRiskMeasurementandManagement15Session5RiskManag

2、ementandInvestmentManagement15Session6CurrentIssuesinFinancialMarket10FrameworkIntroductionofCreditRiskCreditDecisionandCreditAnalystKeyCreditRiskIndicatorsCreditRiskMeasurementProbabilityofDefaultCreditExposuresCounterpartyRiskCapitalStructureinBanksCreditRiskManagementMitigationofCounterpartyRiskC

3、reditDerivativesSecuritizationRetailBankingRiskManagement4-203MSV!.IntroductionofCreditRiskTopic1:CreditDecisionandCreditAnalyst1.CreditDecision5-2032.CreditAnalystM亚OK“CreditDecisionCreditRiskThedefaultofacounterpartyonafundamentalfinancialobligation.Anincreasedprobabilityofdefault.Ahigherthanexpec

4、tedlossseverityarisingfromeitheralowerthanexpectedrecoveryorahigherthanexpectedexposureatthetimeofdefaultThedefaultofacounterpartywithrespecttothepaymentoffundsforgoodsorservicesthathavealreadybeenadvanced(settlementrisk).FourPrimaryComponentsofCreditRiskEvaluationTheobligorrscapacityandwillingnesst

5、oRepay.Theexternalconditions.Theattributesofobligationfromwhichcreditriskarises.Thecreditriskmitigants.尊曲*tsCreditDecisionCreditAnalysisTechniquesQualitativeCreditAnalysisTechniques-WillingnesstoRepayCharacterandreputationofaprospectiveborrower.Creditrecordofaprospectiveborrower.QuantitativeCreditAn

6、alysisTechniques-AbilitytoRepayEvaluatingthecapabilityofanentitytoperformitsfinancialobligationsthroughacloseexaminationofnumericaldataderivedfromitsmostrecentandpastfinancialstatementsforms.7-203M业倒舞IMCreditDecisionCategoriesofCreditAnalysisFormostindividuals,factorssuchasapersonsnetworth,salary,as

7、sets,reputation,andcreditscoreareusedasfundamentalcriteria.Fornonfinancialfirms,liquidity,cashflowtogetherwithearningscapacityandprofitability,capitalposition(solvency),stateoftheeconomy,andstrengthoftheindustryareused.Forfinancialfirms,bank-specificmeasuressuchascapitaladequacy,assetquality,andtheb

8、anksabilitytowithstandfinancialstressmustbeconsidered.Theimportanceofassetquality.Theomissionofcashflowasakeyindicator.BankInsolvencyvs.BankFailureInsolventbankscankeepgoingonandonsolongastheyhaveasourceofliquidity.8-203MW6NfiIMExercise1HBrentGulickracreditanalystwithHomeTownBankrisconsideringtheloa

9、napplicationofasmall,localcardealership.ThedealershiphasbeensolelyownedbyBobJusticeformorethan20yearsandsellsthreebrandsofAmericanautomobiles.Becauseoftherurallocation,mostofthecarssoldinthepastbythedealershiphavebeenlargepick-uptrucksandsportsutilityvehicles.However,saleshavedeclined,andgasolinepri

10、ceshavecontinuedtoincrease.Asaresult,Justiceisconsideringsellingalineofhybridcars.JusticehasborrowedfromHomeTownBankbeforebutcurrentlydoesnothaveabalanceoutstandingwiththebank.WhichofthefollowingstatementsisnotoneofthefourcomponentsofcreditanalysisGulickshouldbeevaluatingwhenperformingthecreditanaly

11、sisforthispotentialloan?Exercise1A.Thebusinessenvironment,competition,andeconomicclimateintheregion.B.Justicescharacterandpastpaymenthistorywiththebank.C.ThecardealershipsbalancesheetsandincomestatementsforthelastfewyearsaswellasJusticespersonalfinancialsituation.D.ThefinancialhealthofJusticesfriend

12、sandfamilywhocouldbecalledupontoguaranteetheloan.10-203Answer:DMWMfi!Exercise2RichardMarshallFRM,isaratingagencyanalystwhoiscurrentlyperformingfinancialstatementanalysisonamorbank.Whichofthefollowingfinancialstatementswouldbeleastusefulforbankcreditanalysis?A.Balancesheet.B.Incomestatement.C.Stateme

13、ntofcashflows.D.Statementofchangesincapitalfunds.11-203Answer:CMW/em!CreditAnalystCreditAnalysis:ToolsandMethodsQuantitativeElementsInvolvesthecomparisonoffinancialindicatorsandratios.Moreamenabletostatisticaltechniquesandautomation.NominallyobjectiveQualitativeElementsConcernsthoseattributesthataff

14、ecttheprobabilityofdefault,butwhichcannotbedirectlyreducedtonumbers.Consequently,theevaluationofsuchattributesmustbeprimarilyamatterofjudgment.Reliesheavilyonanalystsperceptions,experiencejudgment,reasoning,andintuition.Nominallysubjective.CreditAnalysis:ToolsandMethodsResearchSkillsPrimaryresearchs

15、killsincludedetailedanalysisofauditedfinancialstatementsforseveralyearstogetherwithannualreportsandrecentinterimfinancialstatements.Secondaryresearchskillsinvolveusingtheresearchpublishedbyothers(e.g.4ratingagencies).SourcesofInformationusedbyCreditAnalystAnnualreports;Interimfinancialstatements;Financialdatasources;Newsservices;Ratingagencyre