FRM二级基础班培训讲义：信用风险测量与管理（打印版）.docx

PCreditRiskMeasurementand卜Management,83.i3.：2-203乌业®llQTopicWeightingsinFRMPartIISessionNO.Contents%Session1MarketRiskMeasurementandManagement20Session2CreditRiskMeasurementandManagement20Session3OperationalRiskandResiliency20Session4LiquidityandTreasuryRiskMeasurementandManagement15Session5RiskManagementandInvestmentManagement15Session6CurrentIssuesinFinancialMarket10FrameworkIntroductionofCreditRiskCreditDecisionandCreditAnalystKeyCreditRiskIndicatorsCreditRiskMeasurementProbabilityofDefaultCreditExposuresCounterpartyRiskCapitalStructureinBanksCreditRiskManagementMitigationofCounterpartyRiskCreditDerivativesSecuritizationRetailBankingRiskManagement4-203MSV!>.IntroductionofCreditRiskTopic1:CreditDecisionandCreditAnalyst1.CreditDecision5-2032.CreditAnalystM亚OK“CreditDecisionCreditRiskThedefaultofacounterpartyonafundamentalfinancialobligation.Anincreasedprobabilityofdefault.AhigherthanexpectedlossseverityarisingfromeitheralowerthanexpectedrecoveryorahigherthanexpectedexposureatthetimeofdefaultThedefaultofacounterpartywithrespecttothepaymentoffundsforgoodsorservicesthathavealreadybeenadvanced(settlementrisk).FourPrimaryComponentsofCreditRiskEvaluationTheobligorrscapacityandwillingnesstoRepay.Theexternalconditions.Theattributesofobligationfromwhichcreditriskarises.Thecreditriskmitigants.尊曲®*tsCreditDecisionCreditAnalysisTechniquesQualitativeCreditAnalysisTechniques-WillingnesstoRepayCharacterandreputationofaprospectiveborrower.Creditrecordofaprospectiveborrower.QuantitativeCreditAnalysisTechniques-AbilitytoRepayEvaluatingthecapabilityofanentitytoperformitsfinancialobligationsthroughacloseexaminationofnumericaldataderivedfromitsmostrecentandpastfinancialstatementsforms.7-203M业倒舞IMCreditDecisionCategoriesofCreditAnalysisFormostindividuals,factorssuchasaperson'snetworth,salary,assets,reputation,andcreditscoreareusedasfundamentalcriteria.Fornonfinancialfirms,liquidity,cashflowtogetherwithearningscapacityandprofitability,capitalposition(solvency),stateoftheeconomy,andstrengthoftheindustryareused.Forfinancialfirms,bank-specificmeasuressuchascapitaladequacy,assetquality,andthebank'sabilitytowithstandfinancialstressmustbeconsidered.Theimportanceofassetquality.Theomissionofcashflowasakeyindicator.BankInsolvencyvs.BankFailureInsolventbankscankeepgoingonandonsolongastheyhaveasourceofliquidity.8-203MW6NfiIMExercise1HBrentGulickracreditanalystwithHomeTownBankrisconsideringtheloanapplicationofasmall,localcardealership.ThedealershiphasbeensolelyownedbyBobJusticeformorethan20yearsandsellsthreebrandsofAmericanautomobiles.Becauseoftherurallocation,mostofthecarssoldinthepastbythedealershiphavebeenlargepick-uptrucksandsportsutilityvehicles.However,saleshavedeclined,andgasolinepriceshavecontinuedtoincrease.Asaresult,Justiceisconsideringsellingalineofhybridcars.JusticehasborrowedfromHomeTownBankbeforebutcurrentlydoesnothaveabalanceoutstandingwiththebank.WhichofthefollowingstatementsisnotoneofthefourcomponentsofcreditanalysisGulickshouldbeevaluatingwhenperformingthecreditanalysisforthispotentialloan?Exercise1A.Thebusinessenvironment,competition,andeconomicclimateintheregion.B.Justice'scharacterandpastpaymenthistorywiththebank.C.Thecardealership'sbalancesheetsandincomestatementsforthelastfewyearsaswellasJustice'spersonalfinancialsituation.D.ThefinancialhealthofJustice'sfriendsandfamilywhocouldbecalledupontoguaranteetheloan.10-203Answer:DMWMfi!Exercise2RichardMarshallFRM,isaratingagencyanalystwhoiscurrentlyperformingfinancialstatementanalysisonam¾orbank.Whichofthefollowingfinancialstatementswouldbeleastusefulforbankcreditanalysis?A.Balancesheet.B.Incomestatement.C.Statementofcashflows.D.Statementofchangesincapitalfunds.11-203Answer:CMW/em!«CreditAnalystCreditAnalysis:ToolsandMethodsQuantitativeElementsInvolvesthecomparisonoffinancialindicatorsandratios.Moreamenabletostatisticaltechniquesandautomation.NominallyobjectiveQualitativeElementsConcernsthoseattributesthataffecttheprobabilityofdefault,butwhichcannotbedirectlyreducedtonumbers.Consequently,theevaluationofsuchattributesmustbeprimarilyamatterofjudgment.Reliesheavilyonanalystsperceptions,experiencejudgment,reasoning,andintuition.Nominallysubjective.CreditAnalysis:ToolsandMethodsResearchSkillsPrimaryresearchskillsincludedetailedanalysisofauditedfinancialstatementsforseveralyearstogetherwithannualreportsandrecentinterimfinancialstatements.Secondaryresearchskillsinvolveusingtheresearchpublishedbyothers(e.g.4ratingagencies).SourcesofInformationusedbyCreditAnalystAnnualreports;Interimfinancialstatements;Financialdatasources;Newsservices;Ratingagencyre