毕博上海银行咨询Final Deliverables technicalfinal2.pptVIP

kpmg Hanvit Bank * Draft Confidential to Hanvit Bank CRMS Project Table of Contents 1 Executive Summary 2 CRMS Project Review 3 CRMS Project Commercial Process Improvements 4 HAVICS System Overview 5 HAVICS System Technical Components 5.1 Rating Methodology Overview 5.2 Rating Decision Support Parameters 5.3 Pricing Methodology Overview 5.4 Pricing Decision Support Parameters 5.5 Limits Methodology Overview 5.6 Limits Decision Support Parameters Hanvit Pricing Model Development Documentation Purpose The purpose of the pricing model is to accomplish the following: Provide a way for Hanvit to record deal information and use this information to analyze potential loans Supply Hanvit with a method to create loan scenarios (i.e., run an analysis with specific data but do not necessarily save the data to the CRMS database). These scenarios will either be discarded or saved on a per user basis and not necessarily connected to a borrower in the CRMS database Use the module to track loans/deals over an extended period of time Afford Hanvit’s policy makers information to set appropriate policies governing the system Hanvit Pricing Model Development Documentation Methodology The module calculates a loan’s value by computing the net present value (NPV) of its expected, credit-risk-adjusted cash flows. Alternatively, the Bank may use the model in determining pricing at which the loan provides NPV=0 (This spread measures the amount of credit risk in a loan). A few parameters are simplified to both decrease complexity and make the model function quickly: Payments are made quarterly No pre-payments are assumed Quarterly time base - no flow rate used - no backward recursion necessary NPV Algorithm User Inputs Borrower Rating Facility Structure Facility Pricing Model Output Loan NPV Model Assumptions Transition Matrixes Credit Premiums Discount Rates Expense Ratios Recovery Rates Hanvit Pricing Model Development Documentation Methodology (continued) The