金融机构管理Chap011.ppt

* k is the promised gross return of = direct fees (origination fees) BR= base rate m= risk premium b= Compensating balance RR = Reserve Rate Note that the text displays 1+ E(r) = p(1+k) + (1-p)0 but this simplifies to the form displayed above. * CHAPTER 11 Credit Risk: Individual Loan Risk Copyright ? 2011 by The McGraw-Hill Companies, Inc. All Rights Reserved. McGraw-Hill/Irwin Overview This chapter discusses types of loans, and the analysis and measurement of credit risk on individual loans Important for purposes of: Pricing loans and bonds Setting limits on credit risk exposure Credit Quality Problems Problems with junk bonds, LDC loans, and residential and farm mortgage loans Late 1990s, credit card and auto loans Crises in other countries such as Argentina, Brazil, Russia, and South Korea 2006-2007: Mortgage delinquencies and subprime loans Emphasizes importance of managing credit risk Web Resources For further information on credit ratings visit: Moody’s Standard Poors Credit Quality Problems Over the early to mid 1990s, improvements in NPLs for large banks and overall credit quality Late 1990s and early 2000s: Telecom companies, tech companies Mid 2000s, economic growth accompanied by reduction in NPLs Mortgage crisis, Countrywide Increased emphasis on credit risk evaluation Nonperforming Asset Ratio for U.S. Commercial Banks Types of Loans CI loans: Secured and unsecured Syndication Spot loans, loan commitments Decline in CI loans originated by commercial banks and growth in commercial paper market Downgrades of Ford, General Motors, and Tyco Effect of financial crisis on commercial paper market RE loans: Primarily mortgages Fixed-rate, ARM Mortgages can be subject to default risk when loan-to-value declines ARMs: Share of Total Loans Closed, 1992-2009 Consumer Loans Individual (consumer) loans: personal, auto, credit card Nonrevolving loans Automobile, mobile home, personal loans Growth in credit card debt Visa, MasterCard Proprietary cards such