美国银行经济资本培训全球企业及投资银行业务部风险管理组合.pptVIP

Macroeconomic-based Loss Forecast Model--GCIB Risk Management Overview 概述 Overview 概述 New Environment—One Forecast Opinion 新的环境—预测角度的看法 Provide CEO, CFO, and Chief Risk Officer with an alternative to Line-of-Business forecasts除业务线预测之外，向首席执行官、财务总监和风险总监提供另一个选择 Forecasting based on a single view of the economy 根据对经济的单一看法进行预测 Ability to run numerous simulation and sensitivity analyses 能够进行大量的模拟和敏感性分析 Synchronized loan and interest income forecasts with Corporate Treasury. 贷款和利息收入预测与集团司库部同步。 Objective目标 The main objective is to produce a forecast of the asset quality mix as well as credit loss associated with the Commercial loans, taking into account the following factors:主要目标是在考虑以下因素的前提下，提供与个人信用卡有关的信用损失预测： Underlying macroeconomic indicators相关的宏观经济指标 The banking industry credit environment银行业的信用环境 Migration of bank’s loans along the risk rating spectrum (including Non- Performing status and Charge-offs)银行贷款沿信用评级档自低向高的变动（包括“不良”状态和撇账） Models Produced for Commercial Products 开发用于商业产品的模型 Macroeconomic-based loss forecast models have been developed (for combined Bank of America and Fleet legacy portfolios): 已经开发基于宏观经济的损失预测模型（针对美国银行和 Fleet 两家公司合并前的组合）： Legacy GCIB portfolio—Risk Management portfolio 合并前的 GCIB 组合—风险管理组合 Legacy Middle Market Banking—Commercial Banking Regions 合并前的中间市场金融业务—各商业银行业务区 Legacy Middle Market Banking—Mid Capital Corporation 合并前的中间市场金融业务—中间资本公司 Total Commercial excl. Small Business (not in production) 除小型企业外的所有商业银行业务（尚未投入使用） Main Components of the Loss Model损失模型的主要组成部分 Loss Forecast Process 损失预测流程 Credit Cycle Index (CCI)信用周期指数 (CCI) CCI indicates the credit state of the financial market as a wholeCCI反映金融市场的总体信用状况 The Index is designed to be:指数的设计原则 “Positive”, for good times, indicating lower levels of downgrading and defaults, and a higher upgrading probability, than average 在景气好的时期，指数为“正”，表明与平均水平相比，信用等级降低和违约处于较低水平，信用等级升高的可能性较高 “Negative”, for bad times, implying higher levels of downgrading and defaults, and a lower upgrading pr