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Continuing Evolution Of Credit Portfolio Management In A Bank文档.ppt

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Continuing Evolution Of Credit Portfolio Management In A Bank文档

New Developments in Credit Risk Management Dr. Michel Crouhy Bank Loan Portfolios Banks originate and hold loan exposures that are a function of their geography and industry expertise. As a result, they hold concentrated credit risk. Credit portfolios have become increasingly more concentrated in less creditworthy obligors. This situation has made banks more vulnerable in economic downturns (2001-2002): Disintermediation of banks that started in the 70s continues today: IG firms are less likely to borrow from banks Regulatory rules induce banks to extend credit to lower-credit quality obligors. Changes in the Approach to Credit Originate to Sell Model Credit Portfolio Management Four Primary Portfolio Actions Distribute loans through primary syndication to desired hold level Reduce loan exposures by selling down, securitizing or hedging concentrated loan positions with credit default swaps Focus first on high risk obligors, particularly those that are leveraged in market value terms and experience high volatility of returns Simultaneously, sell or hedge low risk, low return loan assets Adopting Credit Asset Management Strategies Portfolio Strategies that focus on adding credit exposures are Emerging within banks in two ways: Credit Asset Management Designing cash and synthetic portfolios of credit risk purchased and managed on a leveraged and unlevered basis with access to all credit asset classes selecting best relative value investments with a long term investment horizon Credit Trading / Relative Value Acquiring and trading synthetic credit portfolios by selling protection on a leveraged basis with access primarily to investment grade credit default swaps selecting the best relative value trades with a short term trading horizon Credit Asset Management StrategiesInvesting In Credit (cont’d) Basel II Basel II and Active Portfolio Management require the same: Historical data to calibrate key inputs, i.e., PDs, LGDs, EADs. IT infrastructure. But, the