金融风险chapter 3 credit risk management(ppt 85)资料文档.pptVIP

Chapter 3 Credit Risk Management 1.Introduction to Credit Risk Management 2.Credit analysis and credit risk measuring: Traditional approach 3.Credit analysis and credit risk measuring: Modern approaches 4.Managing credit risk: General framework and Traditional (individual) approach 5.Managing credit risk:Modern ( portfolio) approach 4.Managing Credit Risk: System, contracting, and modern risk mitigation 1. Introduction to Credit Risk Management 1.1 Definition and forms 1.2 Nature and Characteristics 1.3 Measurement 1.4 Management Strategies, and Instruments 1.5 History and Regulation 1.6 Traditional CRM vs. Modern CRM 1.1 Definition and forms Broadly defined, credit risk is the risk that a counterparty will fail to perform an obligation to the FI,or, a change in the credit quality of a counterparty will affect the value of an FI’s position. Default risk Counterparty risk Credit migration risk Credit event risk Settlement risk,(partly due to credit risk) Sovereign risk Credit risk facing… Lenders: default risk, loan revaluation risk Bond holders: rating change(credit migration) risk Traders of derivatives, equity and others: counterparty risk and settlement risk What cause credit risk? Factors affecting the capability of borrowers: cash flow from different sources: Factors affecting the willingness of borrowers Does credit risk refer to the type which borrowers refuse to repay money due to legal (contract) reason, ownership reason, or fraud reason and other non-economic reason…? Information asymmetry and incentive (agency) problem will worsen the situation a: agency problem between lender and borrower b: agency problem between management and shareholder 1.2 Nature and Characteristics Counterparty risk, firm-specific (unsystematic) risk — Diversification and avoiding concentration is important principle of credit risk management. Information Asymmetry and Moral hazard — People-and-system-focused internal control plays important ro