风险计量参考公式.ppt

PPT课件 * 415. The elements to be taken as indications of unlikeliness to pay include: The bank puts the credit obligation on non-accrued status. The bank makes a charge-off or account-specific provision resulting from a significant perceived decline in credit quality subsequent to the bank taking on the exposure.[2] The bank sells the credit obligation at a material credit-related economic loss. The bank consents to a distressed restructuring of the credit obligation where this is likely to result in a diminished financial obligation caused by the material forgiveness, or postponement, of principal, interest or (where relevant) fees.[3] The bank has filed for the obligor’s bankruptcy or a similar order in respect of the obligor’s credit obligation to the banking group. The obligor has sought or has been placed in bankruptcy or similar protection where this would avoid or delay repayment of the credit obligation to the banking group. 417. For retail exposures, the definition of default can be applied at the level of a particular facility, rather than at the level of the obligor. As such, default by a borrower on one obligation does not require a bank to treat all other obligations to the banking group as defaulted. * The segmentation process identified in FSA Guidance, CP189 paragraph: 3.161 typically involves the following: Split by product type (see slide 26) Split between scored and unscored portfolios Split by application/behaviour scores Split by PD bands Spilt by risk characteristics such as delinquency status, account, age, etc. * LGD definition - Must reflect periods of high credit loss in a particular product or portfolio Definition of loss for LGD is economic versus accounting loss. Includes estimate of direct and indirect collection workout costs, and all cash flows must be discounted to the date of default  A bank must establish a discount rate that reflects the time value of money and the opportunity cost of funds to apply to recoveries and c