信用风险管理与抵押品评估.ppt
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1、Collateral Evaluation and Credit Risk Management抵押品评估与信用风险管理.1.Why is Collateral Evaluation Important?1.Why is Collateral Evaluation Important?为什么抵押品评估重要 为什么抵押品评估重要2.Types of Collateral and Regulatory Pitfalls 2.Types of Collateral and Regulatory Pitfalls 抵押品种类和法规缺陷 抵押品种类和法规缺陷3.Evaluation of Collate
2、ral(Real Estate)3.Evaluation of Collateral(Real Estate)抵押品评估(房产)抵押品评估(房产)4.Evaluation of Collateral(Other Assets)4.Evaluation of Collateral(Other Assets)抵押品评估(其他资产)抵押品评估(其他资产)5.Protection of Collateral 5.Protection of Collateral 抵押品保护 抵押品保护Creation of Security Interest Creation of Security Interest
3、担保利益的创立 担保利益的创立Perfection of Security Interest Perfection of Security Interest 担保利益的完善 担保利益的完善6.Collateral Management 6.Collateral Management 抵押品管理 抵押品管理Collateral Management for Credit Risk Management Collateral Management for Credit Risk Management 信用风险管理 信用风险管理中的抵押品管理 中的抵押品管理Safeguarding the Enfo
4、rcement Safeguarding the Enforcement 维护强制执行 维护强制执行7.Enforcement of Collateral 7.Enforcement of Collateral 抵押品的强制执行 抵押品的强制执行8.Extinguishing Security Interest in Collateral 8.Extinguishing Security Interest in Collateral 抵押品利益的终止 抵押品利益的终止Contents 目录1.Why is Collateral Evaluation Important?为什么抵押品评估很重要?
5、Why is Collateral Evaluation Important?为什么抵押品评估很重要?n n The more accurate the evaluation,the more enhanced credit risk The more accurate the evaluation,the more enhanced credit risk management in place.management in place.对抵押品的评估越是准确,信贷风险的管理的准确性就越高 对抵押品的评估越是准确,信贷风险的管理的准确性就越高 n n Large actual loan los
6、s exceeding the estimated LGD could lead to a Large actual loan loss exceeding the estimated LGD could lead to a serious depletion of banks equity capital.serious depletion of banks equity capital.实际贷款损失如果大大超过预计的违 实际贷款损失如果大大超过预计的违约损失率会导致银行的自有资本严重损耗。约损失率会导致银行的自有资本严重损耗。Funding Cost 资金成本Operating Cost
7、运营成本Expected Loss(PD LGD)预计损失Unexpected Loss 非预期损失(Required Return Allocated Economic Capital)Value Added 价值增加MARGIN 利润价格PRICEBy reducing lossgiven default,thebank can reducethe margin without reducing value added.通过降低违约损失,银行可以降低利润而不降低价值增加部分。EL:Expected Loss 预计损失PD:Probability of Default 违约概率LGD:Los
8、s Given Default 违约损失率UL:Unexpected Loss 非预期损失Why is Collateral Evaluation Important?为什么抵押品评估很重要n n LGD is estimated from default-weighted average loss rate during a LGD is estimated from default-weighted average loss rate during a certain time period.certain time period.违约损失率可以通过一段时间内的加权平均违约损失率估计出来
9、违约损失率可以通过一段时间内的加权平均违约损失率估计出来n n Loss rate is given by:Loss rate is given by:损失率计算方法 损失率计算方法n n To reduce average loss rate,banks need to collect on the default To reduce average loss rate,banks need to collect on the default exposure exposure as much as as much as and and as fast as as fast as possi
10、ble.possible.为了降低平均损失率,银行应该尽 为了降低平均损失率,银行应该尽快收回尽量多的资产。快收回尽量多的资产。n n If a bank does not properly estimate collateral values,the collection If a bank does not properly estimate collateral values,the collection upon default would become smaller and take a longer period of time,upon default would become
11、 smaller and take a longer period of time,leading to a depletion of capital and lower profits.leading to a depletion of capital and lower profits.如果银行不能准确估计抵押品 如果银行不能准确估计抵押品价值,违约后能够收回的价值就降低了,所需要的时间也更长,导致资本损耗了利润降低。价值,违约后能够收回的价值就降低了,所需要的时间也更长,导致资本损耗了利润降低。1-PV at the default date of recoveries+PV of co
12、sts associated with collecting回收物在违约日的现值+会收的相关成本的现值EAD(Exposure at default)违约风险暴露WrongCollateralEvaluation错误的抵押品评估HigherWright-offs更高的坏帐核销Capital Waste资本浪费Higher LGDEstimation增高违约损失率HigherProvision更高的坏账损失Lower Profits利润更低PV:Present value 现值Role of Collateral in Financial Intermediation I抵押品在金融中介活动中的
13、作用 In n Collateral stabilizes financial intermediation Collateral stabilizes financial intermediation 抵押品稳定金融中介活动 抵押品稳定金融中介活动n n Collateral better aligns interests of the lender and borrower Collateral better aligns interests of the lender and borrower because:because:抵押品更好的使出借方和借用方的利益达成一致 抵押品更好的使出借
14、方和借用方的利益达成一致n n The lender can maximize the safety of repayment The lender can maximize the safety of repayment 出借方可以使收回借款的可 出借方可以使收回借款的可能性最大化 能性最大化n n The borrower will minimize the risk taking The borrower will minimize the risk taking 借用方可以使承担的风险最小化 借用方可以使承担的风险最小化n n Without collateral Without co
15、llateral 如果没有抵押品 如果没有抵押品:n n The lender will solely rely on borrowers cash-flow generated by the The lender will solely rely on borrowers cash-flow generated by the project(business)for the repayment.project(business)for the repayment.出借方只能依靠借用方项目(营业)产生的 出借方只能依靠借用方项目(营业)产生的现金流来偿债 现金流来偿债n n The borro
16、wer tends to take more risks in the project(business),which The borrower tends to take more risks in the project(business),which may cause instability in generating cash-flow.may cause instability in generating cash-flow.借用方会承担项目(营业)更大 借用方会承担项目(营业)更大的风险,这会导致无法生产足够的现金流 的风险,这会导致无法生产足够的现金流n n There wil
17、l be more vulnerable banks and more risky businesses in the There will be more vulnerable banks and more risky businesses in the economy,otherwise,resulting in economy,otherwise,resulting in shallow financial intermediation shallow financial intermediation.经济环 经济环境中会产生更危险的银行和更有风险的行业,这样也会缩减金融中介活动。境中会
18、产生更危险的银行和更有风险的行业,这样也会缩减金融中介活动。Role of Collateral in Financial Intermediation II抵押品在金融中介活动中的作用 IIn n Lender Lender 出借方 出借方(specifically)(specifically)n n Encourage willingness of payment to reduce PL.Encourage willingness of payment to reduce PL.鼓励出借方进行借款降低损失 鼓励出借方进行借款降低损失n n Substitute the repayment
19、s to reduce LGD.Substitute the repayments to reduce LGD.代替还款降低违约损失率 代替还款降低违约损失率n n Protects against borrowers over-borrowing.Protects against borrowers over-borrowing.保护出借方不至于过度借债 保护出借方不至于过度借债n n Borrower Borrower 借用方 借用方(specifically)(specifically)n n Access to credit Access to credit:let borrowers
20、 monetize their illiquid assets to raise funds:let borrowers monetize their illiquid assets to raise funds 获 获得融资:借用方可以抵押他们的非现金资产来获取资金 得融资:借用方可以抵押他们的非现金资产来获取资金n n Cost of Credit Cost of Credit:potentially reduce funding costs for the lower EL calculated:potentially reduce funding costs for the lower
21、 EL calculated by the lender by the lender 融资成本:潜在的降低了融资成本,因为出借方计算出的预计损失较低 融资成本:潜在的降低了融资成本,因为出借方计算出的预计损失较低n n Overcoming asymmetric information problems Overcoming asymmetric information problems:access to funds even in a:access to funds even in a financially difficult time,or even without audited f
22、inancial reports financially difficult time,or even without audited financial reports 解决了信息不对 解决了信息不对称问题:即是财务困难时期,或者没有审计后的财务报表,也可以获得融资 称问题:即是财务困难时期,或者没有审计后的财务报表,也可以获得融资EL:Expected Loss 预计损失PD:Probability of Default 违约概率LGD:Loss Given Default 违约损失率UL:Unexpected Loss 非预期损失2.Types of Collateral and Reg
23、ulatory Pitfalls抵押品种类和法规缺陷What is Collateral?什么是抵押品q q Under Under modern collateral law systems modern collateral law systems,collateral can be any asset,collateral can be any asset which produces future cash flow directly or indirectly,and can be which produces future cash flow directly or indirec
24、tly,and can be created by any lender and borrower,in any present or future assets created by any lender and borrower,in any present or future assets and in all transactions,to substitute payments for a part or the entire and in all transactions,to substitute payments for a part or the entire outstan
25、ding debt upon default.outstanding debt upon default.在现代担保法体系中,抵押品可以是 在现代担保法体系中,抵押品可以是任何直接或间接产生现金流的资产,也可以是由任何出借方和借用方 任何直接或间接产生现金流的资产,也可以是由任何出借方和借用方创造出来的,在违约时用现有或将来的资产以及交易中代替偿还部分 创造出来的,在违约时用现有或将来的资产以及交易中代替偿还部分或全部借款 或全部借款q q Under Under unreformed collateral law systems unreformed collateral law syste
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