抵押品評估和信用風險管理的含義(共44頁).ppt

1、Funding Cost資金成本資金成本Operating Cost運營成本運營成本Expected Loss (PD LGD) 預計損失預計損失Unexpected Loss非預期損失非預期損失 (Required Return Allocated Economic Capital)Value Added價值增加價值增加MARGIN利潤利潤價格價格PRICEBy reducing lossgiven default, thebank can reducethe margin without reducing value added. 通過降低違約損失，銀行可以降低利潤而不降低價值增加部分。E

2、L: Expected Loss預計損失PD: Probability of Default違約概率LGD: Loss Given Default違約損失率UL: Unexpected Loss非預期損失1 - PV at the default date of recoveries + PV of costs associated with collecting回收物在違約日的現(xiàn)值+會收的相關成本的現(xiàn)值EAD (Exposure at default)違約風險暴露WrongCollateralEvaluation錯誤的抵押品評估HigherWright-offs更高的壞帳核銷Capital

3、Waste資本浪費Higher LGDEstimation增高違約損失率HigherProvision更高的壞賬損失Lower Profits利潤更低PV: Present value現(xiàn)值EL: Expected Loss 預計損失PD: Probability of Default 違約概率LGD: Loss Given Default 違約損失率UL: Unexpected Loss 非預期損失Source: Collateral, Collateral Law and Collateral Substitutes, B. Balkenhol and H. Schutte,Social F

4、inance Programme, Working Paper No. 26, p17來源：抵押品，擔保法和擔保替代品Price B (2,450$/m)Price A (2,000$/m)Price C (1,900$/m)Weighted-averageof A and B (Price D)A和B的加權平均價格Unadjusted estimated Price E ($/m)?調整前價格Note: Each price points should not beseparated by a major street or river, which affect the price dif

5、ferences 注：每個價格點不能被主要街道或河流分割，這會影響價格150m50m70m30m(Price A 30) + (Price B 70)(Price D 150) + (Price C 50)Price D =70 + 30Price E =50 + 150= 2,315 ($/m) = 2,211 ($/m) Rent price B (320$/month)Rent price A (350$/month)Rent price C (360$/month)Weighted-averageof A and B (price D)A和B加權平均價格Estimated rent p

6、rice E估計E出租價 ($/month?)Note: Each price points should not beseparated by a major street or river, which affect the price differences每個價格不能被主要街道或河流分割，這會影響價格40m10m30m15mAnnual rent (maintenance cost + property taxes) 年租金-（維護成本+房產(chǎn)稅）PV= ( 1 + r )nPV: Present value現(xiàn)值Annual rent年租金 (33612)(maintenance cos

7、t維護成本 300)(Price D 40) + (Price C 10)(Price A 15) + (Price B 30)PV = ( 1+0.08 )tRent D =30 + 15Rent E =10 + 40= 330 ($/month) = 336 ($/month) t=1 10= 25,042 ($)PV: Present value現(xiàn)值Source: Understanding real estate values in a rising marketBrief Article, Gerald A. Bower, When the above legal issues ar

8、e involved, the price of the property coulddrop substantially. 注意：當涉及到以上法律問題時，房地產(chǎn)的價格可能會大幅降低*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p57, 92, 95*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p123Collater

9、alManagement抵押品管理CollateralManagementfor CRM抵押品管理SafeguardingtheEnforceability保護強制行使權Safe Custody/Collateral Book保管/抵押品登記冊Credit File信貸檔案 Record Keeping檔案記錄 Revaluation/Reappraisal against credit exposure根據(jù)信用風險再評估/再評價 Numbering/Tagging編號/標簽 Maturity Management到期管理 Renewal of security interest 更新?lián)＠?/p>

10、 Periodical check of inventory 定期實物檢查Source: Interagency Appraisal and Evaluation Guidelines, FDIC, 1994Borrower: ABC Trading Co. Internal Credit Score: 4B External: n/a As of: Mar 08借款方：ABC貿易公司， 內部編號：4B，外部：不適用，日期：3月8日Thousand $Note: Fire insurance policy for collateralized building may be kept sepa

11、rately in orderby expiration date because of the importance of the expiration date management.注意：擔保建筑物的火災保險書應該按照期滿日單獨排列，因為管理保險到期日很重要。Note: When accepting and returning collateral, receipt should be issued to and received from the borrower by the bank, which should indicate concerned goods and documents in detail:type, number/quantity, date, with signature. 注意：當接受和歸還抵押品時，應該交給和收回借款方收條，收條上應該寫明相關物品和文件的明細：種類，數(shù)字/數(shù)量，日期，簽名*Based on: Law in a Nutshell: Secured transactions, Richard B. Hagedorn, Thomson West, 2007, p320-323*Based on: Law in a Nutshell: Secured tran