Second, the Basel Accord.
Third, comprehensive risk management.
Risk management goal: financial institutions maximize profits under capital constraints.
Risk management system: an organic whole composed of culture, organization, process, policy and technology;
Characteristics of risk management: comprehensiveness, initiative, combination of qualitative and quantitative, lean and combination.
Fourth, portfolio management.
Portfolio management is the core concept of total risk management. Through the management of credit assets in multiple combination dimensions such as industry, product, region, term and customer base, the risk of bank credit concentration can be reduced and the benefits can be maximized under the controllable risk.
Under the condition of capital constraint, it is a problem to be solved in portfolio management to realize the established goals of financial institutions through resource allocation and asset structure adjustment.
The basic idea is to improve the capital allocation of high-quality asset portfolio and reduce the capital allocation of inferior asset portfolio, and dynamically allocate resources through five links: customer segmentation, evaluation mechanism, cause analysis, measure design and monitoring system, so as to adjust the asset structure and realize the established business objectives.
Evaluation mechanism:
The core indicators of portfolio management are risk-adjusted return on capital (RAROC) and economic added value (EVA), among which
RAROC= (total revenue-operating cost-capital cost-risk cost (or expected loss))/economic cost
RAROC depends on risk cost and economic capital, and is a function of default probability (PD), loss given default (LGD), default risk exposure (EAD) and term (M), which are the core indicators of IRB in the New Capital Accord.
Core idea: Quantify the foreseeable future losses caused by risks into the current cost of banks, and adjust the current profits of financial institutions, so as to measure the efficiency of capital use, make profits linked to the risks undertaken, and unify with the ultimate profit target of institutions.
EVA= total revenue-operating cost-capital cost-risk cost-capital occupation fee (or economic capital * expected rate of return of economic capital)
Non-revolving credit, EAD= current risk exposure.
Revolving credit, EAD= on-balance sheet risk exposure +CCF off-balance sheet risk exposure (CCF is the credit risk conversion coefficient);
Default risk includes not only loan balance, but also interest, overdue penalty interest, handling fee and other arrears.
Cause analysis:
Measurement design:
By analyzing the reasons, the right medicine is given; Common measures: market promotion, cash withdrawal discount (credit card), installment discount (credit card) and other means to increase income, and reduce risk cost and economic capital by raising customer access threshold, quota control, customer repayment and adjusting collection strategy.
Monitoring system:?
Approval dimensions: number of incoming materials, pass rate, average quota, approval amount and rejection reason;
Concentration dimension: customer number, customer proportion, loan balance and loan balance proportion;
Risk indicator dimensions: loan balance, overdue amount, non-performing amount, overdue rate, non-performing rate, new write-off amount, write-off rate and new provision;
Collection dimensions: overdue amount, bad amount, write-off amount, recovered amount, bad resolution rate, M0 amount, M 1 amount, M0-M 1 rolling rate, M 1-M2 rolling rate;
Dimensions of operation management: loan balance, total income, operating cost, capital cost, risk cost, economic cost, RAROC, EVA.
Verb (abbreviation of verb) client terminal management
In terms of customer management, the overall risk management system relies on risk measurement model, risk policy, information system and monitoring system, and is divided into customer introduction management, existing customer management and overdue customer management.
Customer introduction management: differentiated pricing strategy (customer cost, economic capital difference), customer acquisition strategy (default probability model is application score and capital adjustment rate of return), and quota management strategy; Its strategy implementation depends on application model, initial quota model and so on. With the examination and approval system as the carrier, the customer introduction standard is defined in the form of examination and approval policy, and the customer's passing, credit line, risk and income are monitored through the monitoring system, and the customer introduction management strategy is adjusted in time.
Stock customer management: including sub-loan customer marketing, credit line promotion, credit card bill installment, etc. , designed with behavior model, behavior income model, market response model and adjustment response model, implemented with decision engine and loan management system as carriers, and continuously optimized inventory management strategy by monitoring customers' risks and benefits.
Overdue customer management: overdue collection, increasing the proportion of payment with limited cost; Use the default model of loss given, that is, the collection score, to formulate the differentiated collection strategy. It can include collection strategies based on aging management, customer feature segmentation or models.
Note: The development of measurement model is highly dependent on data. The new capital accord requires that the development of default probability model and exposure at default model should have at least 5 years of historical data, while the development of a given default model should have 7 years of data; At the same time, the data should be consistent, complete and accurate, and the requirements for data quality are also very high.