毕博上海银行咨询CreditRisk_Presentation_May2002.pptVIP

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毕博上海银行咨询CreditRisk_Presentation_May2002.ppt

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Introduction: Challenges in Implementing Credit Risk Models in Asia Data issue Historical portfolio information often not available Applicability of external data is (highly) questionable Quality of data is highly questionable Case Study:A Credit Risk System (Credit Risk) Design for a Large Chinese Bank May 2002 Key Drivers of the Project Strategic Considerations Strategic Considerations Strategic Considerations Strategic Considerations Credit Risk Project Deliverables Credit Risk Solution Prototype Credit Risk Prototype Solutions Credit Risk Module 1：Data Capture System (DCS) (cont’d) Capture of Obligor Data Sample Credit Risk Module 1：Data Capture System (DCS) (cont’d) Credit Risk Prototype Solutions Sample DCS derives cash flow statement from historical balance sheet and income statement and able to generate ratio analysis. Credit Risk Prototype Solutions Credit Risk Module 2：Credit Risk Data Store Sample Integrated and comprehensive credit risk database to support query and research analysis. Credit Risk Prototype Solutions Credit Risk Module 3：Internal Rating Based Models Empirical model development process： Select Transform Mine Analysis Select Data Transform Data Assess and Develop Data Pattern Develop Data Analysis Model Credit Risk Prototype Solutions Credit Risk Module 3：Internal Rating-Based Models Sample Empirical model development and testing. Credit Risk Prototype Solutions Credit Risk Module 3：Internal Rating-Based Models Sample The project finance cash flow simulation model. Credit Risk Prototype Solutions Credit Risk Module 4：Unexpected Loss Model Unexpected loss portfolio economic capital calculation. Sample Credit loss distribution Unexpected loss at 99% confidence interval Exceptional loss beyond 99% confidence interval Credit VaR at 99% confidence interval Portfolio average loss Return Portfolio Exposure Portfolio Avg. Loss Portfolio Loss Prob. Credit Risk Prototype Solutions Credit Risk Module 5：Decision Support System (DSS) Cr