匯豐銀行的風險管理講義

CREDITRISKMANAGEMENT

信貸風險管理

HSBC匯豐銀行1CREDITCULTURE

信貸文化RiskaversegivenBank’shighgearingandthinmargin傾向低風險，由于銀行高負債和低利息差Propergoalsandmeasureswithcontrols適當?shù)哪繕撕痛胧┘翱刂芓heLinetakesprimary(orjoint)responsibilityofthecreditdecisions

前線部門對貸款決定負主要（或共同）責任BurdenofproofontheLine

證明應(yīng)貸款責任在于前線部門Neverfeelembarrassedtoask“dumb”questions不用擔心問“愚笨”的問題2CREDITRISKMANAGEMENT

信貸風險管理Prerequisite:先決條件Seniormanagement’ssupport(positiveintervention?)高層管理的支持（積極干預？）People(technicalcapability,integrityandinter-personalskills)人員（技術(shù)能力、人格和人際交往能力）OrganizationandSystem組織及系統(tǒng)

Attribute:特征Independent獨立性Nobottom-lineresponsibility沒有盈利責任Professional專業(yè)性Firmandfair堅定和公正3STRUCTUREANDAPPROVALPROCESS結(jié)構(gòu)和認證程序BoardofDirectors董事會行政總裁（總部）GHQCEOAPHCEO行政總裁（亞太區(qū)）AMHGM總經(jīng)理（香港及中國大陸）Line前線部門信貸總經(jīng)理GMCreditCCO首席信貸官HDCredit信貸部門主管Concurrence認同Approval審批Approval審批Approval審批CountryRisk/BankRisk國家風險/銀行風險MarketRisk/CreditRisk市場風險/信用風險MarketRisk/CreditRisk市場風險/信用風險Credit信用4ALTERNATIVES選擇CentralizedvsDecentralized集權(quán)/分權(quán)IndividualvsCommittee(compositionanddecisionmakingprocess)個人/委員會（債務(wù)組成及決策過程）

Factorstoconsider:需要考慮的因素

Individual/CollectiveDecision/Responsibility個人/集體決策/責任Seniormanagement’strust高層管理的信任Qualityofstaff(atcentreandintheline)員工的素質(zhì)（管理人員和一線職員）Specializationofstaff

員工專業(yè)化Effectivenessofinternalcontrolsystem內(nèi)部控制系統(tǒng)的功效Qualityofservice(e.g.turnaroundtime)服務(wù)的質(zhì)量（例如：報廢項目時間）Others(fraudpreventionetc.)其他（防范欺詐等）5StructureandAccountCycle

結(jié)構(gòu)及客戶信貸周期Policy/政策Approval審批RiskMonitoring風險監(jiān)督Recovery追償HeadofCRM信貸風險管理部Loans貸款Unhealthyloans不良貸款Review回顧Review回顧6CreditPolicy,GuidelinesandProceduresManual

信貸政策，指南及程序手冊Keybusinessobjectives主要業(yè)務(wù)目標StructureandResponsibility結(jié)構(gòu)及職責EconomicOutlook經(jīng)濟預期SectoralAnalysis行業(yè)分析BusinessStrategyandFocus業(yè)務(wù)戰(zhàn)略和重點RiskAssessmentandCreditAppetite風險評估和信貸偏好LendingGuidelines貸款指南CreditProducts,ProceduresandAdvice信貸產(chǎn)品、程序和建議

7CREDITPOLICY信貸政策Marketpositioningandriskappetite市場定位和風險偏好

Return回報

PrivateBank CommercialBank SubprimeLender

私人銀行商業(yè)銀行次級貸款人-Largecorporate大型企業(yè)-Middlemarket中端市場-Smallbusiness小型企業(yè)-Consumer消費者

Risk風險8MARKETSEGMENTATION–CREDITTOOLS市場細分—信貸工具CorporateBanking-Largecorporate-Judgemental(plusRating,KMV,MRA)公司金融-大型公司-主觀判斷（加評分，KMV,MRA)

CommercialBanking–Mediumsizedcorporate–Judgemental公司金融-中型企業(yè)-主觀判斷

BusinessBanking–Smallbusiness–Scoring商務(wù)理財-小型企業(yè)-評分

PersonalFinancialServices–Consumer–Scoring個人金融服務(wù)-消費者-評分

9DelinquencyRates,AllBanks,SA(USA)貸款不良率

美國所有銀行

0246810121491Q191Q392Q192Q393Q193Q394Q194Q395Q195Q396Q196Q397Q197Q398Q198Q399Q199Q300Q100Q301Q101Q3Residential*住房貸款Commercial*商業(yè)房地產(chǎn)貸款C&ILoans工商貸款TotalLoans&Leases貸款和租賃總額%10Charge-OffRates,AllBanks,SA(USA)沖銷率率所所有有銀行行美美國0.00.51.01.52.02.53.091Q191Q392Q192Q393Q193Q394Q194Q395Q195Q396Q196Q397Q197Q398Q198Q399Q199Q300Q100Q301Q101Q3Commercial*商業(yè)房房地產(chǎn)產(chǎn)貸款款C&ILoans工商貸貸款TotalLoans&Leases貸款及及租賃賃總額額%Residential*住房貸貸款11LoanQualityinHK香港地地區(qū)貸貸款質(zhì)質(zhì)量-10%-5%0%5%10%15%20%NPL%不良貸貸款比比例Creditcardcharge-offratio(annualised)年信用用卡沖沖銷比比例MortgageDelinquencyRate住房貸貸款不不良率率RealGDP(yearonyear%change)年實際際GDP變化率率12CREDITRISKASSESSMENT信貸風風險評評估CorporateandCommercialBanking公司金金融（（大大型和和中型型企業(yè)業(yè)）OperatingRisks運營風風險BorrowerGrade借款人人評級級FinancialRisks(includingProjection)(PD)財務(wù)風風險（（包括括財務(wù)務(wù)預測測）（（違約約機率率）AccountConduct來往狀狀況SecurityandFacilityStructure抵押品品、貸貸款結(jié)結(jié)構(gòu)及及評級級FacilityGrade設(shè)施評評級(Property+MarketableSecurities)（財產(chǎn)和和可交交易的的證券券）13SmallBusiness小型企企業(yè)Morevulnerabletoeconomicdownturn易受經(jīng)經(jīng)濟下下滑的的影響響Informationproblematic(lowfinancialtransparencyandreliability)信息問問題（（財務(wù)務(wù)信息息透明明度及及可信信度不不高））Highoperatingrisks(relativelyweakinmanagementskills)高運營營風險險（較較弱的的管理理能力力）CharacteristicsoftheScorecard記分卡卡的特特征Company’sfinancials公司財財務(wù)狀狀況Company’scredithistoryandbehavior公司信信用歷歷史和和表現(xiàn)現(xiàn)Company’sattributes(age,sector,sizeetc)公司司性性質(zhì)質(zhì)（（成成立立時時間間的的長長短短、、所所屬屬行行業(yè)業(yè)、、規(guī)規(guī)模模等等））Owner’’sscores公司司所所有有者者的的評評分分14英國國小小型型公公司司主主要要業(yè)業(yè)務(wù)務(wù)的的設(shè)設(shè)立立與與終終止止設(shè)立立千/每每季季度度終止止15Consumer消費費貸貸款款CriteriaBasedLending根據(jù)據(jù)準準則則所所進進行行的的信信貸貸Morecommonlyforsecuredproducts,e.g.mortgage,carloans,HPandloanssecuredbyliquidassets多用用于于擔擔保保產(chǎn)產(chǎn)品品，，例例如如：：住住房房貸貸款款、、汽汽車車貸貸款款、、租租賃賃及及用用流流動動資資產(chǎn)產(chǎn)擔擔保保的的貸貸款款Securitycoverage抵押押品品/貸貸款款比比例例Incomecoverage收入入/還還款款比比例例16MortgageLoanQuality(HK)香港地區(qū)住房貸款質(zhì)量1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%Dec-98Feb-99Apr-99Jun-99Aug-99Oct-99Dec-99Feb-00Apr-00Jun-00Aug-00Oct-00Dec-00Feb-01Apr-01Jun-01Aug-01Oct-01Dec-01Feb-02050100150200250300MortgageDelinquencyRate住房房貸貸款款不不良良率率Unemploymentrate失業(yè)業(yè)率率ResidentialPriceIndex(1989=100)(RHS)住房房價價格格指指數(shù)數(shù)（（以以1989年年為為100））17CreditCardQuality信用用卡卡質(zhì)質(zhì)量量3.00%4.00%5.00%6.00%7.00%8.00%9.00%Dec-98Mar-99Jun-99Sep-99Dec-99Mar-00Jun-00Sep-00Dec-00Mar-01Jun-01Sep-01Dec-01Mar-02-1,0002,0003,0004,0005,0006,0007,000No.ofBankruptcyPetitions破產(chǎn)產(chǎn)申申請請Creditcardcharge-offratio(annualised)年信信用用卡卡沖沖銷銷率率Unemploymentrate失業(yè)業(yè)率率BankruptcyPetitions(RHS)破產(chǎn)產(chǎn)申申請請（RHS)18Scoring評分分Rankordering分級級ApplicationandBehavioralScores申請請信信貸貸和和行行為為評評分分GenericandCustomizedScores通用用評評分分和和專專用用評評分分Creditcard,personalloans,etc信用用卡卡，，個個人人貸貸款款等等19CREDITRISKMONITORING信貸貸風風險險監(jiān)監(jiān)督督ManagementInformation管理信息息(CPAN,IBIS,REMIND,SCOPE,etc)Gradeclassification/migration評級分類類/變動動情況Scoredistribution/flowrate分值分布布/流動動率20PRICINGSTRATEGY定價戰(zhàn)略略1.Interestmargin:hurdlerates,e.g.bonds.利率邊際際：障礙礙率，例例如：債債券2.RORA:returnontheoverallrelationship總體關(guān)系系的回報報3.EP:costofcapital經(jīng)濟利潤潤：資本本成本Factorstoconsider:考慮因素素PD(Borrower’’sgrade)違約機率率LGD損失比率率Term年期Costofcapital資本成本本Competition競爭Businesspotential發(fā)展?jié)摿α?1DEBTRECOVERY(1)貸款收回回（1）Objective目標RiskvsRelationship風險或或關(guān)系系Strategy戰(zhàn)略RehabilitationORExit貸款康復復或退出22DEBTRECOVERY(2)貸款收回回(2)Workout-Factorsforsuccess債務(wù)重組組-成成功的的因素-legalsystem(SchemeofArrangement,IndividualVoluntaryArrangement,BankruptcyLaw)-法律體系系(債債務(wù)安排排計劃、、個人自自愿安排排、破產(chǎn)產(chǎn)法）-professionalsupport(lawyer,accountant,financialadvisor,assetsearchagent,debtcollector)-專業(yè)支持持（律律師、會會計師、、財務(wù)顧顧問、資資產(chǎn)搜尋尋代理、、債務(wù)追追償人））-customer––self-rescue(transparency,commitmentandcooperation)-客戶-自救救措施（（透明明、承擔擔與合作作）-multi-bank-supportive,expeditiousandequitable[theHongKongApproach]-多頭銀行行-支支持態(tài)度度、迅速速及公平平（香香港原則則）23DEBTRECOVERY(3)貸款收回回（3））Feedback回饋