文档介绍：Collateral Evaluation and Credit Risk Management 抵押品评估与信用风险管理
1. Why is Collateral Evaluation Important? 为什么抵押品评估重要
2. Types of Collateral and Regulatory Pitfalls 抵押品种类和法规缺陷
3. Evaluation of Collateral (Real Estate) 抵押品评估(房产)
4. Evaluation of Collateral (Other Assets) 抵押品评估(其他资产)
5. Protection of Collateral 抵押品保护
Creation of Security Interest 担保利益的创立
Perfection of Security Interest 担保利益的完善
6. Collateral Management 抵押品管理
Collateral Management for Credit Risk Management 信用风险管理中的抵押品管理
Safeguarding the Enforcement 维护强制执行
7. Enforcement of Collateral 抵押品的强制执行
8. Extinguishing Security Interest in Collateral 抵押品利益的终止
Contents目录
Why is Collateral Evaluation Important?为什么抵押品评估很重要?
Why is Collateral Evaluation Important?为什么抵押品评估很重要?
The more accurate the evaluation, the more enhanced credit risk 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
Large actual loan loss exceeding the estimated LGD could lead to a serious depletion of bank’s equity capital. 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。
Funding Cost资金成本
Operating Cost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PRICE
By reducing loss
given default, the
bank can reduce
the 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: Loss 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
LGD is estimated from default-weighted average loss rate during a 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
Loss rate is given by: 损失率计算方法
To reduce average loss rate, banks need to collect on the default exposure as much as and as fast as ,银行应该尽快收回尽量多的资产。
If a bank does not properly estimate collateral values, the collection upon default would e smaller and take a longer period of time, leading to a depletion of capital and lower ,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。
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PV at t