chapter11- n y u stern schoolof business（chapter11 u - n y斯特恩学院业务）（24页）.docx

chapter11- n y u stern schoolof business（chapter11 u - n y斯特恩学院业务）（24页）.docx

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ChapterEleven

CreditRisk:

IndividualLoanRisk

ChapterOutline

Introduction

CreditQualityProblemsTypesofLoans

·CommercialandIndustrialLoans

·RealEstateLoans

·Individual（Consumer）Loans

·OtherLoans

TheReturnonaLoan

·TheContractuallyPromisedReturnonaLoan

·TheExpectedReturnonaLoan

RetailversusWholesaleCreditDecisions

·Retail

·Wholesale

MeasurementofCreditRiskDefaultRiskModels

·QualitativeModels

·Borrower-SpecificFactors

·Market-SpecificFactors

·CreditScoringModels

NewerModelsofCreditRiskMeasurementandPricing

·TermStructureDerivationofCreditRisk

·MortalityRateDerivationofCreditRisk

·RAROCModels

·OptionModelsofDefaultRisk

Summary

Appendix11A:

CashFlowAnalysisandFinancialRatiosUsedtoAnalyzeCommercialLoans

·CashFlowAnalysis

·CommonSizeAnalysisandGrowthRates

0

Appendix11B:

CreditMetrics

·RatingMigration

·Valuation

·CalculationofVAR

·CapitalRequirements

Appendix11C:

CreditRisk+

·TheFrequencyDistributionofDefaultRates

22

SolutionsforEnd-of-ChapterQuestionsandProblems:

ChapterEleven

1.Whyiscreditriskanalysisanimportantcomponentofbankriskmanagement?

WhatrecentactivitiesbyFIshavemadethetaskofcreditriskassessmentmoredifficultforbothbankmanagersandregulators?

Creditriskmanagementisimportantforbankmanagersbecauseitdeterminesseveralfeaturesofaloan:

interestrate,maturity,collateralandothercovenants.Riskierprojectsrequiremoreanalysisbeforeloansareapproved.Ifcreditriskanalysisisinadequate,defaultratescouldbehigherandpushabankintoinsolvency,especiallyifthemarketsarecompetitiveandthemarginsarelow.

Creditriskmanagementhasbecomemorecomplicatedovertimebecauseoftheincreaseinoff-balance-sheetactivitiesthatcreateimplicitcontractsandobligationsbetweenprospectivelendersandbuyers.Creditrisksofsomeoff-balance-sheetproductssuchasloancommitments,options,andinterestrateswaps,aredifficulttoassessbecausethecontingentpayoffsarenotdeterministic,makingthepricingoftheseproductscomplicated.

2.Differentiatebetweenasecuredandanunsecuredloan.Whobearsmostoftheriskinafixed-rateloan?

Whywouldbankersprefertochargefloatingrates,especiallyforlonger-maturityloans?

Asecuredloanisbackedbysomeofthecollateralthatispledgedtothelenderintheeventofdefault.Alenderhasrightstothecollateral,whichcanbeliquidatedtopayallorpartoftheloan.Inafixed-rateloan,thelenderoftheloanbearstheriskofinterestratechanges;ifinterestratesrise,theopportunitycostoflendingishigher.Ifinterestratesfall,thenthelenderbenefits.Sinceitishardertopredictlonger-termrates,FIsprefertochargefloatingratesforlonger-termbondsandpasstherisksontotheborrower.

3.Howdoesaspotloandifferfromaloancommitment?

Whataretheadvantagesanddisadvantagesofborrowingthroughaloancommitment?

Aspotloaninvolvestheimmediatetakedownoftheloanamountbytheborrower,whilealoancommitmentallowsaborrowertheoptiontotakedowntheloananytimeduringafixedperiodatapredeterminedrate.Thiscanbeadvantageousduringperiodsofrisingratesinthattheborrowercanborrowasneededatapredeterminedrate.Iftheratesdecline,theborrowercanborrowfromothersources.Thedisadvantageisthecost:

anup-frontfeeisrequiredinadditiontoaback-endfeefortheunusedportionofthecommitment.

4.WhyiscommerciallendingdeclininginimportanceintheU.S.?

Whateffectdoesthedeclinehaveonoverallcommerciallendingactivities?

Commercialbanklendinghasbeendeclininginimportancebecauseofdisintermediation,aprocessinwhichcustomersareabletoaccessfinancialmarketsdirectlysuchasinissuingcommercialpaper.ThetotalamountofcommercialpaperoutstandingintheU.S.hasgrowndramaticallyoverthelastdecade.Historically,onlythemostcreditworthyborrowershadaccess

thecommercialpapermarket,butmoremiddle-marketfirmsandfinancialinstitutionsnowhaveaccesstothismarket.Asaconsequenceofthisgrowth,thepoolofborrowersavailabletobankershasbecomesmallerandriskier.Thismakesthecreditassessmentandmonitoringofloansmoredifficult.

5.Whataretheprimarycharacteristicsofresidentialmortgageloans?

Whydoestheratioofadjustableratemortgagestofixed-ratemortgagesintheeconomyvaryovertheinterestratecycle?

Whenwouldtheratiobehighest?

Residentialmortgagescontractsdifferinsize,theratiooftheloanamounttothevalueoftheproperty,thematurityoftheloan,therateofinterestoftheloan,andwhethertheinterestrateisfixedoradjustable.Inaddition,mortgageagreementsdifferintheamountoffees,commissions,d