Selected Slides 04A -- Credit Transformation and Credit Risk

Selected Slides 04A -- Credit Transformation and Credit...

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FINS 3650 / 5550 International Banking Semester 2, 2011 Dr Bruce R Arnold [email protected] Re: FINSXX50 z3121234 [Topic]
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Credit Transformation / Credit Risk
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Credit Exposures Form of e posure Form of exposure loans, club loans, and syndicated loans; finance leases lines of credit and revolving lines of credit letters of credit and performance bonds counterparty exposures Channels of origination di t direct brokered syndicated or club How is the exposure repaid?
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Regulating Credit Risk
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The Regulatory Framework d l APS 220 Credit Quality APS 112 Standardised Approach 8% Tolerable Failure Rate APS 113 IRB Approach Foundation vs Advanced . Advanced APS 221 Large Exposures
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APS 220 Credit Quality APS 220 — Credit Quality d k Credit risk management system estimate credit risk monitor credit quality l provide for estimated future credit losses identify impaired credits realise collateral (if any) and write down losses
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APS 112 Standardised APS 112 — Standardised ADI must apply risk eights according to credit rating grade ADI must apply risk-weights according to credit rating grade: 1 — 0% 2 (triple and double A) 20% 2 (triple- and double-A) — 20% 3 (single-A) — 50% 4 5 (triple B double B) 100% 4,5 (triple-B, double-B) — 100% 6 (single-B and lower) — 150% unrated 100% unrated — 100% residential mortgage loans: LVR 80% — 35% credit con ersion factors (CCFs) credit conversion factors (CCFs) credit risk mitigation (CRM) and netting
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APS 113 IRB APS 113 — IRB l d d k
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