Selected Slides 04A -- Credit Transformation and Credit Risk

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

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INS 3650 / 5550 FINS 3650 / 5550 International Banking Semester 2, 2011 Dr Bruce R Arnold bruce.arnold@unsw.edu.au Re: FINSXX50 z3121234 [Topic]
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redit Transformation Credit Transformation / Credit Risk
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redit Exposures Credit Exposures orm of e posure Form of exposure loans, club loans, and syndicated loans; finance leases nes of credit and revolving lines of credit lines of credit and revolving lines of credit letters of credit and performance bonds ounterparty exposures counterparty exposures Channels of origination direct brokered ndicated or club syndicated or club How is the exposure repaid?
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Regulating Credit Risk
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he Regulatory Framework The Regulatory Framework APS 220 Credit Quality PS 112 tandardised Approach APS 112 Standardised Approach 8% Tolerable Failure Rate APS 113 IRB Approach oundation s Advanced Foundation vs . Advanced APS 221 Large Exposures
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PS 220 redit Quality APS 220 — Credit Quality Credit risk management system estimate credit risk monitor credit quality provide for estimated future credit losses entify impaired credits identify impaired credits realise collateral (if any) and write down losses
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PS 112 tandardised APS 112 — Standardised DI must apply risk eights according to credit rating grade ADI must apply risk-weights according to credit rating grade: 1 — 0% (triple nd double ) 0% 2 (triple- and double-A) — 20% 3 (single-A) — 50% 5 (triple double ) 00%
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Selected Slides 04A -- Credit Transformation and Credit...

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