信用风险管理与抵押品评估.ppt

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1、Collateral Evaluation and Credit Risk Management抵押品评估与信用风险管理.1.Why is Collateral Evaluation Important?1.Why is Collateral Evaluation Important?为什么抵押品评估重要 为什么抵押品评估重要2.Types of Collateral and Regulatory Pitfalls 2.Types of Collateral and Regulatory Pitfalls 抵押品种类和法规缺陷 抵押品种类和法规缺陷3.Evaluation of Collate

2、ral(Real Estate)3.Evaluation of Collateral(Real Estate)抵押品评估（房产）抵押品评估（房产）4.Evaluation of Collateral(Other Assets)4.Evaluation of Collateral(Other Assets)抵押品评估（其他资产）抵押品评估（其他资产）5.Protection of Collateral 5.Protection of Collateral 抵押品保护 抵押品保护Creation of Security Interest Creation of Security Interest

3、担保利益的创立 担保利益的创立Perfection of Security Interest Perfection of Security Interest 担保利益的完善 担保利益的完善6.Collateral Management 6.Collateral Management 抵押品管理 抵押品管理Collateral Management for Credit Risk Management Collateral Management for Credit Risk Management 信用风险管理 信用风险管理中的抵押品管理 中的抵押品管理Safeguarding the Enfo

4、rcement Safeguarding the Enforcement 维护强制执行 维护强制执行7.Enforcement of Collateral 7.Enforcement of Collateral 抵押品的强制执行 抵押品的强制执行8.Extinguishing Security Interest in Collateral 8.Extinguishing Security Interest in Collateral 抵押品利益的终止 抵押品利益的终止Contents 目录1.Why is Collateral Evaluation Important?为什么抵押品评估很重要？

5、Why is Collateral Evaluation Important?为什么抵押品评估很重要？n n The more accurate the evaluation,the more enhanced credit risk The more accurate the evaluation,the more enhanced credit risk management in place.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 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 n n Large actual loan los

6、s exceeding the estimated LGD could lead to a Large actual loan loss exceeding the estimated LGD could lead to a serious depletion of banks equity capital.serious depletion of banks equity capital.实际贷款损失如果大大超过预计的违 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。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

7、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PRICEBy reducing lossgiven default,thebank can reducethe 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:Los

8、s 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n n LGD is estimated from default-weighted average loss rate during a LGD is estimated from default-weighted average loss rate during a certain time period.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

9、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n n Loss rate is given by:Loss rate is given by:损失率计算方法 损失率计算方法n n To reduce average loss rate,banks need to collect on the default To reduce average loss rate,banks need to collect on the default exposure exposure as much as as much as and and as fast as as fast as possi

10、ble.possible.为了降低平均损失率，银行应该尽 为了降低平均损失率，银行应该尽快收回尽量多的资产。快收回尽量多的资产。n n If a bank does not properly estimate collateral values,the collection If a bank does not properly estimate collateral values,the collection upon default would become smaller and take a longer period of time,upon default would become

11、 smaller and take a longer period of time,leading to a depletion of capital and lower profits.leading to a depletion of capital and lower profits.如果银行不能准确估计抵押品 如果银行不能准确估计抵押品价值，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。价值，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。1-PV at the default date of recoveries+PV of co

12、sts associated with collecting回收物在违约日的现值+会收的相关成本的现值EAD(Exposure at default)违约风险暴露WrongCollateralEvaluation错误的抵押品评估HigherWright-offs更高的坏帐核销Capital Waste资本浪费Higher LGDEstimation增高违约损失率HigherProvision更高的坏账损失Lower Profits利润更低PV:Present value 现值Role of Collateral in Financial Intermediation I抵押品在金融中介活动中的

13、作用 In n Collateral stabilizes financial intermediation Collateral stabilizes financial intermediation 抵押品稳定金融中介活动 抵押品稳定金融中介活动n n Collateral better aligns interests of the lender and borrower Collateral better aligns interests of the lender and borrower because:because:抵押品更好的使出借方和借用方的利益达成一致 抵押品更好的使出借

14、方和借用方的利益达成一致n n The lender can maximize the safety of repayment The lender can maximize the safety of repayment 出借方可以使收回借款的可 出借方可以使收回借款的可能性最大化 能性最大化n n The borrower will minimize the risk taking The borrower will minimize the risk taking 借用方可以使承担的风险最小化 借用方可以使承担的风险最小化n n Without collateral Without co

15、llateral 如果没有抵押品 如果没有抵押品:n n The lender will solely rely on borrowers cash-flow generated by the The lender will solely rely on borrowers cash-flow generated by the project(business)for the repayment.project(business)for the repayment.出借方只能依靠借用方项目（营业）产生的 出借方只能依靠借用方项目（营业）产生的现金流来偿债 现金流来偿债n n The borro

16、wer tends to take more risks in the project(business),which The borrower tends to take more risks in the project(business),which may cause instability in generating cash-flow.may cause instability in generating cash-flow.借用方会承担项目（营业）更大 借用方会承担项目（营业）更大的风险，这会导致无法生产足够的现金流 的风险，这会导致无法生产足够的现金流n n There wil

17、l be more vulnerable banks and more risky businesses in the There will be more vulnerable banks and more risky businesses in the economy,otherwise,resulting in economy,otherwise,resulting in shallow financial intermediation shallow financial intermediation.经济环 经济环境中会产生更危险的银行和更有风险的行业，这样也会缩减金融中介活动。境中会

18、产生更危险的银行和更有风险的行业，这样也会缩减金融中介活动。Role of Collateral in Financial Intermediation II抵押品在金融中介活动中的作用 IIn n Lender Lender 出借方 出借方(specifically)(specifically)n n Encourage willingness of payment to reduce PL.Encourage willingness of payment to reduce PL.鼓励出借方进行借款降低损失 鼓励出借方进行借款降低损失n n Substitute the repayment

19、s to reduce LGD.Substitute the repayments to reduce LGD.代替还款降低违约损失率 代替还款降低违约损失率n n Protects against borrowers over-borrowing.Protects against borrowers over-borrowing.保护出借方不至于过度借债 保护出借方不至于过度借债n n Borrower Borrower 借用方 借用方(specifically)(specifically)n n Access to credit Access to credit:let borrowers

20、 monetize their illiquid assets to raise funds:let borrowers monetize their illiquid assets to raise funds 获 获得融资：借用方可以抵押他们的非现金资产来获取资金 得融资：借用方可以抵押他们的非现金资产来获取资金n n Cost of Credit Cost of Credit:potentially reduce funding costs for the lower EL calculated:potentially reduce funding costs for the lower

21、 EL calculated by the lender by the lender 融资成本：潜在的降低了融资成本，因为出借方计算出的预计损失较低 融资成本：潜在的降低了融资成本，因为出借方计算出的预计损失较低n n Overcoming asymmetric information problems Overcoming asymmetric information problems:access to funds even in a:access to funds even in a financially difficult time,or even without audited f

22、inancial reports financially difficult time,or even without audited financial reports 解决了信息不对 解决了信息不对称问题：即是财务困难时期，或者没有审计后的财务报表，也可以获得融资 称问题：即是财务困难时期，或者没有审计后的财务报表，也可以获得融资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2.Types of Collateral and Reg

23、ulatory Pitfalls抵押品种类和法规缺陷What is Collateral?什么是抵押品q q Under Under modern collateral law systems modern collateral law systems,collateral can be any asset,collateral can be any asset which produces future cash flow directly or indirectly,and can be which produces future cash flow directly or indirec

24、tly,and can be created by any lender and borrower,in any present or future assets created by any lender and borrower,in any present or future assets and in all transactions,to substitute payments for a part or the entire and in all transactions,to substitute payments for a part or the entire outstan

25、ding debt upon default.outstanding debt upon default.在现代担保法体系中，抵押品可以是 在现代担保法体系中，抵押品可以是任何直接或间接产生现金流的资产，也可以是由任何出借方和借用方 任何直接或间接产生现金流的资产，也可以是由任何出借方和借用方创造出来的，在违约时用现有或将来的资产以及交易中代替偿还部分 创造出来的，在违约时用现有或将来的资产以及交易中代替偿还部分或全部借款 或全部借款q q Under Under unreformed collateral law systems unreformed collateral law syste

26、ms,there would be various,there would be various constraints on asset types eligible for collateral,on persons or legal constraints on asset types eligible for collateral,on persons or legal persons qualified to collateral agreements,or on the enforceability persons qualified to collateral agreement

27、s,or on the enforceability of some collateral,due to the lack of efficacy and integrity of the of some collateral,due to the lack of efficacy and integrity of the system.system.在创新性的担保法体系中，由于系统缺乏有效性和不统一，在创新性的担保法体系中，由于系统缺乏有效性和不统一，其中有很多对抵押品资产形式，可以签署担保合同的个人和法人，或 其中有很多对抵押品资产形式，可以签署担保合同的个人和法人，或者是对抵押品的强制性

28、实权的限制条件 者是对抵押品的强制性实权的限制条件Collateral Laws and Collateral Types担保法和抵押品种类n n Collateral Law Collateral Law 担保法 担保法n n Independent and comprehensive Independent and comprehensive“collateral law”is rare:generally“collateral law”is rare:generally collateral law is a system which is collateral law is a sys

29、tem which is constituted by several relevant laws constituted by several relevant laws and regulations.and regulations.独立和综合的担保法很 独立和综合的担保法很少见：通常担保法由一些相关法律和法 少见：通常担保法由一些相关法律和法规组成 规组成n n Extent of collateral Extent of collateral 抵押品范围 抵押品范围n n After-acquired property After-acquired property 事后取得的财产 事

30、后取得的财产n n Proceeds Proceeds 收益 收益n n Supporting obligation Supporting obligation 相关义务 相关义务n n Unmovable Collateral Unmovable Collateral 不动抵押物 不动抵押物n n Real Property:Land and Building Real Property:Land and Building 房地 房地产：土地和建筑物 产：土地和建筑物n n Plant and Equipment Plant and Equipment 车间和设备 车间和设备n n Natu

31、ral Reserves Natural Reserves 自然资源 自然资源n n Timber to be cut Timber to be cut 待采伐的木材 待采伐的木材n n Goods Goods 物品 物品n n Consumer goods Consumer goods 消费品 消费品n n Farm products Farm products 农产品 农产品n n Inventory Inventory 存货 存货n n Equipment Equipment 设备 设备n n Fixtures Fixtures 固定设备 固定设备n n Accessions Acces

32、sions 添加物 添加物n n Intangibles Intangibles 无形资产 无形资产n n Negotiable instrument Negotiable instrument 流通票据 流通票据n n Document of title Document of title 物权凭证 物权凭证n n Investment property Investment property 投资财产 投资财产n n Account(book debt Account(book debt）应收款）应收款n n General Intangibles General Intangibles

33、一般无形资产 一般无形资产n n Other kinds of collateral Other kinds of collateral 其他抵押品 其他抵押品n n Deposit accounts Deposit accounts 存款帐户 存款帐户n n Life insurance policy/health-care Life insurance policy/health-care insurance receivable insurance receivable 人生保险 人生保险/应收健康 应收健康保险金 保险金Source:Collateral,Collateral Law

34、and Collateral Substitutes,B.Balkenhol and H.Schutte,Social Finance Programme,Working Paper No.26,p17 来源：抵押品，担保法和担保替代品3.Evaluation of Collateral(Real Estate)抵押品评估（不动产）Principles of Collateral Evaluation抵押品评估原则1.1.Collateral evaluation is not to find an accurate,unique price,but to Collateral evaluat

35、ion is not to find an accurate,unique price,but to find a price and logic which are realistic,practical,and acceptable find a price and logic which are realistic,practical,and acceptable by by ordinary ordinary market participants.market participants.抵押品评估并不是为了寻找一种精 抵押品评估并不是为了寻找一种精确的，唯一的价格，而是找到一个合理的

36、、实际的、能够被普通的 确的，唯一的价格，而是找到一个合理的、实际的、能够被普通的市场参与者接受的价格和方法。市场参与者接受的价格和方法。2.2.Evaluate collateral on the basis of the market value rather than Evaluate collateral on the basis of the market value rather than book value.book value.抵押品的评估是依据市场价值而非帐面价值 抵押品的评估是依据市场价值而非帐面价值3.3.Apply the most conservative eval

37、uation method.Apply the most conservative evaluation method.采取最保守的评 采取最保守的评估方法 估方法4.4.If possible,collateral property should be located within a distance If possible,collateral property should be located within a distance bank officers can take frequent visits.bank officers can take frequent visits.

38、如果可能，担保资产应该放 如果可能，担保资产应该放在银行人员可以经常看得到的地方 在银行人员可以经常看得到的地方5.5.Watch the market price if its rising fast:a price bubble may be Watch the market price if its rising fast:a price bubble may be developing.developing.如果市场价格增长很快，那么小心市场价格，可能存 如果市场价格增长很快，那么小心市场价格，可能存在价格泡沫。在价格泡沫。Basics of Land Collateral Evalu

39、ation土地抵押品评估基础n n Step 1:Estimate a price par square meter/feet either by:Step 1:Estimate a price par square meter/feet either by:估计每平 估计每平方米 方米/英尺价格方法：英尺价格方法：(1)(1)The sales comparison approach The sales comparison approach 市场比较法 市场比较法(2)The income capitalization approach(mainly for lease propertie

40、s)(2)The income capitalization approach(mainly for lease properties)收益还原法（主要用于出租场地）收益还原法（主要用于出租场地）(3)The cost approach(in case of houses and buildings)(3)The cost approach(in case of houses and buildings)成本法（用 成本法（用于房屋和建筑物）于房屋和建筑物）n n Step 2:Adjust the price by factors unique to the real estate Step

41、 2:Adjust the price by factors unique to the real estate 用房地 用房地产业独有的因素来调节价格 产业独有的因素来调节价格(1)Usage of the property(1)Usage of the property 房地产的用途 房地产的用途(2)Trends of real estate price(2)Trends of real estate price 房地产价格趋势 房地产价格趋势(3)Conditions of the property/nature of the surrounding area(3)Conditions

42、 of the property/nature of the surrounding area 房地产 房地产的环境 的环境/附近地区的自然状况 附近地区的自然状况(4)Legal issues(4)Legal issues 法律问题 法律问题Sales Comparison Approach市场比较法n n If recent transactions or sells prices for the similar real estate are If recent transactions or sells prices for the similar real estate are av

43、ailable in the city,town or village,the sales comparison approach available in the city,town or village,the sales comparison approach provides good estimates.provides good estimates.如果可以获得所在城市、城镇或乡村最近同类房地产的交 如果可以获得所在城市、城镇或乡村最近同类房地产的交易或销售价格，那么市场比较法可以提供很好的预测。易或销售价格，那么市场比较法可以提供很好的预测。Price B(2,450$/m)Pr

44、ice A(2,000$/m)Price C(1,900$/m)Weighted-averageof A and B(Price D)A 和B 的加权平均价格Unadjusted estimated Price E($/m)?调整前价格Note:Each price points should not beseparated by a major street or river,which affect the price differences 注：每个价格点不能被主要街道或河流分割，这会影响价格150m50m70m30m(Price A 30)+(Price B 70)(Price D 1

45、50)+(Price C 50)Sales Comparison Approach:Example 市场比较法：举例n n Evaluate the land price E.Evaluate the land price E.估计土地 估计土地E E 价格 价格n n Three recent real estate transactions around E.Three recent real estate transactions around E.最近 最近E E 的附近有三个交易 的附近有三个交易n n A:$2,000,B:$2,450,and C:$1,900 A:$2,000,

46、B:$2,450,and C:$1,900n n On the map,locate price D between A and B On the map,locate price D between A and B 在地图上找到 在地图上找到A A 和 和B B 之间的价格 之间的价格D Dn n Distances between these points are:Distances between these points are:这些地点的距离 这些地点的距离n n A-D:70m,D-B:30m,D-E:50m,and C-E 150m.A-D:70m,D-B:30m,D-E:50m

47、,and C-E 150m.n n Then dollar price par square meter of E will be:E Then dollar price par square meter of E will be:E 的每平方米价格是 的每平方米价格是Price D=70+30Price E=50+150=2,315($/m)=2,211($/m)Income Capitalization 收益还原法 In n Find a geographically weighted-average rent price per unit of land in Find a geogra

48、phically weighted-average rent price per unit of land in the same way before.the same way before.和市场比较法一样，找到每单位土地的加权平 和市场比较法一样，找到每单位土地的加权平均出租价格 均出租价格Rent price B(320$/month)Rent price A(350$/month)Rent price C(360$/month)Weighted-averageof A and B(price D)A 和B 加权平均价格Estimated rent price E 估计E 出租价($/

49、month?)Note:Each price points should not beseparated by a major street or river,which affect the price differences每个价格不能被主要街道或河流分割，这会影响价格40m10m30m15mn n Calculate the present value of the rent income for the certain future Calculate the present value of the rent income for the certain future period.

50、period.计算将来一短时间内的租金收入的现值 计算将来一短时间内的租金收入的现值n n Income capitalization approach using rents may be used in a situation Income capitalization approach using rents may be used in a situation where a loan officer knows the property concerned has a certain value where a loan officer knows the property conc