Christian Langkamp. Corporate Credit Risk. Management

Transcription

1 Reihe: Finanzierung, Kapitalmarkt und Banken Band 89 Herausgegeben von Prof. Dr. Hermann Locarek-Junge, Dresden, Prof. Dr. Klaus Röder, Regensburg, und Prof. Dr. Mark Wahrenburg, Frankfurt Christian Langkamp Corporate Credit Risk Management m

2 1 Introduction 1.1 Questions of credit risk management Methodology of the thesis Summary of credit management literature Main findings Structure of the text 10 2 Methodology Interview description Case-study research methodology Definition and goal of case study Methodology of case study research Potential traps Criteria to evaluate the developed theory Review of the methodology applied in this thesis Verifying consistency with definition and goal of case study Start of the research project Comparing research process to identified potential traps and criteria Extension of scope of the research project Follow up survey within Europe Control study in Brazil Conclusion 26 3 Customer credit risk Introduction Motivation of research The economic significance of trade credit management The corporate finance view of trade credit management The optimal level of accounts receivables in light of costs and benefits Impact of default event Outsourcing the risk Organisation of customer credit management Business model driving requirements 38 ix

3 3.2.2 General comments on Organization and processes Tasks of the credit function Sales Credit risk management in the business unit or legal entity Shared Service Center (SSC) Credit in Corporate Treasury/Risk Management Credit in Corporate Controlling/Accounting Corporate credit risk Organization Hybrid organizational models and frequency Strategic organizational flexibility General organizational issues Resources for the credit process Interaction with sales process Interaction with accounts receivables process Order-to-Cash process A new model for interaction of the sales and finance function Trading subsidiäres The structure of the credit guideline A note on credit guidelines/policies Entity principle vs. market principle IT foundation for credit management and credit Information data model (CIDM) Exposure aggregation Exposure definition Exposure data Masterdata in exposure aggregation Masterdata hierarchies Collecting and utilizing externa! credit data Master data for credit analysis Ratings Credit default swaps Equity-implied credit risk indicators Credit scores Third party scoring and ratings Comparison of risk indicators Financial Information Internal Information on payment behaviour Qualitative Information Loss history and LGD estimation A note on building an internal credit database The credit assessment process Rating Scale Different rating models/customer classes Structure of a scoring based rating system Setting up a rating system Rating system, credit monitoring and early warning Single name PD calculation 86

4 3.8 Portfolio reporting and risk measurement Credit portfolio reporting Portfolio models Implementing the model Interpreting credit portfolio risk metrics Risk communication Credit profitability and risk management Limit management Blocked order process Collection process Risk mitigation Instruments vs. financing IT environment Improving the credit risk process Evaluation of the credit risk process Results from evaluation and future improvements Best practice credit risk management Benchmarking credit organizations Outlook Counterparty credit risk Introduction and motivation of research Definition of CCR in an industrial corporate Significance of the CCRFI function Organization of CCR Corporate Treasury Financial Controlling Function resources IT foundation for CCR and the CCR data model Exposure aggregation Exposure data Master data exposure section The credit assessment process Counterparty master data History of bank failures affecting the European markets and their analysis Ratings CDS Offered rates for wholesale deposits Financials Proprietary assessment Model risk indicators Fitch Bank Credit Model Comparison of risk indicators Data procurement in counterparty credit risk...' Single name PD calculation Single name PD inter- and extrapolation Qualitative Information collection and risk measurement 158 xi

5 xü Contents 4.6 Portfolio reporting and risk measurement Credit portfolio reporting Portfolio models Implementing commercial solutions Interpreting credit portfolio risk metrics Macro view oriented risk measurement Risk management Limit management Risk communication Risk mitigation measures Evaluation of a specific CCR concept Outlook Extended studies Credit insurance Functionality Market overview Modelling the credit insurance contract - real world Modelling the credit insurance contract - external pricing Contract types Modelling the credit insurance contract - internal pricing Models of Operation Füll insurance management model The Performance of credit insurances in the financial crisis Creating a transaction level market for credit insurance l.llSolvency II, capital requirements for credit insurance and wrong-way risk Special case - credit insurance captive Review of credit insurance contract ther issues of credit risk mitigation Risk Management in times of financial crisis Country risk management Limit assignment rules - choosing the right one Analyzing a potential credit risk portfolio Capital market Information availability for large corporates Formal concentration measurement Integrating counterparty credit risk and customer credit risk CVA - credit value adjustment Exposure volatility and scenarios Operational risk management Comparison of practices between Europe and Brazil Introduction Brazilian market Organization Credit data Credit assessment IT systems 261

6 5.7.7 Agrobusiness Credit insurance Conclusion Conclusion of chapter on extended studies Conclusion Summary and critical review Answered questions Future research Conclusion 275 References 277 References 277 Support mg data 287 A.l Transition matrices 287 A.2 Country CDS and rating coverage 287 Market study credit insurance 291 B.l Global market study 291 B.2 Regional market shares 293 xiii