Risk Management of Credit Guarantee Programs (CGP)
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1 Risk Management of Credit Guarantee Programs (CGP) Helmut DORN Member of the Board of Directors of AECM (European Association of Guarantee Institutions)
2 Types of Risk I II Credit Risk Operational/Efficiency Risk III Liquidity Risk IV Macro-economic Risk V Moral Hazard
3 Individual Risk Takers Credit Guarantee Program (CGP) Lending Bank Borrowing Enterprise Owner Owner Owner/ Entrepreneur Sponsor Depositor Financial Investor Supervisor Supervisor Auditor
4 (Credit Risk) Collective Risk Takers Public Sector (State) National Government Regional Government Local Government Banking System SMEs and their access to credits
5 I Credit Risk = risk of loss arising from default by a borrower Expected losses statistical probabilities Unexpected losses beyond probabilities individual risk portfolio risk
6 Credit Risk Tasks of Risk Management Evaluation Analysis/Due Diligence of borrower/project Measuring Risk Controlling: Risk Sharing Limits/Diversification Re-guaranteees Pricing Collaterals Monitoring Bad Debt Management: Restructuring Recovery
7 Credit Risk -Evaluation Due Diligence 1. Management/Owners/Boards Hard facts 2. Product/Technology 3. Markt/Competition Past 4. Production/Supply of Services Soft facts 5. Financials/Financial Planning 6. Time Schedule Future Quantitative data Qualitative data
8 Credit Risk -Evaluation Measuring Expected losses Unexpected losses Measures for individual credit risk: Probability of Default (PD) Loss Given Default (LGD) Exposure at Default (EAD) Normal Case Worst Case Maximum Loss with a certain probability Measures for portfolio credit risk: correlation
9 Credit Risk -Controlling Risk sharing (Distribution of Risk): Horizontal Distribution Credit Guarantee Program (CGP) Lending Bank Borrowing Enterprise Vertical Distribution Owner:.Government.Banks.SME Associations Sponsor:.Government.Financial Intermediaries.SME Associations Supervisor Owner/ Entrepreneur.Invested capital.collateral.personal guarantee
10 Credit Risk -Controlling Limits for: Individual risk size of: Project Enterprise Capital of CGP Statutory Guarantee volume Portfolio risk Volume ofguaranteeportfolio: Capital of CGP Leverage/multiplier Statutory guarantee volume Structure of Guarantee portfolio: Region/ Sector/ Risk Class/ Characteristics of Enterprise/ Type of Guarantee Diversification but: Macro-economic goals
11 Credit Risk -Controlling Re-guarantees: by: Local Regional National government Financial Intermediaries: International Financial Institutions
12 Credit Risk -Controlling Pricing Calculating the guarantee fee: Macro-economic priority Risk intensity: Incentive to borrowers and lenders Adverse selection of risk by borrowers Guarantee-related parameters (term, amount, ratio) fixed rates success-oriented rates Calculating the processing fee
13 Credit Risk -Controlling should not be a priority of CGP can be a part of risk sharing no -some -all collateral policy Collaterals
14 Credit Risk Bad Debt Management Restructuring: before default sharing the costs and risks between lender, borrower and guarantor Recovery of the credit: after default realisation of collateral type of guarantee: deficiency guarantee versus joint and several guarantee Life after default
15 Operational Risk: II Operational/Efficiency Risk = risk of loss resulting from internal or external events Basle II - The new capital accord second largest risk difficult to measure: 3 different Approaches 12 % of interest and non-interest income for Retail Banking 15 % of interest and non-interest income for Commercial Banking 18 % of interest and non-interest income for Corporate Finance
16 Operational/Efficiency Risk Efficiency Risk = Sub-optimal micro-economic cost-benefit results Input (infrastructure, personnel) - Output (guarantee turnover, guarantee portfolio) -Relationship Profit and Loss Acount cost - income ratio Transaction costs to borrower, lender and guarantor Sustainability of a CGP: cost covering ( breaking even ): all costs - total income guarantee losses - guarantee fees operational costs - processing fees leverage/multiplier Guarantee Illusion : guarantee business of a CGP can be profitable
17 Operational/Efficiency Risk Risk Management: Clear guidelines and General Guarantee Conditions Division of labour between CGP and banks Standardisation of procedures, contracts and forms Efficient Management Style and Organisation: Flat hierarchy, Delegation of authority and responsibility, Open and honest communication, Performance related pay, Less sanctions/penalties Pricing: success oriented guarantee fees Outsourcing of back-office functions Performance indicators: micro-economic indicators/benchmarks Privatisation of the management of CGP
18 Liquidity Risk = Risk of running out of cash Risk management Cash flow Account receipts-expenditures Liquidity of invested CGP-capital: unexpected losses investment policy independent of guarantee policy Treasury Securitisation of guaranteed loans
19 Macro-economic Risk = Risk of no Additionality : Macro-economic objectives Market-failure/imperfections Credit guarantees as one economic policy instrument (compared to grants, loans, tax breaks, regulations) Macro-economic cycles: Credit risk in economic recessions Basle II effect ( sameness trap) Collective moral hazard
20 Macro-economic risk Risk management: Macro-economic performance indicators Stable pricing policy (guarantee fees) over economic cycles Consistent risk policy (guarantee volume/portfolio) over economic cycles Long-term Sustainability goal Professionality/Competence/Expertise of sponsors of CGP Private Public Partnership (PPP)
21 Moral Hazard = Mal-practice/abuse of Credit Guarantee Program (CGP) by borrowers and lenders and guarantors Individual Collective Borrower: Lender: Loss of financial discipline Run-away effect Loss of serious credit risk evaluation Nationalisation of private bank credit risks Guarantor: Loss of sustainability crowding-out of private credit risk taking
22 Moral Hazard Risk sharing: Risk management: distribution horizontal vertical Risk-sensitive pricing: influence on Borrowing enterprise enterprise performance related Lending bank bank performance related capacity to take risks Corporate governance
23 Corporate Governance Principles Separation of Functions managing supervising auditing appeal review strategy advising Appropriate Appointment Criteria entrepreneurial expertise independence accounting expertise independence macro-economic expertise business expertise Accountability Reward Liability Corporate Disclosure
24 Credit Guarantee Programs with a clear objective and customer orientation an optimum product and service (=guarantee model) a competent and respectable team independent and skillful board an efficient operational execution a sound financial base will be a success
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