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ดอกเบี้ย SMEs ต้องของบฯ จากรัฐเท่าไร เพื่อใช้ตรึง. ผู้ช่วยศาสตราจารย์ ดร.สุลักษมณ์ ภัทรธรรมมาศ ผู้อำนวยการโครงการปริญญาโททางการเงิน ( MIF ) คณะพาณิชยศาสตร์และการบัญชี มหาวิทยาลัยธรรมศาสตร์. หมายเหตุ. - PowerPoint PPT Presentation

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  • SMEs .

    (MIF)

  • 433 .. SMEs Excel SMEs .xls .. 11 2550

  • Types of Loan PricingCost-plus loan pricing . Price Leadership ModelBelow-Prime Market Pricing (The Markup Model) . interbank Risked-based loan pricing

  • (1)

    Adverse Selection

    . AAA C AAA C AAA C . AAA C . . C AAA

  • (1)

    (1) . Rising Earning Volatility (2) .(3) Credit Rating . (4)

  • (2)Risk-Based Pricing (1) Fair Pricing (2) Economic Capital (EC)(3) RAROC (Risk-adjusted Return on Capital)(4) Credit Risk Portfolio Management(5) (6)

  • (1) . (2) . (2.1) (Administration Costs) (2.2) (Capital Costs)

  • (2.2) (2.2.1) Expected Loss(2.2.2) Cost of Capital () () (Capital Structure) Allocated Economic (Equity) Capital Funding Costs

  • Risk-Based Loan Pricing Pricing is Based on Counter-partys Risk Level.

  • Lending Rate (Given Rating) = Administration Costs + Risk-Based Spread

  • Administration Costs Loan

    1. ()

    2. Loan Credit Analysis

  • Risk-Based Spread

    (1) Expected Loss Charges(2) Hurdle Rate Quoted Rate ()(3) Funding Costs

  • (1) Expected Loss Charges

    (1) Exposure at Default (EAD)(2) Recovery Rate (RR)(3) Probability of Default (PD) Credit Rating

    Expected Loss Charges = PD x { EAD x (1-RR) } = PD x { EAD x LGD }Note: LGD = Loss Given DefaultRisk-Based Spread

  • Expected Loss Charges SMEs 1 (1) Exposure at Default (EAD) = 1 (2) Loss Given Default (LFD) = 1.1282%(3) Probability of Default (PD) = 0.1118%

    Expected Loss Charges = 0.001118 x { 1 x 0.011282 }= 12.62 Risk-Based Spread

  • Expected Loss ChargesExpected Loss Charges

    (1) Loan Counter-party (2) Credit Portfolio Default Correlation Concentration Risk-Based Spread

  • (2) Hurdle Rate Quoted RateHurdle Rate Loan Price . .

    Quoted Rate Loan Price . Loan EVA . (1) Comparable Market Rate (2) . Niche Market(3) Risk-Based Spread

  • (3) Funding CostsUses of Fund Loan = Credit Asset Funding Sources of Fund = Debt Long-Termed Bonds + Allocated Economic Equity Capital

    Capital Providers Required Rates of Return

    Required Rates of Return Capital Providers Costs of Fund .Risk-Based Spread

  • Funding Costs (K) Kd = Cost of Debt T = Tax RateKe = Cost of EquityDE = Debt-to-Allocated Equity Ratio Loan

    Risk-Based Spread

  • Funding Costs Funding Costs* = {EC x Ke} + {(1-EC) x Deposit Rate}* WACC Deposits Equity Capital 1 WACC Ke . Unlevered Firm . Funding Cost Capital Cost Long-Term Debt

    Risk-Based Spread

  • Economic Capital (EC) ?

  • Credit Risk Portfolio Model Economic Capital Loan Portfolio. Loan

  • Economic Capital Allocation1. Loan Capital Risk Contribution2. Capital Loans Economic Capital 3. 4. Capital Economic Capital Regulatory Capital

  • Economic Capital Allocation1. Bottom-Up Approach VaR Loan . Allocated EC { Loan j } = Regulatory Capital { Loan j } 2. Top-Down Approach. EC Loan Portfolio InternalCredit Risk Portfolio Model Loan

  • Bottom-Up Approach . Allocated EC { Loan j } = Regulatory Capital { Loan j } . . BIS II

  • Bottom-Up Approach . SMEs Credit Rating 1 Risk Asset = RiskWeight (Given Rating) x AssetSize = 100% x 1 = 1 Minimum Capital-to-Risk Asset = 8.50% Capital = 8.50% x Risk Asset = 8.50% x 1 = 85,000

    Loan 1 EC = 85,000 Debt = 915,000

  • BIS Standardised Approach FIRB AIRB 1. Granular Loan Loan Credit Portfolio ( SMEs) 2. Asymptotic Portfolio N ( 1,000 ) 3. LGD Default Correlation

    1 2 Concentration Risk

  • Concentration Risk

  • Bottom Up Approach . . .1. Regulator

    2. Capital RC > EC

    3. Loan Portfolio BIS Assumptions

    4. EC { Loan j } EC { Port } RC = EC

  • Top-Down Approach. EC Loan Portfolio Credit Risk Portfolio Model Loan

    . Internal Model . Internal Credit Risk Portfolio Model

  • EC { Loan j } EC { Loan j } Loan Portfolio . Loan j (Risk Contribution)

    2 1. Incremental Credit VaR2. Marginal Credit VaR Component Credit VaR

  • Incremental Credit VaR (IVaR)IVaR Credit VaR Credit Portfolio Loan EC

    IVaR { Loan j } = VaR Port j - VaR Port j

    ECIVaR { Loan j } = IVaR { Loan j } EL { Loan j }

  • Incremental Credit VaR (IVaR). 1,000 1. VaR Port j = 800.20 2. VaR Port j = 800.00 3. EL { Loan j } = 0.09

    IVaR { Loan j } = 800.20 - 800.00 = 0.20 ECIVaR { Loan j } = 0.20 0.09 = 0.11 Loan 1 EC = 0.11 Debt = 0.89

  • Incremental Credit VaR (IVaR)1. EC Loan EC K 2. Pricing Adverse Selection Problem Risk Contribution 3. () Risk Contribution

  • Marginal Credit VaR (MVaR)MVaR Credit VaR Loan j

  • Component Credit VaR (MVaR)*CVaR MVaR { Loan j } Loan J

    VaR Positive Homogeneity Coherent Risk Measure * CVaR MVaR Risk Contribution (RC) CVaR VaR { Portfolio } CVaR Component

  • MVaR CVaR Economic Capital Allocation

  • Capital Assumptions . Internal Credit Risk Portfolio Model

  • Internal Model

    1. Monte-Carlo Based Risk Contribution (RC)*2. Analytical RC * RC EC { Loan j } Contribution Loan j RC Risk Sensitivity

  • Distribution Portfolio Loan Loss Smooth Function 1. VaR { Portfolio } Smooth Function Loan j 2. Derivatives

  • ** Gourieroux et al., Sensitivity analysis of value at risk, Journal of Empirical Finance 7, 225-245.

  • 1. Monte-Carlo Based Risk Contribution (RC) Asset Value Model Arvanitis and Gregory, 2001, Credit: The Complete Guide to Pricing, Hedging and Risk Management, RISK Publication, London, pp. 90-98.2. Analytical RC CreditRisk+ Model Tasche, Capital Allocation with CreditRisk+

  • RC

  • RC

  • Funding CostsFunding Costs = {EC x Ke} + {(1-EC) x Deposit Rate} = (0.0896% x 8.24%) + {(1-0.0896%) x 2.27%} = 2.2753% ( 1)

  • = Expected Loss + Operating Costs + Funding Costs = 0.0013% + 3.66% + 2.2753%} = 5.9369%

  • = 232.06 7.74 % 8.00% EP

  • () 341.51 9.90 % 8.00% . EP . 46.51 {=4.83 + 41.68} Required EC 400

  • 289.19 10.0387%. EP 4.83 . Economic Capital

  • . 11 2550