Macroeconomic-based Approach to Credit Loss Forecasting 基于宏观经济的信用损失预测方法 GCIB-Risk Management Portfolio 全球企业及投资银行业务部风险管理组合,Risk Rating Migration, Macroeconomic Indicators & Applications to Portfolio Credit Risk Forecasting 信用评级变动、宏观经济指标以及在 组合信用风险预测中的应用,Credit Portfolio Analytics 信贷组合分析组,Credit Portfolio Analytics Group Mission 信贷组合分析组的使命To provide management with an independent, top-down, macroeconomic-driven asset quality forecast range, including a baseline forecast based on most-likely assumption, that is accurate, comprehensive, nimble, and actionable.向管理层提供以宏观经济为基础、独立、自上而下的资产质量预测，包括根据“最可几”假设作出的、准确、全面、可提供行动依据的基准线预测。Assist in management of earnings volatility associated with risk in the credit portfolio.协助管理与信用组合风险有关的盈利波动。To mitigate significant potential losses due to event risk, and 减少因事件风险造成的重大潜在损失；以及 To design and implement proactive strategies for portfolio management. 设计和实施主动性的组合管理战略。Old EnvironmentOne Forecast Opinion 旧的环境预测角度的看法Line-of-Business/Risk Management provided asset Quality forecast to Senior Management 由业务线/风险管理部门向高级管理层提供资产质量预测“Bottoms Up” approachaccount level data ”自下而上“的预测方法账户级数据- How many standard deviations from expected? 距离期望值有多少个标准差？ No Contrarian view 不采取反向视角 Not explicitly linked to future economic environment 没有与未来的经济环境建立明确的关联 One outcome provided to senior management 只向高级管理层提供一个结果- Conservative? Reasonable? Or a stretch? 保守？合理？或吃紧？,Overview 概述,Overview 概述,New EnvironmentOne Forecast Opinion 新的环境预测角度的看法Provide CEO, CFO, and Chief Risk Officer with an alternative to Line-of-Business forecasts 除业务线预测之外，向首席执行官、财务总监和风险总监提供另一个选择 Forecasting based on a single view of the economy 根据对经济的单一看法进行预测 Ability to run numerous simulation and sensitivity analyses 能够进行大量的模拟和敏感性分析 Synchronized loan and interest income forecasts with Corporate Treasury. 贷款和利息收入预测与集团司库部同步。Objective目标The main objective is to produce a forecast of the asset quality mix as well as credit loss associated with the Commercial loans, taking into account the following factors: 主要目标是在考虑以下因素的前提下，提供与个人信用卡有关的信用损失预测：Underlying macroeconomic indicators相关的宏观经济指标 The banking industry credit environment银行业的信用环境 Migration of banks loans along the risk rating spectrum (including Non- Performing status and Charge-offs) 银行贷款沿信用评级档自低向高的变动（包括“不良”状态和撇账）Models Produced for Commercial Products 开发用于商业产品的模型Macroeconomic-based loss forecast models have been developed (for combined Bank of America and Fleet legacy portfolios): 已经开发基于宏观经济的损失预测模型（针对美国银行和 Fleet 两家公司合并前的组合）：Legacy GCIB portfolioRisk Management portfolio 合并前的 GCIB 组合风险管理组合 Legacy Middle Market BankingCommercial Banking Regions 合并前的中间市场金融业务各商业银行业务区 Legacy Middle Market BankingMid Capital Corporation 合并前的中间市场金融业务中间资本公司 Total Commercial excl. Small Business (not in production) 除小型企业外的所有商业银行业务（尚未投入使用）,Main Components of the Loss Model 损失模型的主要组成部分,Step 1 : Establishing the Future Credit Environment 第1步：确立远期信用环境Using forecasted economic data, estimate the future Credit Cycle Index (CCI). 使用预测的经济数据，估算远期的信用周期指数（CCI）Step 2 : Applying the Credit Environment to the Banks Portfolio 第2步：对银行的信用组合应用信用环境Derive future migration matrices based on the forecasted CCI. 根据预测的CCI导出远期的信用评级变动矩阵Step 3 : Forecasting the Banks Credit Quality 第3步：预测银行的信用质量Multiply current rating distribution by forecasted transition matrices to arrive at the future rating distribution. 用预测的变动矩阵乘以当前的评级分布，得出远期的评级分布Add new business, balance changes, maturities, and other funds flows; consistent with Corporate Treasury loan forecast. 增加新的业务、余额变化、期限和其他资金流；与集团司库部的贷款预测相一致Step 4 : Forecast the Credit Loss 第4步：预测信用损失For “defaulted” loans, apply “Severity of Loss” assumptions (or Loss Given Default). 对“违约”贷款，应用“损失严重度”假设（或违约损失）Produce a projection of “potential credit loss” for future time-periods. 得出远期“潜在信用损失”的预测值,Loss Forecast Process 损失预测流程,Step 1 : Establishing the Future Credit Environment 第1步：确立远期信用环境Step 2 : Applying the Credit Environment to the Banks Portfolio第2步：对银行的信用组合应用信用环境Step 3 : Forecasting the Banks Credit Quality 第3步：预测银行的信用质量Step 4 : Forecast the Credit Loss 第4步：预测信用损失,Credit Cycle Index (CCI) 信用周期指数 (CCI),CCI indicates the credit state of the financial market as a whole CCI反映金融市场的总体信用状况The Index is designed to be: 指数的设计原则 “Positive”, for good times, indicating lower levels of downgrading and defaults, and a higher upgrading probability, than average在景气好的时期，指数为“正”，表明与平均水平相比，信用等级降低和违约处于较低水平，信用等级升高的可能性较高 “Negative”, for bad times, implying higher levels of downgrading and defaults, and a lower upgrading probability, than average 在景气不好的时期，指数为“负”，表明与平均水平相比，信用等级降低和违约处于较高水平，信用等级升高的可能性较低,What is the CCI? 什么是 CCI？,How do we construct it? 如何构造这个指数？,A simple way to construct the CCI is to calculate the default probabilities of all credit rated bonds. 计算所有获得信用评级债券的违约概率，是构造CCI的一个简单方法。 Highly rated bonds were excluded since they have very low default probabilities. 高评级债券的违约概率非常低，因此不包括在内。 A normal distribution transformation of US Speculative Default Probability, SDP (rated equal to or lower than Moodys Ba rating) is used. 采用按正态分布形式表示的美国投机级债券的违约概率，简称SDP（等于或低于穆迪的Ba评级）。,