消费信贷风险管理.docx

Managing Consumer Credit RiskPeter Burns AnneStanleySeptember2001Abstract On July 31, 2001, the Payment Cards Center of the Federal Reserve Bankof Philadelphia hosted a Work shop that examined current credit risk managementpractices in the consumer credit industry. The session was led by Jeffrey Bower,senior manager in KPMG Consulting financial services practice- Bowerdiscussed best practices11 in the credit risk management field, including credit scoring,loss forecasting, and portfolio management. In addition, he provided an overview ofdeveloping new methodologies used by today risk management professionals inunderwriting consumer risk. This paper summarizes key elements of Bower,spresentation.Keywords： consumer credit, credit scoring, portfolio managementPORTFOLIO MANAGEMENT AND ANALYTICSIn Bower's view, consumer credit risk must be understood in terms of a portfoliomanagement strategy that balances capital preservation with capital optimization, thatis, “ a continuous process of identifying and capitalizing upon appropriateopportunities while avoiding inappropriate exposure in such a way as to maximize thevalue of enterprise/' Capturing data across all steps in the customer relationship andintegrating information management are the keys to effective portfolio management.While this is a fairly straightforward prescription, executing it is often beyond thescope of many lenders, with the credit card companies generally in the vanguard.Often, the process steps are managed on separate legacy systems, which complicateefforts to integrate information. KPMG consultants find that many firms typicallypurge specific files before the information is extracted and combined with other datato provide effective portfolio management. The loss of application data, for example,would mean that critical score-card and demographic information would not beavailable to model behavior in defined customer or risk segments.BEST PRACTICES IN CREDIT-RISK-MANAGEMENTCredit-risk-management practices vary considerably among firms and betweensegments of the consumer lending industry. To illustrate the variability, Bowerdescribed the range of management practices in:Credit decision-makingcredit-scoringloss forecastingportfolio managementOn the front end of the credit process, industry leaders are investing in analyticsto improve the credit decision-making process. Building on experience with creditscoring technologies, these leaders are employing expert systems that can adopt tochanges in the economy or within specific customer segments.The use of credit-scoring varies from those that are using only credit bureaudata, to those that blend bureau data with other information based on the firm's ownexperience, to the most advanced applications using adaptive algorithms. Thesemodels, used by some of the leading credit card issuers, are updated regularly toreflect changing characteristics of the applicant population. A significant challenge foreven the most sophisticated lenders is how to model probable performance whendealing with new customer segments.Loss forecasting techniques have advanced considerably from their early relianceon historical delinquency rates and charge-off trend analyses. Delinquency flowmodels and segmented vintage analyses are now commonly used to recognizeportfolio dynamics and behavior patterns based on pools with common characteristics.The credit card industry has perhaps gone the furthest with its use of massivesegmentation profiles, with the more advanced issuers complementing these profileswith regional economic data and other analytical dynamics.Over all portfolio management employs all of these techniques with most firmstracking current vs. historical performance and establishing concentration limits forparticular risk segments. Some lenders employ risk adjusted return on capital(RAROC) models but Bower and his colleagues argue that multi-year net presentvalue cash flow 4 models represent a more effective way to understand optimalrisk/reward relationships. In their experience, at this point, only a few firms appear tobe testing these more advanced approaches.Bower concluded this section of the discussion by noting that "the future ofconsumer credit risk management lies in organizing portfolio performance andaccount level detail into databases; and then, applying refined analytical models todiscern patterns or trends/' In doing so, lenders can more effectively manage lossexposures and apply risk-based credit pricing.ANALYTICAL TECHNIQUESAnalytical techniques are especially applicable to consumer lending. Consumerportfolios, unlike those in commercial lending, tend to be composed of manyrelatively homogeneous loans. The relatively common behavior characteristics ofportfolio segments make statistical modeling techniques especially useful. As Bowernoted, "'Analytical tec