مفاهیم قواعد جدید کفایت سرمایه برای مدیریت پرتفولیو دارایی های اعتباری

Over the past several years, there has been an extensive discussion among practitioners and academics about whether and how a portfolio management approach could help banks to better manage risk capital and create shareholder value. In this article, the authors argue that there are four key drivers which require banks to move from a transactional to a more portfolio management like approach when managing credit assets. These are: structural changes in the credit markets, inefficiencies of risk transfer in lending markets, ballooning debt levels in the US, and the proposed changes for capital adequacy. The authors see the latter not as a one-time change in capital adequacy rules, but more as a first step towards full convergence between risk capital and regulatory capital for credit risk. These changes require banks to accelerate their efforts to build first class portfolio management skills and capabilities. Achieving best practice credit portfolio management is rewarded with attractive opportunities for shareholder value creation and enables bank to successfully compete going forward.

Credit risk management is undergoing major changes. These changes are likely to influence the competitive conduct in the credit markets, providing opportunities for banks that secure a first mover advantage. One of the emerging opportunities is the area of credit portfolio management. While many banks have made first experiences with this new concept and have set up organizational responsibilities for implementing it, we do think that there is a strong need for accelerating these efforts. More specifically, we see four key drivers, which are likely to reward fast moving banks with a better competitive position.

Going forward, the critical question is not whether banks should have a credit portfolio management function but rather how fast they can build it. The benefits of such a function are obvious and it is surprising that this concept has not been adopted earlier. The insurance/reinsurance example shows that other industries have captured the benefits of sophisticated diversification and risk transfer much earlier than the banking industry. Our experience suggests that right now there is a considerable gap between the most sophisticated banks and the rest of the industry in terms of portfolio management capabilities. Again, best practice portfolio management cannot be reduced to criteria like how many CLOs a bank has placed or how active it is in the secondary credit market. The latter is misleading since many banks started in one way or another to be active in these markets and to trade credit risk. It is hardly efficient to originate underpriced or unattractive credit risk to then have the portfolio management unit selling it later with an additional loss. What constitutes best-practice portfolio management is an integrated approach which strives to implement top management’s (credit) strategy, risk appetite and return objectives, which reduces portfolio inefficiencies along the way. It therefore deviates from the origin and hold paradigm and substitutes it for a more proactive “originate and distribute” framework. Mounting debt levels in the US raise the question whether all financial institutions fully understand the magnitude of credit losses under more negative economic scenarios. A fully developed portfolio management function can help top management to better understand these implications and the impact of possible adverse economic scenarios on their credit portfolios. With a first class portfolio management function banks are then much better prepared to play successfully in the lower spectrum of the rating scale. We are sure that the convergence between regulatory equity and risk capital will eventually speed up the adoption of credit portfolio measurement and management concepts. The new Basle requirements for capital adequacy can be considered a first step towards this convergence. Banks may see the current proposal as a first “wake-up” call to build aggressively the required capabilities for credit portfolio measurement and management.