Credit Risk Management

1

• Credit Risk Management
• ????? ????? ????????
• 0320431
• ?????
• ??????? ???? ?????????

2
Credit Risk Management (CRM)

• ???? ??????? ?? ???? ????? ??????? ???????? .
  ???????? ?????? ????????? ??????? ????? ?????
  ???????? ?? ?????? ????? ??????? ??????? . ?????
  ????? ??????? the potential ???? ???? ??????? ??
  ?????? ?????????? ???? ?????? ?????? ????? ???
  ?? ???? ??????? ????? ????? ?? ?????? ????????.
• ????? ??????? ?????????? ?????? ???????? ?????
  ?????? ??? ????? .
• ???? ????? ?????? ?????? ????? .

3
Components of credit risk

• ??? ???????? ??????? ?????? ??? ???????? ??????
  ???? ?????? ???????? ????? ?????? .
• ????? ????????
• standard, sub-standard, doubtful and loss-making
  assets
• ???? ???????? ????? ?????? ??? ??????? ????????
  .
• ??? ???????? ???? ????????? off-
  balance-sheetexposures
• ????? ????????? ?? ?? ????????? ????????
  ??????????? ???????? ?? ??????? ????.

4
Credit risk management framework

• - ????? ?????? ??????? ??? CRM
• ??????
• a. Policy framework.
• b. Credit risk rating framework .
• c. Credit risk limits.
• d. Credit risk modeling .
• e. RAROC pricing.
• f. Risk mitigants.
• g. Loan review mechanism/credit audit .

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• Policy framework
• Banks must have robust credit risk management
  policies (CRMPs) and procedures .
• Effective CRM framework requires1- strategy and
  policy 2- organization 3- operations/ systems.
• 1- Strategy and policy
• 1- ????? ?????? ???? ???????? ??????? ??????? ??
  ?????? ?????? ?????? .
• 2- ??????? ???????? ???????? ??? ?????? ?????????
  ??? ?? ?? ????????? ????? ??????????? ?? ?????
  ????? continuity in approach ?????? ?????????
  ??????? ??????? ??? ?????? ????????? shifts
  ???? ???? ?? ??? ?? ?????? ?????? ??????? . ????
  ?? ???? ???????????? ????? ?? ???? ???????.

6

• ??????? ???????? ???????? ??? ?? ???? ????????
  ???
• ?????? ?????? ???? ??????? ? ??????? ????
  ???????? ????? ?????? ????????? ??? ???? ???????
  ????? ???????? ??????? ??????? ??????? ??????
  ??????? ?????? ???????? ??????? remedial
  management ??????? ????? ?????? ?? ?? ????
  ??????? ???? ????? ????????? ???????? ???? ????
  ???? ???????? ?? ??? ?????? ???????? ??? ???????
  .
• ??? ??????? CRM ??????? ???????? ?????????
  ???????? ??? ??? ???????? ??????? ????????
  ??????? ??????? ???????? ????????? ??????? .
• ????????? ???????? ???? ???? ?? ?????? ??????
  ?????? ??????? ??????? ???????.
• ??????? ??????? ?????? ???????? ?????? problem
  loans ?????? ?? ?????? ??? ????? ????? ???????
  ???????? ???. ?????? ?????? ?????? ????????
  ???????? ??? ??????? .

7

• ???? ???? ???? ?????? ?????? ??? ???????? ??????
  ????????? ???????? problem exposures ??????????
  ???????? ????? ????? ??????? ?????? .
• 2- organizational structure
• ???? ???? ????? ????? ?? CRM????? ?????? ?????
  ?????? ????????
• ?????????? ???????? ????? ????? ???????? ???????
  ?? ???? ??????? ??????
• ??????? ??????? ???????? ??????? ??????? ??????
  ??????? ???? ?????????
• ???????? .

8
Standard poors Credit Ratings
AAA Best credit quality-Extremely reliable with regard to financial obligations. AA Very good credit quality very reliable. A More susceptible to economic conditions - still good credit quality. BBB Lowest rating in investment grade. BB Caution is necessary Best sub- investment credit quality. B Vulnerable to changes in economic conditions- Currently showing the ability to meet its financial obligations CCC Currently vulnerable to nonpayment- Dependent on favorable economic conditions. CC Highly vulnerable to a payment default. C Close to or already bankrupt- payment on the obligation currently continued D Payment default on some financial obligation has actually occurred.
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• 3- Operations / systems
• ???? ????? ?????? ???????? ??????? ??????
  ???????? . ??????? ?????????? ???? ???? ?????
• ????? ????? ???????? ? ????? ??????? .
• ????? ????? ???????? ????? ??????? ? ??????? ?
  ????? ?????????? ????????? ???????? ? ????????
  ????? ??????? ???????? ???????? ?????????.
• ????? ????? ??????? ???????? ??? ??????? ?????
  ?????? ?????? ?????? .
• ????? ???? ?????? ?????? ?????? ?????? ????????
  ??????? ?? ??? ????? ????????? ? ????? MIS ??????
  ????? ??????? ???????? ?? ???? ????? ????? ????
  ????? ????????? ? ???? ???? ??????? ????? ??
  ?????? ??????? ?????? ?? ???? ?? ???????.

10

• B. Credit risk rating framework
• ???? ??? ?????? ???? ???? ???? ??????? ????????
  ???????? ????????? credit exposure .
• 1- ??? ????? ??????? ???????? ??????? ????
  ??????? ?? ???? ??? credit scoring (????? ??????
  ? ?????? ??????? ? ???? ?? ??????..) ??? ????
  ??? ????? ???? ????? ???? ??????... highly
  standardized .
• 2- ??????? ??????? ??? ????? ??????? ????????? .
  ???? ????? ??????? ??? ????? ???? ?? ????? ???
  ??????? ???? ????? ???????? .

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• C. Credit risk limits
• - ??? ???? ??? ???? ???? ??? ???? ?? ??? ???? ??
  ??????? ?????????.
• ????? ??? ??? ??? ????? ???? ?? ????? ???????
  ??? ??????? ??? ????? ????? ??????? ???? ??????
  ???? ??? ????? ???? ????? ??? ??? ??? ????? ??
  ????????.
• - ????? ????? ??? ??? credit rating ??????? ?
  ?????? ?????? ?????? ,
• ????? ?????? ??? ??????? ? ?????? ???????
  ??????? .
• D. Credit risk modeling
• 1- Altmans z score model 2- Credit
  metrics model
• 3- Value at risk model 4- KMV
  model

12

• 1- ????? ??????
• ???? ????????? ????? ?????? ?? ???? ???? ??? ??
  ????? ? ???? ???? 85 ???? ?????? ??? 68 ?????
  ????? z- scores ?????? ??????? ???????? ??????
  ??????? A ??????????? ?????? / ????? ???????
  ????? B .
• ???? ???? ????? 95 ?? ????? ?????? ????????
  ????? ??? ????? ?? ????? ??????? ??? ????????
  ???? . ??? ?????? ?????? ?????? ??? ????? ??????
  ????????
• ??????? ??????? ????????? ????????? ? ?????
  ????????? ? ???? ???????? ? ???????? ?????
  ?????????? ? ????????? ????????? ? ?????? ???????
  ?????? ? ??????? ??? ??????? ? ??????? ???????? .
• Z 0.012X1 0.014X2 0.033X3 0.006X4
  0.999X5

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• ???
• X1 ??? ????? ?????? ??? / ?????? ?????? .
• X2 ??????? ???????? / ?????? ?????? .
• X3 ??????? ??? ??????? ????????/ ?????? ??????
  .
• X4 ?????? ??????? ?????? / ?????? ????????
  ??????? ?????????? .
• X5 ???????? / ?????? ??????.
• ??? ???? ???? Z 3 ?? ???? ???? ???? ???
  ????? most likely safe ??? ???????? ??????? ?
  ???? ????? ???? ???? ??????? ?????? ?????????
  ????? ?? ???? ?????? ????? .
• ??? ???? ???? Z ??? ??? 2.8 3 ????? ??????
  probably safe ????? ??? ?? ??????? ???????? ?????
  ??? ???? ?? relative safety .
• ??? ???? ???? Z ??? ??? 1.8 2.7 ????
  ?????? ????? ?????? ???? ????? likely to be
  bankrupt ??? ???? ????? ????? ???? ?????? .
• ??? ???? Z ??? ?? 1.8 ???? ?????? ??????? ???
  ??? highly likely ??? ?????? ???? ????? ????
  ??? ??? ???? ???? ??? ??????? ?? ??? ???? .

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• 2- Credit metrics model
• ????? ?????? ???? ??? ?????????? ??????????
  ????????? ???????? ????????? ???? J.P. Morgan???
  95 ????????? ??????? ????? ??????? ???? ?????? .
  ??????? ?? ?????? .
• ?- ????? ???? ??? VAR ??? ????? ???????? ????
  ????? ????? ????????.
• ?- ????? ???? ??????? ???? ???? ???????? ??????
  ????????? ???? ???? ????? ?????? ?????? ?????? in
  a mark to market framework
• ?- ?????? ?????? ?????? ????????? ? ??????? ?????
  ???????? ????? ?????? ?????????? ??? ???? ???
  ??????? ?? ??????? ? ?????? ??? ????? ??? ????
  ???????? ??????? .
• ??? ???? ?????? ????? ??????? ??????? ?? ????????
  ?? ???? ????? ??????? ??? ???????? ?? ?????
  ??????? ??? ????? ??? ???????? ??????? ??? ??? ??
  ????? ?????? ??????? ?? ???? ?? ???? ????? ??????
  ????? ?????? ?? ?????? ??? ???? ????? ????? ?????
  ?????? ????? ???? ??? ??????? ??? VAR (????
  ??????) ???? ???? ??????? ???????? . ????? ??
  ?????? ????? ??????? ???? ?? ???????? ???????.

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• ?????? ? ???????
• ????? ????? ??????? ?? ???? ????? ????? ????
  ????????? ?? ??? ????? ? ?? ?? ??? ????? ???????
  ?? ?? ??? ???? ??? ???? ?? ??????? .
• ????? ?????? limit setting ?? ??????? ?? ?????
  ?????? ???????? ?????? ????????? ?????? ??????
  ????? ?? ?? ??????? ?????? ??????? ???? ?????
  ??????? ?? ????? ?????? . ???? ?????? ???? ??
  ???? ??? ??? ??? ????? ???????? ?? ??? ??? ???
  ?????? exposures size ?? ??? ??? absolute risk.
• ????? ?????????? ??? ??????? ??? ?? ???? ?????
  ?????? ??????? ?????? ?????? ???? ????? ?????
  ??????? ?? ???? ?? .
• ????? ??????? ??????? ???? limitations ?? ???
  ???? ???????? .

16

• 3- Value at risk model
• ?????? ????? ?? ??? ?????? ?? ????? ??? ????? ??
  ????? ?????? ??????? ?????? ??? ????
• ???? ????? ????? ????? ???? ????? ??? ?????
  ????????? ?? ?????????. ???? ?? VAR
• ?????? ?? ?? 2 ????? ????? ??? ????? ??? 95 ?
  ??? ???? ?? ??? ??????? ????? ??? ?? ????
• ??? ?????? 2 ????? ????? ?? 95 ?? ??????? .
  ?????? ??? VAR ???? ????? ??????? ????
• ??????? ??? ??? ???? ???? ? ????? ?? ????? ??????
  ??? ???? ???? ?? ?????? ?? ????.
• 4- KMV model
• ????? ????? KMV??????? ????? ?????? ????? ???
  ????? ?????? ????????? .???? ????? ??? ??
• ?????? ?? ?????? ?? ????? ??? ??? ???? ????
  ????????? ??? ????? ???? default point
• ???? ?? ???? ?? ?????????? . ??? ???? ????
  ????????? ???? ?????? ?? ?????? ??????? ??????
• ????? ?????.

17

• ????? ????? ??? ????? ??????? ?? ??????distance
  from default (DFD) ????? ???? ??? ??????????
  ????????? ???? ???? ??? ??? ???? ??????? ??????
  ?? ???? ?????? . ?????? ??? ??????? ??? ???
  ?????? ??????? ?????? ?????? ? ??????? ??? ??????
  ????????? ?????? ???? ???? ????? ??????? ????
  expected default frequency (EDF) ????? ???
  ??????? ??? ???
• 1- ????? ?? ?? ???? ????????? ????? ?????? ??
  ???? ?????? ????? ?????? .
• 2- ?????? DFD
• DFD (Asset value default point)/(Asset
  valueAsset volatility)
• 3- ?????? EDF ??????? ???????? ??????? ?????? .

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• E- Risk Adjusted Return On Capital (RAROC)
• ????? ????? ?????? ?????? ????????? ??? ??? ?????
  ??? ????? ???? ?????? ?????? capital charge ??
  ????? ??????? .
• Bankers Trust ????(RAROC) ???? ????? ????? ?????
  ???????? ??? ?????? ?? ?? ????? ????? ???? ?????
  ??????? ?????? ???????? (??? ????? ??? 99) ???
  ??? ??? ????? ???? ???? ?? ??? ??????? .
• ???? ??? ???? ?????? ???? ??? ??? ????? ???? ???
  ?????? ????? ???? ???? ??????? ?? ??? ????????
  transaction ?? ??? ???? ???? ???? ??? ???? ??????
  ?????? ?? ?????? .
• RAROC process ???? ???? ????????? ???? ???? ??
  ????? ?? ?? ???? ??????? ???????? ????? ??? ?????
  ?????? ?????? ??????? ??????? ????????
• ?- ??? ?????? ?? ?????? ???? ????? ???????
  ???????? ??? ???? ??? ??????? ? ??? ????? ?
  ?????? ? ????? ? ?????? ?? ?? ???????? ???????? .

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• ?- ???? ????? ?? ??? ??? ???? market proxy .
  ????????? ????? ?????? ??????? ?????? ???????
  ?????? a market risk factor????????? ???????
• RAROC risk factor 2.33weekly volatility
  square root of 52(1-tax rate)
• ?- ???? ???? ??? ????? ??????? ??? ??? ???? ?????
  ??????? ???? ?????? the size of position .
  ??????? ??? ??????? ?????? ???????? ??? ?? ????
  ???? ??? ????? ???? ??????? ???? ?? ?????? ??????
  ???????? ??? ??????? ??????? ???????? ? ?????
  ???? ??????? ??? ?????? risk to reward ratio
  ????? ???????? .
• ????? RAROC ???? ?? ?????? ???????? ?? ??? ????
  ?????? ??????? ??? ????? ?????? ( ???? ????? ) .

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• F- Risk Mitigants
• - ???? ???? ????? ????? ???????? ?? ???? ????
  ???? ?? ???????? ???????? ???????? ???????
  ????????? ??????? ?? ??? ??????? ??????? ????
  ???? ??????? ???? ?? ????? ?? ????? ??? ???? ??
  ???? ????? ?????? ?????? ?? ????? ?????? ??
  ???????.
• - ?????? ????? ???????? ??? Basel 2 Accord?????
  ????? ???? ????? ??
• ??????? ????? ????? ??????? ??? 1- ????????
  (???????? ???????? ?????) ?
• 2- ?????? 3- credit derivatives 4- on
  balance- sheet- netting .
• ?????? ??????? ???????? ??????? ??? ???
  ???????? ???? ??? ?????? ????? ???? ?????
  ???????? ?????? ????? ????????
• ????? ??????? ??????? ???????? ????????? .
• ?????? ?????? ???? ??????? ??? ?? ????? ?? ???? .

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• ????? ?????? ???????? ?? ????? ??? ???????? ???
  ???? 2
• 1- collateral
• ???????? ???????? ?? ???? ???? ???? ????? ??????
  ?? ?? ??????? ??????? ??????
• ???? ????? ?????? ???? ?? ?????? ????? ?? ??????
  ????? ????? ???? ?? ???
• ??? ?? ???? pledged????? ???? ???? ????? ??? ????
  ????? ??? ????? ?????? ??????? ????? ??? ???? ???
  ???? .
• ?? ???? ??? ????? ??????? ????? ???????? ?? ?????
  ??????? .
• ???? ????? ?? ?? custodian ?????? ?? ???????? ??
  ??? ???? ??????? ???? .
• ????????? ???????? ?? ????? ?????? (??? ????) ?
  ????? ? ??????? ??????? ?? ?????? ??????? ??????
  ????? ????? ??????? ??????? ?? ??????? ??????? ?
  ?????? equities ? ???????? ???????? .

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• 2- Guarantees
• ???? ??????? ??????? ??? ?????? ?????? ???? ????
  ???? ???? ???? ???? ??????? ??? ??? ?????? ??
  ?????? ?????? ????
• 0 ??????? ???? ????? ??? ?????? ??? ???? ??????
  ???? .
• 0 ?? ???? ????? ????? ??????? ??? ?????? .
• 0 ?? ???? ?????? ???? ????? ??????? ???? ?????
  ?????? (???????) ?? ????? .
• ?????? ???? ?????? ??????? ?????????? ???? ??????
  ?????? ??????? - ??????? ???????? ?????? ????? ?
  ?????? ????????? ??????? ??????? ???? ????????
  ??????? ???????? ???? ??? ??? ?????? ??? ?? ???
  ?????? ?????? ??????? .
• 3- credit derivative
• ???? ????? ???? ????? ????? ?? ????? ????????
  ???? ???? ???????? ??????? ?????? ???????? ? ???
  ???? ?????? ?????? ???? ?????? ???????? ??? ????
  ????? ?? ???? ?????? ??? ??????? ??? ???? ??????
  ?? ????? ??????? ?????????? ? ???? ??????? ?? OTC
  ?? ??????? ???????? ???? ???? ????? ???? ?? ?????
  ?????? ???? ?????? ??????? .

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• ????? ??????? ??????????
• ????? ??? ??????? ????? ???? ??????? ??????
  ???????? ??-
• Total Return swaps
• Credit default swaps
• Credit spread options
• Credit Linked notes.
• 4- On balance sheet netting
• ?????? ?????? ???? ???? ??????? ???????? ?????
  ??????? ?? ???? ?? ???? ???? netting agreements.
  ??? ???? ???? closeout netting ????? ???? ???
  ???? ?? ??????? ???????? ????? ?????? ??? OTC .
  ?????? ??? ?? ?????? ?????? ????? ????? ??? ????
  ??? ???? ????? ???? ???? ????? ?? ???? ??? ????
  ????? .

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• ?????? ???? ???? ????????? ??????? ? ????????
  ????? ????????? ?????????? ??????? ????????? ????
  ? ??????? ??? exposure ??? ???? ???? ???????
  ????? ?????? Roll- off risk ? ???? ??????
  ????????? ??? ????????? ?????????? ?? ?????? ????
  ?? ?? ????? ??? ???????? ????? ?? ??????? ???
  ????? ??? ???? .
• G- Credit review mechanism/ credit audit
• ???? ????? ???????? ????? ?????? ???????? ??????
  ????????? ??? ????? ?? ????????
• ?????????? ??????? ????
• ????? ????? ??????? ?????? ?????? ?????
  ???????? ???? ????? ?????? ??????? ?? ?? ?? ????
  ??????? ??????? ???? ????? ?? ?????? ????????
  regulatory compliance ???????? ????????
  ???????? ????? ???????? ?????? ?????? ???????
  ?????? ??????? ????????? ???????. ???????
  ?????????? ????????? ?????? ????? ????????
  ??????? ?????? ?????? ???????? ??? .

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Credit Risk mitigants

• ??????? ??????? ?? ?????? ??????? ?????????
  ???????? ?????? ??????? .
• ????? ?? ????? ????? ????? risk sharing markets
  ?????? ????? ?????? ???????? ???? ???? ??????
  ??????? ??????? ??? ????? ??????? ??????? ???????
  .
• - ???????? ????????? ?????? ??????? ?????
• 1- collateralization 2- Guarantees
• 3- Break trade laws 4- Escrow account
• 5- Insurance 6-Securitization
• 7- Equator principle 8- credit derivative
• 9- settlement through Clearing Corporation
• 10- netting .

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• 1- Collateral and margins
• ????? ?? collateral agreement ?? ??? -
• ?? ???? ??????? ?????? ????? ??????? ?????? ???
  ????? ????? ?? ????????.
• ????? ??????? ??? ?????? .
• ???? ?????? ???? ?????? ?????? ??????? ??????? .
• ??????? ??? ????? ??????? .
• ???? ?? ?????? ??????? ???? ?????? ??????? .
• ????? ???? ????? ???????? ???? ??????? .

27
????? ???????? ???? ???????
Margin requirement (percentage) Exposure against collateral (percentage) Sub nature of collateral Nature of collateral
Nil 100 a. Same currency Cash deposits
10 to 5 90 to 95 b. Different currency
25 to 20 75 to 80 a. Plant machinery Fixed Assets
30 to 20 75 to 80 b. Land and building (for commercial as well as residential purpose
30 to 25 70 to 75 c. Vehicle
20 to 15 80 to 85 a. With banks Fixed deposits
25 to 15 75 to 85 b. National saving certificates
20 85 c. Government bonds
50 50 Marketable
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• 2- Guarantees
• ?????? ?????? ? ?? ?????? ???? ?? ??????? ???????
  ??? ????? ?????? ?? ??????? ?????????? ? ?? ????
  ????? ?????? ? ?? ??? ???? .
• ?????? ???? ????? ??????? ?????? ????? ??????? ?
  ????????? ?????
• ?????? ???????? ????? ?????.
• 3- Break Trade laws
• ???? ???????? ?? ????? ????? ?? ??? ?? ??? ?? ???
  default .
• 4- Escrow account
• ???? ???? ?? ??? ??? trustee bank??? ????
  ??????? ?????
• ????? ??? ??? ????? ????? ?? ??? ?????? ??
  ??????? ??? ????? ???
• ??????? .

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• 5- Insurance
• ???????? ??? ?????? ??????? .
• 6- Securitization
• ??? ?????? ?? ?????? ?????? ???? ?? ?????? ??
  ???????? ????? ???? ?????? ???? (?????) ?????
  ????? ????? ???? ?????? ??? ??????????. ??? ????
  ?? ???? ?????? ?????? ??????? ??? ????????
  ??????????? ????? ???? ??????? ????? .
• 7- Equator principle
• ?????? ?? ?????? ??????? ??????? ???????
  ?????? ??????? ?????????? ???????? ????????
  ??????? ??????? ??????? ????? ??? ??? ????????
  ???? ???? ?????? 50 ????? ????? ????? ??? ????
  ???????? ???? ??? ?????? ?? ??? 3 ??? ?? ????? .
• ???? ?? ????? ?????? ???? ????? ??? ???????
  ?????? ?????? ??? ???????? ???? ???? ??????? ??
• ????? ?????? ??????? ?? ??????? ????????? ??
  ???????? ???????? ???? ???? ??? ??????? ??? ??
• ???????? ??? ??????? ?????? ?????? ???????? ?????
  ???????? ???????? ????? ????? ?????.
• ????? ??? ????????? ??????? ???????
• ?????? ?????? ??? ????? ????????? ???? ??????
  (IFC) ???? ???? ???????? .

30

• ???? ?????? ?? ??????? ?? ?????? ?? ???????? ???
  ?? ???? ????? ?????? ???? ??????? IFC ?? ??
  ?????? ??? ??? ??????? . ??? ????? ?????? ??
  ????? ??????? ??? ??????? ???????? ??? ??????
  ??????? ??? ???? ?????? ??? ??? ??? ?? ?????
  ?????? ???????? ???????? ??? ??????? ????????
  ????????? ?????? ??????? ??? ????????? ????????
  ??? ??? ????? ??????? ?????????? ????????
  ?????????.
• ??? ??????? ???? ?????? ?? ??????????? ??????
  ??????? ????? ???????? ?????? ?????? ???? ?????
  ??????? ??????? ?????? .
• 8- Credit derivative
• ????? ?? ???? ????? ???? ????? ????? ?? ?????
  ???????? ???? ????????? ?????? ???????? ??? ???.
  ??? ???? ????? ?????? ???? ????? ?????? ????????
  ??? ????? ?? ???? ?????? ??? ??????? ?? ??????
  ????? ????? ???????? ?????? ?????? ??????
  ???????? . ??? ??? ??? ?? ?? ??? ???? ???? ???
  ???? ????? ??? ?????? ????? ????? ???? ?? ???
  ??????? ?????? ????? ?????? ????? ???? ??? ?????
  ???? ????? ?? ????? ????? .

31

• ???? ??? ??? ?? ???? ??? ?? ??? ?? ??????? ???
  ???? ?? ???? ?? ??? ???? ?????? objective default
  price ???? ??????? ??? ?? (OTC) ????
• ???????? ??????? regulated exchanges ??? ????
  ????? ???? ?? ????? ????? ??? ???? ????? ???????
  . ??? ???? ??? ????? ?????? ????
• Credit default swap , Total return swap, Credit
  linked note .
• Credit default swap
• ??????? ??? ????? ???? ??????? ????? ?????? ?????
  ???? ???? ???? ???? ?????????
• ??????? ????? ?? ???? ?????? ??? ????? ?? ?? ????
  ??? ??????? ???? . ??? ??????? ???? ???? ?????
  ???? a material default ? ???????? ?? ????? ?????
  ????? ????? ???? ???? . ???? ??? ?????? ????
  ????? ?????? ????? ???? ????? ??? swap ???? .
• ??? ?????? ???? ????? ????????? ?? ??????
  ??????? ????? ?????? ??? ????
• ????? ????????? Credit event .

32

• Total return swap
• ??????? ??? ????? ??? ???? ????? ????? ????? ????
  ?????? ??????? ????????? . ????? ???? ????? ?????
  ??? ?????? ????? ????????? ????? ????? ??????? ??
  ??????? ?????????? ??????? ???? ???? ????? .
  ????? ?????? ???? ????? ????? ?? ????? ??? ??
  ???? vanilla interest rate swap . ????? ?????
  ??????? ??? ???? ??? ?????? ?????? . ??????
  ?????? ???? ?? ???? ?? ??? ?? ????? ??????? ??
  ??? ?? ??????? .
• Credit linked note
• ??? ???? ??? ?? ????? ???????? ?????? ?????? ???
  ???? ???? ??? ??? ?????? ???? ?????????? ??????
  expodure ???? ??????? ???? .
• ???? ?? ????? ????? ???? ?????? ???? ?? ??????
  ??????? ?? ??? ???? ???? ??
• ????? ?????? ??? ??????? ?????? .
• ????? ??????? ??? CDS ? TRS ?? ????? ???? ?????
  ?? ????? ???????? ?????

33

• ?? ??? ???? ?????? ????? ?? ??????? ??? ????? ??
  ????? ???? ??? ???? ??
• ???? ???? ?? ??????? ?????????? credit spreads
  ????? ??? ????? ???? .
• ??? ???????? ?????????? ?? ???? ??????? ????????
  ?????? ?????? ?? ????? ???????? ??????????
  capital charges ???? ????? ??? ?? ??????? ???
  33 ??? ???? ??????? ?? ????? ??????? ???? ??????
  ?????? ????? ???? ?? ???????
• ????? ???????? ??????????
• ??????? ??? ???????? ?????????? ??? ???? ??? .
• ????? ????? ?????? ?? ??????? ? ????? ??????
  ???? .
• ??? ???? ????? synthetic assets ????? ????
  ??????????? .
• ????? ??????? ?? ????? ???? ??????? ??????????
  ???? ?? ??? ?????? ??? ????? ??????? ?? ?????
  ??????? ???????? ??? ?? ???? default swap .
• ?? ??? ?????? ?? ??? ??????? ????? ????? ?????
  ?????? ????? ?????? ??? ???? ????? ????????? ???
  ????? ?? ????? ????? ?????? ?? ?? .

34
??? ???????? ?????????? ?? ?????

• ?? ???? ????? ?????? ???? ????? ??? ???? ?????
  .?????? ?? ??????? ?????????
• ???????? ?? ??? ??? ???? ???? ? ?? ????
• ????? ??? ???? ??? ????? .
• ????? ???????? ??????? ??????? ???????
  convertibility .
• ?????? ???? ?????? standardization .
• ?????? ????? ???? ????? ???????? ????? ????????
  ?????? ????? ??? ?????? ?? ?? ???? ??????? .
• 9- Clearing Corporation of India Limited (CCIP)
• ???? ??????? ?? ?????? ?????? ??? ??? ?? ??????
  ??? settlement risk ???
• ???? ????? ???????? ??? ?????? ??????? .

35
10 - Netting

• ??? ???????? ???? ???? ?? ???? 2 ?????? ????????
  ????????? ??????? . ????
• ???? ???? ?? ?? ?? ?? ??? ???
• 1- ????? ?? ????? ????? ?? ??????? ?????????? ???
  ???? ?? ???? ?? ?????? ??????? ??????? ???????
  qualified ????? netting agreement .
• 2- ?????? ?? ????? ???? ??????? ??????? ???????
  ????? ??????? ????? ??????? ?????? ??? ?????? ??
  ?????? ?? ?????? .
• 3- ????? ??? ??? ?? ???????? ?? ????? 2 ??? ????
  ????? .
• 4- ????? offset ??? ??? ?? ???????? ?? ????? 2
  ??? ???? ??????? ???? ??
• ?? ????? 3 .
• ???????? ?????? ?????? ?????? ?? ??? ???? ?????
  ??? ???? ??? ??? ??? ??
• ????? ???????? ????? ??????? ??? ??????? ???
  ????? ?? ??? ????? ???? ??????
• ??????? ?? ??? ???? ?? ???? ???? ????? . ??? ???
  ????? ????? ?? ???? ????????
• ??????? ??????? ?? ???? ??????? ?????? ??????
  ??????? ??????? ????????? ?????????? ???..

36
Types of netting

• 1- position (payment) netting
• ?? ????? ????? ??? ??? ????? (????) ???? ??
  ????????? ??? ?????? ??????? ?????????? ?????? ??
  ???? ???? ????? ??? ???? ?? ??? ??????? ???????
  ???????? .
• 2- Closeout netting
• ??? ???? ?? ???? ?????? ?? ??? ??????? ???? ???
  ??? ????? ???? ?????? ????? ????? ????? ??? ?????
  ????? ????? ??????? ?? ?? ?????? ?????? ???????
  ???????? ???? ??????? ??????? ??? ????? ?????
  ?????????? to net those obligations ???????? ????
  ??????? ????? ??????? ?????????? ?????????? ???
  ????? ??? ???? ??? ???? ???? ?????? ???? ???? .
  ????? ??????? ?????? ?? ??????? ?????? ????? ???
  ??? ??? ??? ??? ??? ?????? ????? close - out
  event ???? ??? ?????? ?????? ??????? ??? ???????
  ?????????? ???? ????? ?????? ?????? ??????? ????
  ????? ?? ??? ????? ? ?? ???? ???????? ???? ?????
  ???? ?????? ???? ????? ????? ?? ?? ?? closed bank
  . ????? ??? ?????? ?? ?????? ??????? ????
  ?????????? ??????? ??? ??????? .

37

• 3- Netting by novation ( obligation netting )
• ???? ????? ?????? ????? ???????? ????? ???????
  ?? ???? ????? ?? ??? ???? ?????? ??? ??? ?? ??
  ?????? ??? ??? ?????? . ??????? ???? ??????
  ?????? ?? ??????? ????? ????? ??????? ???? ????
  ?????? ??? ????? ??????? ??????? ??? ???? ???????
  ??? ? ???? ??? ?????? ???????? ??????? ? ???
  ?????? ????? ? ?? ?????? ??? ????? ?????????
  ?????? ??????? ??????? ? ????? ???? ??? ????
  (??????) ??????? ??????? . ????? ????????? ????
  ?? ???? ???? ?????? ???? ??? ??????? ??? ?????
  ????????? ??? ??????? . ????? ?? ??? ?????????
  ???????? ??? ??? ??? ????? matched????????? ???
  ?????? ???????? ??????? ?? ???? ????? ?????????
  ???????? ??????? ?????? ??? ???? ?? ??????
  novated ????? . ??? ??????? ???? ??????? ???? ???
  ????? ?? ?????? ???? ???? ????? ??????? ??????
  ?? ???? ??????? ??????? ?????? ???????? ???????
  ???????? ??? ?????? ???????? ???????? ?? ?????
  ??????? ??? ??????? .

38

• ????? ??????? ?????????? ??? ????? ????? ???????
  ??? ?? ??????? ??????? ???????? ???? ????? ??????
  ????? ???????? ????? ??????? ?? ?????? ????????
  ??? ?????? ?????? ????? ??? ????? ??? ??? ??? .
  ??? ???????? ???? netting by novation ??? ???
  ????? ??? ???????? ????? ???? ??? ?????????
  ????????? ????? ????? ???????? ???? ??? ??????
  ????????? ???????.????? ??? ????????? ????????
  ??????? ?????????? ???? ???? ??? ?? ???? ???????
  ????????? ????? ?? ?????? ???? ?????? ??? ?????
  ??? ????? ??????? ??? ???????.
• Bilateral netting
• ??????? ???? ??????? ??? ??????? ?? ????? ??
  ???? ??????? ??????? ????? ???? ???? ?????
  ??????? ?????? ??????? ????? ?????? ??????????
  ??????? ??????? ???? ?????? . ???????? ????????
  ??? ???? ?? ????? ?????? ??? OTC .

39

• Multiple netting
• ???? ??? ??????? ?????? ??????? ??? ?????
  ??????? ?????? ? ?????? ???? ??? ??????? ?? ????
  ????? ????? ???????? . ????? ??????? ??????
  ?????? ???? ???? ???????? ????????? ???? ???
  ????? ??????? ???????? . ??? ??????? ??? ????
  ???? ??? ????? ????? ????? ???????? (mutualize)
  ???? ???????? ????????? ??? ??? ????? ??? ????
  ????????? ??? ????? ???? ??? ??? ????? ??????
  ??????? ?????????? ??? ????? ??? .