OBVLADOVANJE KREDITNEGA TVEGANJA

Ružič, Tjaša

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Title:	OBVLADOVANJE KREDITNEGA TVEGANJA
Authors:	ID Ružič, Tjaša (Author) ID Markovič-Hribernik, Tanja (Mentor) More about this mentor... ID Dajčman, Silvo (Comentor)
Files:	UNI_Ruzic_Tjasa_2010.pdf (575,08 KB) MD5: 7DA7DD3872F0EC7C6852620BA0690651 PID: 20.500.12556/dkum/6eebf324-cd98-4a28-aace-f7f6fc67963b
Language:	Slovenian
Work type:	Final seminar paper
Organization:	EPF - Faculty of Business and Economics
Abstract:	Kreditno tveganje je tveganje finančne izgube, ki je predvsem posledica dolžnikove nezmožnosti, da zaradi katerega koli vzroka ne izpolni svoje pogodbene ali finančne obveznosti. Tveganje ima dve razsežnosti, ali bodo sredstva vrnjena ali ne, ter ali bodo vrnjena v roku kot je dogovorjeno med kreditodajalcem in kreditojemalcem. Kreditno tveganje je z vidika nastanka potencialnih izgub najpomembnejše bančno tveganje, zato je njegovo učinkovito obvladovanje in upravljanje za poslovanje bank zelo pomembno. Poleg kreditnega tveganja poznamo še vrsto drugih tveganj kot so: deželno, likvidnostno, obrestno, pravno, operativno in druga. Dejavniki kreditnega tveganja, so podlaga na kateri lahko pričnemo ocenjevati kreditojemalčevo sposobnost vračila izposojenih sredstev in meriti kreditno tveganje. Dejavniki, ki vplivajo na kreditno tveganje so podjetje, okolje in panoga. Kreditno tveganje lahko razvrstimo na tri vrste podtveganj: tveganje izpostavljenosti banke, tveganje izterjave neplačanega dolga ter tveganje neizpolnjevanja obveznosti. Vse tri vrste podtveganj smo podrobneje pojasnili v 3 poglavju. Banke poskušajo na različne načine obvladovati kreditno tveganje, ki jih lahko delimo na obvladovanje in merjenje kreditnega tveganja. Ugotavljanje, merjenje in spremljanje kreditnega tveganja ter bančni nadzor je marsikje tudi že računalniško podprt. Banka z merjenjem tveganja določi mejo še sprejemljivega tveganja, ki ga je pripravljena prevzeti. Poznamo več načinov za obvladovanje in upravljanje omenjenega tveganja. To so: ugotavljanje bonitete in kreditne sposobnosti kreditojemalca, razvrščanje aktivnih bilančnih in zunajbilančnih postavk, izpostavljenost banke, kreditne mape, pomen informacij v kreditnih poslih, kreditna analiza ter ocenjevanje in merjenje kreditnega tveganja. Zaradi treh osnovnih motivov banke je ocenjevanje omenjenega tveganja ključno, in sicer zaradi pravilnega zaračunavanja cene kredita, pravilnega določanja višine kredita in dobe kreditiranja ter pravilne ocene potencialne izgube. Bistven dejavnik za obvladovanje omenjenega tveganja je ugotavljanje bonitete kreditojemalca. Komitente banke razvrščajo v bonitetne razrede in predvsem na podlagi razreda določajo tudi zavarovanje kreditne naložbe. Kvaliteto svojega kreditnega portfelja in kreditna tveganja banke ocenjujejo na podlagi bonitetnih ocen komitenta. Z bonitetno oceno banka naredi oceno kvalitete komitenta in njegove sposobnosti, da bo izpolnjeval svoje obveznosti. Modeli za merjenje kreditnega tveganja se delijo na kvantitativni model ter kvalitativni model. Kvalitativni modeli so v primerjavi s kvantitativnimi modeli subjektivnega značaja, vendar kljub temu uporabno orodje za ocenjevanje kreditnega tveganja. Tveganje ocenjujejo z vidika faktorjev, ki so značilni za posamezne kreditojemalce (finančni vzvod, variabilnost dobička, ugled kreditojemalca,..) ter z vidika tržnih faktorjev, ki zadevajo vse kreditojemalce (višina obrestnih mer, poslovni cikel). Katero vrsto zavarovanja kredita bo zahtevala banka od komitenta je odvisno od številnih dejavnikov kot so stroški zavarovanja, kvalitete zavarovanja, namena in ročnosti kredita, vrste kreditojemalca ter drugih dejavnikov. Poznamo različne oblike zavarovanja kredita kot so bančna garancija, poroštvo, hipoteka, patronatska izjava, prenos v zavarovanje ter pristop k dolgu. Več kazalnikov opozarja, da se kreditno tveganje razmeroma hitro povečuje tudi v slovenskem bančnem sektorju. En od kazalnikov je naraščanje zamud komitentov pri poravnavanju obveznosti do bank, povečanje deleža nedonosnih terjatev, višja pokritost terjatev z oslabitvami ter prehajanje iz najvišjih bonitetnih skupin A in B v skupino C. Kreditno tveganje je naraslo tudi na podlagi izpostavljenosti tujcem, pri katerih je delež zamud nad 90 dni v vseh zamudah te skupine komitentov v primerjavi z drugimi skupinami komitentov najvišja. Visok finančni vzvod imajo dejavnosti kot so gradbeništvo, promet, skladiščenje in poslovanje z nepremičninami. V letu 2009
Keywords:	tveganje, kreditno tveganje, obvladovanje tveganj, kreditna analiza, zavarovanje tveganj, stabilnost bančnega sektorja, upravljanje s tveganji
Place of publishing:	Krog
Publisher:	[T. Ružič]
Year of publishing:	2010
PID:	20.500.12556/DKUM-15513
UDC:	336.71
COBISS.SI-ID:	10818332
NUK URN:	URN:SI:UM:DK:LXS4JOJE
Publication date in DKUM:	09.11.2011
Views:	4985
Downloads:	597
Metadata:
Categories:	EPF
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Secondary language

Language:	English
Title:	MANAGING CREDIT RISK
Abstract:	Credit risk is a risk of financial loss, which is largely a consequence of the debtor's inability to, for whatever reason, fulfill contractual or financial obligations. The risk has two dimensions, the first is the probability of the funds being repaid and the second is the matter of whether the payment will be made within the time limit stipulated by the creditor and the borrower. With regard to potential losses, credit risk is the most important risk in banking. Risk control and management are therefore of key importance in ensuring the effective functioning of a bank. Among other types of risks are: country risk, liquidity risk, interest rate risk, legal risk and operational risk. Factors of credit risk serve as the basis on which it is possible to start assessing the borrower's creditworthiness and measuring credit risk. Factors contributing to credit risk are the company and its line of business as well as the economic environment. Credit risk can be divided into three subgroups – the risk of bank exposure, of debt collection and of exposure at default. The three subgroups are discussed in detail in Chapter 3. Banks use different measures in their attempts to control credit risk. These measures can be categorized into credit risk management and credit risk measurement. The processes of establishing, measuring, following and controlling credit risks are often computer-assisted activities. Banks measure credit risk in order to limit acceptable risk they are willing to assume. There are different ways of controlling and managing risk – credit rating and determining the creditworthiness of the borrower, classification of asset items and off-balance-sheet items, bank exposure, loan documentation, the importance of information in credit operations, credit analysis as well as credit risk assessment and measurement. Considering the bank's interests, credit risk assessment is of primary importance because of its role in the correct determination of the interest rate, in establishing the credit limit and period as well as in the correct evaluation of potential loss. The decisive factor in risk management is the evaluation of the credit standing of the borrower. Banks place their clients into credit standing groups and determine credit insurance based on these groups. The quality of the credit portfolio and credit risks are evaluated by the bank on the basis of a client's credit assessment. The bank uses credit assessments to evaluate the quality of the client and his ability to fulfill his obligations. Models applied for credit risk measurement can be either quantitative or qualitative. As opposed to quantitative models, qualitative approaches tend to be more subjective but remain a useful tool for assessing credit risk. The risk is evaluated in relation to the factors, characteristic of individual borrowers (financial leverage, profit variability, the reputation of the borrower ...) to market factors concerning all borrowers (interest rate, business cycle). The type of insurance demanded by the bank depends on numerous factors, such as insurance costs, the quality of insurance, the purpose and maturity of the credit, the type of borrower and other factors. There are different type of credit insurance, among them are bank guarantee, mortgage, guarantee, comfort letter, transfer to insurance and approach to debt. There are several indicators that point to the rapid increase in credit risk in the Slovenian banking sector. The rise in delays in payment by clients, increase in the proportion of non-performing claims, a higher coverage of claims by impairments and the downgrading from the highest A and B ratings to the C rating. Credit risk increased further on the basis of exposure to non-residents, a group with the highest proportion of claims that are more than 90 days in arrears. There is a high leverage in the sectors of construction, transportation and storage and real estate activities. The reversal in the real estate market in 2009, when demand was lower than supply for the first time in years
Keywords:	risk, credit risk, risk control, credit analysis, risk insurance, banking sector stability, risk management

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