信用評分卡PD模型信用風險衡量審核自動化設計實務 —以A銀行消費金融信用貸款業務為例

Abstract

在競爭激烈的國內消費金融市場，掌握及發現客戶風險及潛力日形重要，因此透過系統自動化分析使銀行可以用一致標準來精準評估客戶，以達到業務目標，才是成功消金業務銀行之標準管理體系。 A銀行消費金融小額個人信用貸款，傳統訂價策略是以產品別定價，原則上不同顧客在A銀行申貸相同專案貸款，利率條件是相差不多。在特定的風險偏好有可能面臨審核人員基於績效考量，過度考慮風險，而使准駁門檻提高，導致拒絕了過多風險可接受客戶，令在可接受風險範圍內，收益無法極大化。 本研究調查國內商業銀行信用風險工具中PD模型發展已超過十年，但LGD模型也同時建置完成屈指可數，只有少數指標性銀行於LGD模型有所著墨，絕大多數國內銀行信用風險量化工具僅有PD模型建置。 本研究透過評分卡優化信用風險管理策略及擴大審查自動化範圍，在A銀行消費金融貸款LGD模型尚未建置完成前，利用消費金融現有PD模型、歷史數據及外部聯徵資料，建置進件准駁及利率訂價自動化，在可接受的風險下，加速消費信貸審理程序，降低人工干預比率，進而提升貸款案件承做件數、撥款餘額及收益。 本研究強調結合信用風險管理流程設計及制定、信用風險計量模型建置、驗證及優化與內部評等模型之應用，導入將業務發展與風險成本結合建立起風險管理的策略，並將策略形成過程標準化、文件化及程序化，形成可複製之標準規範。

n terms of the intense competition in the domestic consumer finance market, whether in the area of customer risk or business opportunity, it’s getting more critical for a bank to have the capability to identify and prior management on these areas. It became a successful standard management framework in a consumer finance bank for implemented the risk management standards in their automated analysis system to asses risk accurately and achieve the operation goal. With Bank A, the individual credit loan business in the consumer finance department, their typical pricing strategy is based on the product category, bank A would provide the similar interest rate to the same loan program even different customer profiles. From a specific risk preference perspective, a risk controller might be excessive the risk assessment and a lower approval rate under the pressure of performance appraisal to a risk controller, its result the unnecessary rejects on those acceptable risks range and impact the profit maximization. Through score card system to optimize the credit risk control strategy and expand the scope of auto review system. Before LGD implemented inside bank A, it’s using a combination solution from exist PD model in consumer finance, historical data and JCIC check result to build up the automation for loan application approval process and the pricing structure of interest rate, this solution would speed up consumer finance credit check process and reduce the manual factor. Moreover, it would enhance the total loan volume and increase the profit. This study emphasizes the design and defines for credit risk management process, credit risk quantitative model implementation and to verify, optimize the use of internal assessment model, the implementation of the risk management strategy which integrated with business development and risk cost. In addition to build up the standard process from strategy formulation, this standard can be used as an industry standard spec.