Contingent Liabilities Risk Management : A Credit Risk Analysis Framework for Sovereign Guarantees and On-Lending—Country Experiences from Colombia, Indonesia, Sweden, and Turkey

Bachmair, Fritz Florian

World Bank, Washington, DC

关键词: FINANCIAL CAPABILITY;    FINANCIAL CONSUMER PROTECTION;    FINANCIAL INCLUSION;    FINANCIAL SERVICE PROVIDERS;    FINANCIAL STABILITY;   

DOI  :  10.1596/1813-9450-7538
RP-ID  :  WPS7538

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Sovereign credit guarantees andgovernment on-lending can catalyze private sector investmentand fulfill specific policy objectives. However, contingentliabilities stemming from guarantees and contingent assetsstemming from on-lending expose governments to risk. Prudentrisk management, including risk analysis and measurement,can help identify and mitigate these risks. This paperproposes a four-step structure for analyzing and measuringcredit risk: (i) defining key characteristics to determinethe choice of a risk analysis approach; (ii) analyzing riskdrivers; (iii) quantifying risks; and (iv) applying riskanalyses and quantification to the design of risk managementtools. This structure is based on an assessment ofapproaches discussed in academia and applied in practice.The paper demonstrates how the four steps of credit riskmanagement are applied in Colombia, Sweden, and Turkey. Italso discusses how the proposed framework is applied inIndonesia as it develops a credit risk management frameworkfor sovereign guarantees. Country experiences show thatalthough sovereign risk managers can draw on insights fromcredit risk management in the private sector, academicliterature, and practices in other countries, approaches torisk management need to be highly context-specific. Keydifferentiating factors include characteristics of theguarantee and on-lending portfolio, the sovereign’s specificrisk exposure, the availability of market information anddata, and resources and capacity in the public sector.Developing a sound risk analysis and measurement frameworkrequires significant investments in resources, capacitybuilding, and time. Governments should view this process asiterative and long-term.