Professional Documents
Culture Documents
OECD Audit Risk Based
OECD Audit Risk Based
,1)250$7,21127(
&RPSOLDQFH5LVN0DQDJHPHQW
$XGLW&DVH6HOHFWLRQ6\VWHPV
3UHSDUHGE\
)RUXPRQ7D[$GPLQLVWUDWLRQ
&RPSOLDQFH6XEJURXS
$SSURYHGE\
&(175()257$;32/,&<$1'$'0,1,675$7,21
&RPPLWWHHRQ)LVFDO$IIDLUV
2FWREHU
7$%/(2)&217(176
$%2877+,6'2&80(17
%DFNJURXQG
3XUSRVH
&DYHDW
,QTXLULHVDQGIXUWKHULQIRUPDWLRQ
6800$5<
,1752'8&7,21
)RFXVLQJRQVPDOOEXVLQHVV
52/(2)$8',7:,7+,1&203/,$1&(5,6.0$1$*(0(17
.(<5(48,5(0(176,1$1())(&7,9(&$6(6(/(&7,21352&(66
'DWD ,QIRUPDWLRQ
.QRZOHGJHPDQDJHPHQW DQDO\VLVWHFKQLTXHV
2WKHU(QDEOHUV
(9$/8$7,21$1')(('%$&.
&$6(678',(6
&DVH6WXG\
&DVH6WXG\
&DVH6WXG\
&DVH6WXG\
&DVH6WXG\
&DVH6WXG\
&DVH6WXG\
7$%/(6
),*85(6
$XGLW&DVH6HOHFWLRQ6\VWHPV
$%2877+,6'2&80(17
3XUSRVH
7KLV LQIRUPDWLRQ QRWH FRQVLVWLQJ ODUJHO\ RI D QXPEHU RI FRXQWU\ FDVH VWXGLHV VHHNV WR
LOOXVWUDWH WKH DSSOLFDWLRQ RI FRPSOLDQFH ULVN PDQDJHPHQW WHFKQLTXHV LQ WKH DXGLW FDVH
VHOHFWLRQSURFHVVHVRIUHYHQXHDXWKRULWLHVLQDQXPEHURI2(&'PHPEHUFRXQWULHV
7KHQRWH ZDV SUHSDUHGZLWKWKHDVVLVWDQFHRIRIILFLDOVIURP UHYHQXHDXWKRULWLHVLQ$XVWUDOLD
$XVWULD &DQDGD )LQODQG )UDQFH *HUPDQ\ *UHHFH ,UHODQG -DSDQ 1HZ =HDODQG 1RUZD\
6ZHGHQ6ZLW]HUODQG8QLWHG.LQJGRPDQGWKH8QLWHG6WDWHV
%DFNJURXQG
6KDULQJNQRZOHGJHZLWKLQDQGEH\RQGWKH2(&'
:LWK JOREDOLVDWLRQ FRPHV WKH LQFUHDVLQJ QHHG IRU WD[ DGPLQLVWUDWLRQV DURXQG WKH ZRUOG WR
FRRSHUDWH WR KHOS HDFK FRXQWU\ DGPLQLVWHU WKHLU UHYHQXH V\VWHP 7KH ZRUN RI WKH
2UJDQLVDWLRQ IRU (FRQRPLF &RRSHUDWLRQ DQG 'HYHORSPHQW 2(&' DQG RWKHU LQWHUQDWLRQDO
RUJDQLVDWLRQV DLPV WR ILQG ZD\V WR HQVXUH WKH FRUUHFW WD[ LV SDLG LQ WKH FRUUHFW MXULVGLFWLRQ
2(&'PHPEHUV QHHGWRFRQWLQXHWR H[SORUHZD\VRIVKDULQJ H[SHULHQFHDQGFRQWULEXWLQJWR
RQJRLQJUHVHDUFK
)RFXVRQLVVXHVRIULVNPDQDJHPHQW
,Q -XO\ WKH &RPPLWWHH RQ )LVFDO $IIDLUV DSSURYHG WKH 3UDFWLFH 1RWH WLWOHG 5LVN
0DQDJHPHQW ,Q DGGLWLRQ WR SURYLGLQJ D JHQHUDOLVHG GHVFULSWLRQ RI ULVN PDQDJHPHQW WKH
1RWH DFNQRZOHGJHG WKDW D QXPEHU RI QDWLRQDO UHYHQXH DXWKRULWLHV KDG VWDUWHG WR XVH ULVN
PDQDJHPHQWSULQFLSOHVLQRUGHUWREHWWHUDOORFDWHVFDUFHUHVRXUFHVWRDFKLHYHDQRSWLPXPWD[
FRPSOLDQFHVWUDWHJ\RQHDLPHGDWDFKLHYLQJWKHEHVWRYHUDOOWD[FRPSOLDQFHRXWFRPHIRUWKH
UHVRXUFHV HPSOR\HG 7KH QRWH ZHQW RQ WR GHVFULEH LQ EULHI WKH FRQFHSW RI UHYHQXH ULVN
PDQDJHPHQW LQ D WD[ DGPLQLVWUDWLRQ FRQWH[W GLVFXVVHG VRPH SUDFWLFDO FRQVLGHUDWLRQV LQ
XQGHUWDNLQJ UHYHQXH ULVN DVVHVVPHQWV DQG SURYLGHG D EULHI GHVFULSWLRQ RI D PRGHO IRU WKH
DSSOLFDWLRQ RI ULVN PDQDJHPHQW LQ D WD[ DGPLQLVWUDWLRQ FRQWH[WGHVFULEHG DV WKH 5HYHQXH
5LVN0DQDJHPHQW&\FOH
5HFHQW \HDUV KDYH ZLWQHVVHG PDMRU UHIRUPV LQ SXEOLF VHFWRU DGPLQLVWUDWLRQ DV JRYHUQPHQWV
VWULYHWRLPSURYHWKHHIILFLHQF\DQGHIIHFWLYHQHVVRIWKHLURSHUDWLRQV&HQWUDOWRWKHVHUHIRUPV
KDVEHHQWKHHVWDEOLVKPHQWRIVRXQGFRUSRUDWHJRYHUQDQFHSUDFWLFHVLQFOXGLQJWKHDSSOLFDWLRQ
RI PRGHUQ ULVN PDQDJHPHQW DSSURDFKHV $V D UHVXOW QDWLRQDO UHYHQXH DXWKRULWLHV LQ D
QXPEHU RI FRXQWULHV KDYH JLYHQ FRQVLGHUDEOH DWWHQWLRQ WR WKH GHYHORSPHQW RI VRXQG
FRPSOLDQFHULVNPDQDJHPHQWSUDFWLFHVUHVXOWLQJLQWKHLUIXUWKHUHYROXWLRQ'XULQJPHHWLQJV
RIWKH&)$V)RUXPRQ6WUDWHJLF0DQDJHPHQWLQHDUO\LWZDVDJUHHGWKDWIXUWKHUZRUN
VKRXOG EH FDUULHG RXW E\ FRXQWU\ WD[ RIILFLDOV WR VKDUH H[SHULHQFHV DQG WR SURYLGH PRUH
FRPSUHKHQVLYH JXLGDQFH RQ FRPSOLDQFH ULVN PDQDJHPHQW SUDFWLFHV SDUWLFXODUO\ IRU VPDOO
PHGLXPHQWHUSULVHV60(V
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KH)RUXPRQ7D[$GPLQLVWUDWLRQ&RPSOLDQFH6XEJURXS
,Q 0D\ WD[ RIILFLDOV IURP D QXPEHU RI 2(&' FRXQWULHV FRQYHQHG LQ /RQGRQDV WKH
)RUXP RQ 7D[ $GPLQLVWUDWLRQV &RPSOLDQFH 6XEJURXSWR FRQVLGHU ZKDW DFWLRQV FRXOG EH
WDNHQWRH[FKDQJHH[SHULHQFHVLQWKHDUHDRIFRPSOLDQFHULVNPDQDJHPHQWDQGWRDJUHHRQD
VWUDWHJ\ IRU GRFXPHQWLQJ JXLGDQFH RQ WKLV LPSRUWDQW WRSLF 7KH VFRSH RI WKH 6XEJURXSV
ZRUNZDVWR EHGRPHVWLFFRPSOLDQFHLVVXHVDIIHFWLQJ PHGLXPDQGVPDOOEXVLQHVVHV$WWKDW
PHHWLQJDQXPEHURIWDVNJURXSVZHUHHVWDEOLVKHGDQGDVHULHVRIVXEMHFWVZHUHLGHQWLILHGIRU
FRQVLGHUDWLRQDQGUHVHDUFK$WDURXQGWKLVVDPHWLPHWKH)7$VZRUNLQWKHDUHDRIHOHFWURQLF
FRPPHUFH VXJJHVWHG WKDW WKHUH ZRXOG DOVR EH YDOXH LQ XQGHUWDNLQJ D VWXG\ RI FRXQWU\
H[SHULHQFHV ZLWK WKH GHYHORSPHQW RI ,QWHUQHW VHDUFK WRROV IRU FRPSOLDQFH ULVN PDQDJHPHQW
SXUSRVHV ,W ZDV WKHUHIRUH GHFLGH WR EULQJ WKLV VWXG\ ZLWKLQ WKH ZRUN SURJUDPPH RI WKH
&RPSOLDQFH6XEJURXSJLYHQLWVIRFXVRQFRPSOLDQFHULVNPDQDJHPHQWPDWWHUV7KHZRUNRI
WKH&RPSOLDQFH6XEJURXSKDVQRZFXOPLQDWHGLQWKHGHYHORSPHQWRIDQXPEHURISURGXFWV
WKDW IROORZLQJ DSSURYDO E\ WKH &)$ ZLOO EH GLVVHPLQDWHG WR DOO 2(&' FRXQWULHV 7KHVH
SURGXFWVDOOUHODWLQJWR&RPSOLDQFH5LVN0DQDJHPHQWDUH
*XLGDQFH1RWH
0DQDJLQJDQG,PSURYLQJ7D[&RPSOLDQFH
,QIRUPDWLRQ1RWH &DWDORJXHRI&RPSOLDQFH5HVHDUFK3URMHFWV
,QIRUPDWLRQ1RWH &DWDORJXHRI&RPSOLDQFH6WUDWHJLHV
,QIRUPDWLRQ1RWH $XGLW&DVH6HOHFWLRQ6\VWHPV
,QIRUPDWLRQ1RWH 8VHRI5DQGRP$XGLW3URJUDPV
*XLGDQFH1RWH
3URJUHVVZLWKWKH'HYHORSPHQWRI,QWHUQHW6HDUFK7RROV
&DYHDW
(DFK UHYHQXH DXWKRULW\ IDFHV D YDULHG HQYLURQPHQW ZLWKLQ ZKLFK WKH\ DGPLQLVWHU WKHLU
WD[DWLRQV\VWHP-XULVGLFWLRQVGLIIHULQUHVSHFWRIWKHLUSROLF\DQGOHJLVODWLYHHQYLURQPHQWDQG
WKHLUDGPLQLVWUDWLYHSUDFWLFHVDQGFXOWXUH$VVXFKDVWDQGDUGDSSURDFKWRWD[DGPLQLVWUDWLRQ
PD\EHQHLWKHUSUDFWLFDOQRUGHVLUDEOHLQDSDUWLFXODULQVWDQFH7KHGRFXPHQWVIRUPLQJWKH
2(&' WD[ JXLGDQFH VHULHV QHHG WR EH LQWHUSUHWHG ZLWK WKLV LQ PLQG &DUH VKRXOG DOZD\V EH
WDNHQZKHQFRQVLGHULQJDFRXQWU\VSUDFWLFHVWRIXOO\DSSUHFLDWHWKHFRPSOH[IDFWRUVWKDWKDYH
VKDSHGDSDUWLFXODUDSSURDFK
,QTXLULHVDQGIXUWKHULQIRUPDWLRQ
,QTXLULHV FRQFHUQLQJ DQ\ PDWWHUV UDLVHG LQ WKLV LQIRUPDWLRQ QRWH VKRXOG EH GLUHFWHG WR
5LFKDUG+LJKILHOG+HDG&73$7D[$GPLQLVWUDWLRQDQG&RQVXPSWLRQ7D[HV'LYLVLRQSKRQH
RUHPDLO5LFKDUG+LJKILHOG#RHFGRUJ
$XGLW&DVH6HOHFWLRQ6\VWHPV
6800$5<
$XGLWV DUH D FULWLFDO DQG VLJQLILFDQW FRPSRQHQW RI WKH FRPSOLDQFH DFWLYLWLHV RI UHYHQXH
DXWKRULWLHVLQDOO2(&'FRXQWULHV)DFHGZLWKOLPLWHGUHVRXUFHVDQGUHODWLYHO\ODUJHQXPEHUV
RI WD[SD\HUV WR DGPLQLVWHU HVSHFLDOO\ LQ WKH 60( VHFWRU UHYHQXH DXWKRULWLHV UHTXLUH D
V\VWHPDWLFULVNEDVHGDSSURDFKIRULGHQWLI\LQJZKLFKWD[SD\HUVWRDXGLW
7KLV LQIRUPDWLRQ QRWH FRQVLVWLQJ ODUJHO\ RI D QXPEHU RI FRXQWU\ FDVH VWXGLHV VHHNV WR
LOOXVWUDWH WKH DSSOLFDWLRQ RI FRPSOLDQFH ULVN PDQDJHPHQW WHFKQLTXHV LQ WKH DXGLW FDVH
VHOHFWLRQSURFHVVHVRIUHYHQXHDXWKRULWLHVLQDQXPEHURI2(&'PHPEHUFRXQWULHV
)URPWKHVHFDVHVWXGLHVLWFDQEHVHHQWKDWWKHUHWKDWWKHUHDUHWZRNH\HOHPHQWVQHFHVVDU\
IRUDQHIIHFWLYHDXGLWFDVHVHOHFWLRQSURFHVV
x 7KHWLPHO\DYDLODELOLW\RIDFFXUDWHDQGFRPSUHKHQVLYHGDWD
x 7KH DYDLODELOLW\ RI UHOHYDQW NQRZOHGJH DQG VNLOOV WR DQDO\VH DQG SULRULWLVH DYDLODEOH
GDWDDQGWRIDFLOLWDWHIHHGEDFNLQWRXSGDWLQJDXGLWFDVHVHOHFWLRQSDUDPHWHUVDQGWKH
FRPSOLDQFHULVNPDQDJHPHQWSURFHVVDWWKHVWUDWHJLFOHYHO
2WKHU HQDEOHUV WKDW KDYH EHHQ IRXQG WR EH FULWLFDO DUH UHVRXUFHV IRU LQIRUPDWLRQ WHFKQRORJ\
V\VWHPV FRYHULQJ DOO DVSHFWV RI GDWD FDSWXUH DFFXPXODWLRQ DQG DQDO\VLV DQG D VROLG
RUJDQLVDWLRQDOFRPPLWPHQWWRWKHULVNLGHQWLILFDWLRQDQGDVVHVVPHQWIXQFWLRQ
$XGLW&DVH6HOHFWLRQ6\VWHPV
,1752'8&7,21
7KHSULPDU\JRDORIDUHYHQXHDXWKRULW\LVWRPDQDJHDQGLPSURYHRYHUDOOFRPSOLDQFH
ZLWK WKH WD[ ODZV DQG LQ WKH SURFHVV VXVWDLQ FRQILGHQFH LQ WKH WD[ V\VWHP DQG LWV
DGPLQLVWUDWLRQ 7KH DFWLRQV RI WD[SD\HUV ZKHWKHU GXH WR LJQRUDQFH FDUHOHVVQHVV
UHFNOHVVQHVV RU GHOLEHUDWH HYDVLRQ RU ZHDNQHVVHV LQ DGPLQLVWUDWLRQ PHDQ WKDW
LQVWDQFHV RI IDLOXUH WR FRPSO\ ZLWK WKH ODZ DUH LQHYLWDEOH" 7R WKH H[WHQW WKDW VXFK
IDLOXUHV RFFXU JRYHUQPHQWV DQG LQ WXUQ WKH FRPPXQLWLHV WKH\ UHSUHVHQW DUH GHQLHG
WKHWD[UHYHQXHVWKH\QHHGWRSURYLGHVHUYLFHVWRFLWL]HQV
+LVWRULFDOO\ WKHVH IDLOXUHV RU FRPSOLDQFH ULVNV KDYH EHHQ DGGUHVVHG RQO\ LQ WHUPV RI
HQIRUFHPHQWWKURXJKDQDXGLWEDVHGDSSURDFKDQGWKHFDVHVWXGLHVLQWKLVQRWHUHIOHFW
WKDWHPSKDVLV
%XW ZKLOVW DXGLW UHPDLQV D IXQGDPHQWDO DQG QHFHVVDU\ DSSURDFK WR DGGUHVVLQJ
QRQFRPSOLDQFHWKHH[DPSOHVJLYHQ LQWKLVQRWHUHFRJQLVHWKDWWKHIDFWRUVXQGHUO\LQJ
WD[SD\HUVFRPSOLDQFHEHKDYLRXULQDQ\VSHFLILFULVNDUHDDUHIUHTXHQWO\TXLWHFRPSOH[
DQGDVDUHVXOWDUHXQOLNHO\WREHWUHDWHGVXFFHVVIXOO\ZLWKDVLQJOHDFWLRQVWUDWHJ\
SDUWLFXODUO\ RQH EDVHG VROHO\ RQ YHULILFDWLRQ DQG HQIRUFHPHQW DFWLRQV ,Q WKLV UHJDUG
WKHJXLGDQFHHQFRXUDJHVUHYHQXHDXWKRULWLHVWRJLYHJUHDWHUDWWHQWLRQWRXQGHUVWDQGLQJ
WKH IDFWRUV WKDW VKDSH WD[SD\HUV FRPSOLDQFH EHKDYLRXU VR WKDW D SRWHQWLDOO\ PRUH
HIIHFWLYHVHWRIUHVSRQVHVRQHVWKDWGHDOZLWKWKHXQGHUO\LQJQRQFRPSOLDQWEHKDYLRXU
UDWKHUWKDQIRFXVVLQJRQWUHDWLQJWKHV\PSWRPVFDQEHFUDIWHGDQGLPSOHPHQWHG
)RFXVLQJRQVPDOOEXVLQHVV
7KHPDLQIRFXVRIWKHVHULHVRIZKLFKWKLVQRWHLVDSDUWLVRQ6PDOODQG0HGLXPVL]HG
(QWHUSULVHV60(VDQGSDUWLFXODUO\WKHULVNRIWKHLUXQGHUUHSRUWLQJLQFRPHIRUHLWKHU
GLUHFW RU LQGLUHFW WD[HV +RZHYHU WKH SULQFLSOHV DQG NH\ HOHPHQWV DUH HTXDOO\
DSSOLFDEOH IRU LGHQWLI\LQJ ULVNV DVVRFLDWHG ZLWK QRQUHJLVWUDWLRQ QRQILOLQJ DQG
QRQSD\PHQW
'HILQLWLRQVRIZKDWLQSDUWLFXODUFRPSULVHVDQ60(YDU\EHWZHHQDGPLQLVWUDWLRQVEXWD
XVHIXO VXPPDU\ FDQ EH IRXQG LQ WKH FRPSDQLRQ SDSHU LQ WKLV VHULHV 8VH RI 5DQGRP
$XGLWVZKHUHWKH\DUHFDOOHG6PDOO 0LGVL]H%XVLQHVVHV
$ VPDOO DQG PLGVL]H EXVLQHVV LV DQ\ IRUSURILW FRPPHUFLDO HQWLW\ RWKHU
WKDQ WKRVH WKDW H[FHHG D JLYHQ KLJK DVVHW WKUHVKROG 6PDOO EXVLQHVVHV
LQFOXGH VROH SURSULHWRU SDUWQHUVKLS DQG FRUSRUDWH IRUPV RI RUJDQLVDWLRQ
7KH\ DOVR LQFOXGH LQGLYLGXDO UHWXUQ ILOHUV ZKR KDYH LQFRPH IURP
VHOIHPSOR\PHQW HYHQ LI VHOIHPSOR\PHQW LQFRPH LV QRW WKHLU SULPDU\
VRXUFHRILQFRPH
60(V UHSUHVHQW D KLJK ULVN JURXS LQ PRVW FRXQWULHV EHFDXVH WKH\ DUH QXPHURXV DQG
EHFDXVHWKHLULQFRPHLVQHLWKHUIL[HGQRUFDSDEOHLQPRVWFDVHVRIYHULILFDWLRQDJDLQVW
WKLUG SDUW\ GDWD ,Q DGGLWLRQ WKHLU FRPPHUFLDO VHWXSV FDQ ODFN WKH ZHOO GHYHORSHG
VWUXFWXUHV IRU UHFRUG NHHSLQJ LQGHSHQGHQW DXGLW RI DFFRXQWV DQG FDVK KDQGOLQJ WKDW
KHOSWRPLQLPLVHULVNVRIXQGHUUHSRUWLQJLQODUJHUEXVLQHVVHV
$XGLW&DVH6HOHFWLRQ6\VWHPV
52/(2)$8',7:,7+,1
&203/,$1&(5,6.0$1$*(0(17
,W LV D NH\ IDFHW RI FRPSOLDQFH ULVN PDQDJHPHQW WHFKQLTXHV WKDW WKH WUHDWPHQWV IRU
LGHQWLILHGULVNVILWZHOOWRJHWKHUZLWKLQWKHRSHUDWLRQDOFRQWH[WRIHDFK$GPLQLVWUDWLRQ
7KH WUHDWPHQWV VKRXOG LQFOXGH ERWK SURDFWLYH DQG UHDFWLYH VWUDWHJLHV DQG WKH\ VKRXOG
FRYHU DOO UHOHYDQW WD[HV LQ DQ LQWHJUDWHG PDQQHU )XUWKHUPRUH D JRRG WUHDWPHQW ZLOO
RIWHQLQFOXGHDVXLWHRIVWUDWHJLHVUDWKHUWKDQDVLQJOHDSSURDFKUHFRJQLVLQJWKHGLIIHULQJ
GULYHUVIRUQRQFRPSOLDQFH
$XGLW KDV LQ WKH SDVW EHHQ WKH VROH WUHDWPHQW IRU FRPSOLDQFH ULVN DYDLODEOH WR
DGPLQLVWUDWLRQV DQG ZLOO FRQWLQXH WR SOD\ D NH\ UROH LQ WKH GHYHORSPHQW RI PRUH
LQWHJUDWHGVWUDWHJLHV,WFDQEHGHILQHGDVDQ\WUHDWPHQWWKDWUHTXLUHVWKHDFWLYHUHYLHZ
RIWKHUHFRUGVRQZKLFKWD[UHWXUQVDQGFRPSXWDWLRQVKDYHEHHQEDVHGIURPWKHWZLQ
VWDQGSRLQWV
GRWKHUHFRUGVIDLUO\UHIOHFWWKHIXOODFWLYLWLHVRIWKHWD[SD\HUDQG
GRWKHFDOFXODWLRQVSURSHUO\FRPSO\ZLWKWHFKQLFDOWD[UHJXODWLRQV"
$OWKRXJKWKHIRFXVRQIOH[LEOHDQGFRRUGLQDWHGUHVSRQVHWRULVNLVKLJKOLJKWLQJWKHYDOXH
DQGHIIHFWLYHQHVVRIPDQ\IRUPVRIQRQDXGLWLQWHUYHQWLRQDXGLWZLOOFRQWLQXHWRSOD\D
NH\UROHLQUHVSRQVHVWRQRQFRPSOLDQFH
x
DXGLWLVWKHVWUDWHJ\WKDWDOORZVDGPLQLVWUDWLRQVWRH[HUFLVHHIIHFWLYHVDQFWLRQV
DQGWRGHDOZLWKWKRVHWRZDUGVWKHWRSRIWKH&RPSOLDQFH3\UDPLGVHHWKH
JXLGDQFH QRWH 0DQDJLQJ DQG ,PSURYLQJ 7D[ &RPSOLDQFH )LJXUH E\
HQIRUFLQJFRPSOLDQFH
DXGLW DFWV DV D SXEOLF VDQFWLRQ PDNLQJ WKH H[WHQW RI WKH $GPLQLVWUDWLRQV
HQIRUFHPHQW SRZHUV YLVLEOH ZLWKLQ WKH FRPPXQLW\ DQG WKXV HQFRXUDJLQJ
RWKHUVWRFRPSO\
WKH GDWD JDWKHUHG GXULQJ DXGLW LV DQ HVVHQWLDO EXLOGLQJ EORFN LQ WKH
DSSUHFLDWLRQRIFRPSOLDQFHULVNDQGWKHGHYLVLQJRIDSSURSULDWHWUHDWPHQWV
6R WKH HIIHFWV RI D VXFFHVVIXO DXGLW SURJUDPPH DUH QRW OLPLWHG WR WKH GLUHFW HIIHFWV RI
HDFKLQGLYLGXDODFWLRQLQWHUPVRIDGGLWLRQDOGXWLHVLQWHUHVWRUSHQDOWLHVDQGHQIRUFHG
FRPSOLDQFH7KHUHDUHFOHDUDQGLQPDQ\ZD\VPRUHLPSRUWDQWLQGLUHFWHIIHFWVIURP
$XGLW SURJUDPPHV LQ WHUPV RI PDLQWDLQLQJ OHYHOV RI FRPSOLDQFH 7KHVH HIIHFWV DUH
GHVFULEHGDV
x
DFRUUHFWLYHHIIHFWSHUVXDGLQJLQGLYLGXDOFXVWRPHUVWRPRYHIXUWKHUWRZDUGV
WKH ERWWRP RI WKH FRPSOLDQFH S\UDPLG VHH )LJXUH RI 0DQDJLQJ DQG
,PSURYLQJ7D[&RPSOLDQFH
DGHWHUUHQWHIIHFWSHUVXDGLQJFXVWRPHUJURXSVWKDWLWLVLQWKHLULQWHUHVWVWR
EHPRUHFRPSOLDQW
DQLQGLUHFWSUHYHQWLYHHIIHFWWKHSHUFHLYHGGHWHUUHQWHIIHFWWKDWDXGLWVKDYH
RQRWKHUV
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KXV WKH DXGLW SURJUDPPH XQGHUSLQV VXEVWDQWLDO OHYHOV RI YROXQWDU\ FRPSOLDQFH DQG
FRQWULEXWHV WR WKH GHYHORSLQJ ZRUN RQ RWKHU PHWKRGV RI LQIOXHQFLQJ FXVWRPHU
EHKDYLRXU
$XGLW&DVH6HOHFWLRQ6\VWHPV
.(<5(48,5(0(176,1$1
())(&7,9(&$6(6(/(&7,21
352&(66
$ IXQGDPHQWDO SRLQW RI WKH FRPSOLDQFH ULVN PDQDJHPHQW SURFHVV LV WKDW WKH VWUDWHJLF
ULVNLGHQWLILFDWLRQQHHGVWRRFFXUDQGEHVHWWOHGEHIRUHRSHUDWLRQDORUFDVHEDVHGULVNV
FDQ EH LGHQWLILHG ,Q WKH VDPH ZD\ WKDW WKH HQYLURQPHQWDO VFDQQLQJ VHWV WKH FRQWH[W
ZLWKLQ ZKLFK VWUDWHJLF ULVNV FDQ EH HIIHFWLYHO\ LGHQWLILHG WKH LGHQWLILFDWLRQ RI VWUDWHJLF
ULVNV UHSUHVHQWV WKH FRQWH[W ZLWKLQ ZKLFK RSHUDWLRQDO RU FDVH EDVHG ULVN LGHQWLILFDWLRQ
RFFXUV1HYHUWKHOHVVWKH VWUDWHJLFULVNLGHQWLILFDWLRQSURFHVVLVLQIRUPHGWKURXJKWKH
FRQWLQXRXV DFFXPXODWLRQ RI GDWD ZKLFK LV SURJUHVVLYHO\ WUDQVIRUPHG LQWR LQWHOOLJHQFH
DQG NQRZOHGJH 7KLV GDWD DFFXPXODWLRQ RIWHQ RFFXUV LQ SDUW DV D UHVXOW RI SDVW
RSHUDWLRQDOULVNWUHDWPHQWV
7KHOHYHORIVWUDWHJLFLQWHOOLJHQFHFDSDELOLW\LQHDFKDGPLQLVWUDWLRQVHH)LJXUHVDQG
RI0DQDJLQJDQG,PSURYLQJ7D[&RPSOLDQFHZLOOYDU\GHSHQGLQJRQWKHOHYHORI
GHYHORSPHQWLQHDFKRIWKHNQRZOHGJHDQGRUJDQLVDWLRQDOSHUVSHFWLYHV1HYHUWKHOHVVLQ
VHOHFWLQJVSHFLILFFDVHVIRUWUHDWPHQWHLWKHUIRUDXGLWRURWKHUZLVHWKHDGPLQLVWUDWLRQ
QHHGVWRKDYHWKHFDSDELOLW\WRIRFXVEDFNGRZQLQWRWKHERWWRPOHIWKDQGFRUQHURIWKH
PRGHORQVSHFLILFFDVHVRUWUDQVDFWLRQVUHTXLULQJUHYLHZ
)URP WKHVH VWXGLHV LW FDQ EH VHHQ WKDW WKHUH DUH WZR NH\ HOHPHQWV QHFHVVDU\ LQ WKH
HIIHFWLYH WUDQVODWLRQ RI VWUDWHJLF SULRULWLHV IRU ULVN WUHDWPHQWV LQWR LQGLYLGXDO FDVH
VHOHFWLRQVIRUDFWLRQ
DFFXUDWHDQGWLPHO\GDWDDQGLQIRUPDWLRQUHOHYDQWWRWKHFRPSOLDQFHULVNVWR
EHDGGUHVVHG
NQRZOHGJHDQGWHFKQLTXHVZLWKZKLFKWRDQDO\VHDQGSULRULWLVHWKDWGDWDDQG
WR IDFLOLWDWH IHHGEDFN LQWR WKH FRPSOLDQFH ULVN PDQDJHPHQW SURFHVV DW D
VWUDWHJLFOHYHO
2WKHU HQDEOHUV WKDW KDYH EHHQ IRXQG WR EH FULWLFDO DUH UHVRXUFHV IRU LQIRUPDWLRQ
WHFKQRORJ\ V\VWHPV FRYHULQJ DOO DVSHFWV RI GDWD FDSWXUH DFFXPXODWLRQ DQG DQDO\VLV
DQG D VROLG RUJDQLVDWLRQDO FRPPLWPHQW WR WKH ULVN LGHQWLILFDWLRQ DQG DVVHVVPHQW
IXQFWLRQ
$XGLW&DVH6HOHFWLRQ6\VWHPV
'DWD ,QIRUPDWLRQ
7KHPDLQUHTXLUHPHQWKHUHLVDFFHVVWRWKHGDWDFRQWDLQHGZLWKLQLQGLYLGXDOWD[UHWXUQV
PDGH E\ LQGLYLGXDO FXVWRPHUV (DFK RI WKH VWXGLHV SODFHV D FHQWUDO HPSKDVLV RQ WKH
LQWHUURJDWLRQ RI WKDW GDWD HOHFWURQLFDOO\ RU PDQXDOO\ 7KLV GDWD LV XVHG WR LGHQWLI\
EDGJHVRIQRQFRPSOLDQFHHLWKHULQWHUPVRIIRUPDOULVNVFRUHVRUE\UHIHUHQFHWR
WUDQVDFWLRQV LGHQWLILHG E\ VWUDWHJLF UHYLHZ RU E\ FDVH ZRUNHUV NQRZOHGJH DV LQ
WKHPVHOYHVLQGLFDWLQJQRQFRPSOLDQFH
2WKHUNH\GDWDWKDWLVHVVHQWLDOLQFUHDWLQJHIIHFWLYHFDVHVHOHFWLRQPHWKRGRORJLHVEXW
OHVVXELTXLWRXVLQWKHFDVHVWXGLHVDUH
x LQIRUPDWLRQIURPWKLUGSDUWLHVZKLFKFDQFRQILUPRURWKHUZLVHWKHGHWDLOV
VKRZQRQWD[UHWXUQV
x SUHYLRXVFDVHKLVWRULHVRIWKHLQGLYLGXDOVFRQFHUQHG
x PRUHJHQHULFWD[SD\HUEXVLQHVVVHFWRUSURILOHV
&KDOOHQJHVWREHGHDOWZLWKKHUHLQSDUWLFXODUDVDGPLQLVWUDWLRQVPRYHWRZDUGVDPRUH
WKRURXJKJRLQJULVNPDQDJHPHQWSURFHVVDUH
x WKH IRFXV LQ WKH VWXGLHV WHQGV WR EH RQ D VLQJOH UHWXUQ EXW WR JHW WKH PRVW
YDOXHIURPWKHGDWDLWLVQHFHVVDU\WRHQULFKWKHGDWDZLWKDQDSSUHFLDWLRQRI
WKHFRPSOLDQFHKLVWRU\RIWKHLQGLYLGXDOFRQFHUQHG
x VLPLODUO\ PRUHYDOXHFDQ EHREWDLQHGIURPWKHGDWDLILWFDQEHUHODWHGWR
GDWDVXSSOLHGE\LQGLYLGXDOVLQFRPSDUDWLYHEXVLQHVVRUSHUVRQDOVLWXDWLRQV
x SULYDF\ UXOHV FDQ OLPLW DFFHVV WR RU WKH XVH RI GDWD SDUWLFXODUO\ ZKHQ VRPH
IRUPRIHOHFWURQLFSURILOLQJRUDQDO\VLVLVQHFHVVDU\
x HVWDEOLVKLQJ UHODWLRQVKLSV EHWZHHQ WKH YDULRXV GDWD VHWV LV YHU\ GLIILFXOW LI
QRWLPSRVVLEOHZLWKRXWPDMRULQYHVWPHQWVLQ,7V\VWHPV
7KXVWKHNH\IDFHWVIRUFDVHVHOHFWLRQGDWDDUH
x IOH[LELOLW\LQDFFHVVWRGDWDIURPDVZLGHDJURXSRIVRXUFHVDVSRVVLEOH
x IOH[LELOLW\ LQ WKH DELOLW\ WR UHODWH GDWD DV FRPSOLDQFH ULVN PDQDJHPHQW
WUHDWPHQWSULRULWLHVFKDQJH
x WKH KROLVWLF XVH RI WKH GDWD WR LQIRUP ULVN LGHQWLILFDWLRQ DQG WUHDWPHQW
VWUDWHJLHVDFURVVWKHIXOOVSHFWUXPRIFRPSOLDQFHULVN
.QRZOHGJHPDQDJHPHQW DQDO\VLVWHFKQLTXHV
&DVHVDUHQRWVHOHFWHGRQWKHEDVLVRIGDWDDORQHEXWDVDUHVXOWRIVRPHIRUPRIDQDO\VLV
RI WKH EDVH GDWD 7KXV WKH VHFRQG NH\ HOHPHQW LQ FDVH VHOHFWLRQ LV NQRZOHGJH
PDQDJHPHQWDQGGDWDDQDO\VLVWHFKQLTXHV
$VFDQEHVHHQIURPWKHVWXGLHVFDVHVHOHFWLRQV\VWHPVDUHW\SLFDOO\FRPSULVHGRIVRPH
FRPELQDWLRQRIWKUHHJHQHUDODQDO\WLFDOPHWKRGV
x UXOHEDVHGDQGDXWRPDWHGULVNVFRULQJV\VWHPV
$XGLW&DVH6HOHFWLRQ6\VWHPV
x FDVHUHYLHZE\$XGLWRUVVRPHWLPHVUHIHUUHGWRDVVFUHHQLQJ
x WKHUHVXOWVIURPGDWDPLQLQJDQGRWKHUVWDWLVWLFDODQDO\VLVWHFKQLTXHV
5XOHEDVHGV\VWHPVDOORZIRUWKHEXONSURFHVVLQJDQGULVNDVVHVVPHQWRIUHWXUQVGDWD
WKXVHQDEOLQJWKDWGDWDWREHUHYLHZHGDJDLQVWDVHWRIULVNLQGLFDWRUVDQGIRUWKHUHVXOWV
WREHUDQNHGLQWHUPVRIWKHULVNRIQRQFRPSOLDQFHWKXVLGHQWLILHG6XFKV\VWHPVDUH
DQHVVHQWLDOWRROLQIDFLOLWDWLQJWKHH[FOXVLRQRIWKHEXONRIUHWXUQVZLWKQRRUYHU\ORZ
LGHQWLILHG ULVNV DQG DOORZLQJ WKH UHVRXUFHV DYDLODEOH IRU ULVN LGHQWLILFDWLRQ WR
FRQFHQWUDWHWKHLUHIIRUWVRQO\RQWKRVHFDVHVZLWKVLJQLILFDQWLGHQWLILHGULVN
6RPHRIWKHFKDOOHQJHVLQKHUHQWLQXVLQJVXFKDV\VWHPDUH
x PDQ\RIWKHUXOHVE\ZKLFKDFDVHLVVFRUHGDUHGHSHQGDQWRQILQDQFLDOUDWLR
DQDO\VLV DQG RWKHU LQGXVWU\ EHQFKPDUNLQJ HJ WKH UDWLR RI IXHO WR JURVV
UHFHLSWVIRUWD[LGULYHUV7KHVHUDWLRVFDQFKDQJHRYHUWLPHWKXVDWWHQWLRQ
QHHGVWREHJLYHQWRFRQWLQXDOO\XSGDWLQJWKHULVNUXOHV,QDGGLWLRQZKHQ
WKH\EHFRPHNQRZQZLWKLQWKHSRSXODWLRQVWKH\FDQEHFRPHLQWKHPVHOYHV
VWDQGDUGIDFWRUVWREHDFKLHYHGDQGWKXVVHOIIXOILOOLQJ
x WKHUXOHVQHHGWREHUHVSRQVLYHWRWKHORFDONQRZOHGJHRIWKHIURQWOLQHVWDII
ZKR DUH ZRUNLQJ RQ WKH FDVHV ZKHQ VHOHFWHG )LUVWO\ WKH ILQDO FDVH
VHOHFWLRQVQHHGWREHDEOHWRUHIOHFWWKHORFDONQRZOHGJHRIWKHFDVHZRUNHUV
WKHPVHOYHV ZKLOVW UHWDLQLQJ DSSURSULDWH SURSULHW\ ZLWKLQ WKH FDVH VHOHFWLRQ
V\VWHP$XWRPDWHGVHOHFWLRQVZLWKQRRSSRUWXQLW\WREHLQIOXHQFHGE\VXFK
ORFDONQRZOHGJHFDQFUHDWHUHVLVWDQFHDQGOHDGWRVXERSWLPDOZRUNLQJRQFH
WKH FDVHV DUH XQGHUZD\ EXW VHH WKH FRPPHQWV EHORZ RQ PDQXDO FDVH
VFUHHQLQJ6HFRQGO\WKHULVNUXOHVQHHGWREHUHVSRQVLYHWRWKHNQRZOHGJH
JDLQHGE\IURQWOLQHZRUNHUVIURPZRUNLQJWKHLUFDVHV6XFKNQRZOHGJHFDQ
EHDERXWQHZULVNVFKDQJHVLQFRPPHUFLDOEHKDYLRXUVRUQHZWHFKQLFDOWD[
GHYLFHVDQGWKHLPSDFWRIWKDWNQRZOHGJHFDQEHVLJQLILFDQWO\OHYHUDJHGLILW
FDQEHFDSWXUHGZLWKLQDIOH[LEOHDQGGHYHORSLQJVHWRIULVNUXOHV
x DW WKHLU PRVW HIIHFWLYH WKH UXOHV VKRXOG EULQJ WRJHWKHU GDWD IURP GLVSDUDWH
VRXUFHV HJ WD[ UHWXUQV 7KLUG 3DUW\ LQIRUPDWLRQ DQG SXEOLF GRPDLQ
LQIRUPDWLRQ IURP ,QWHUQHW 7KLV OHYHO RI DQDO\VLV UHTXLUHV FRQVLGHUDEOH
LQYHVWPHQWLQ,7UHVRXUFH
x WKH UXOHV QHHG WR KDYH WKH FDSDELOLW\ WR EH FKDQJHG UHDVRQDEO\ TXLFNO\ WR
WDNHDFFRXQWRIQHZVWUDWHJLFDSSUHFLDWLRQRIFRPSOLDQFHULVN2QFHDJDLQLI
WKH UXOHV DUH WKHPVHOYHV KDUGZLUHG LQWR ,7 FRGLQJ WKHQ WKLV PD\ EH D
UHVRXUFHLQWHQVLYHEXVLQHVV
6RPHRIWKHFKDOOHQJHVLQKHUHQWLQUHO\LQJRQFDVHZRUNHUVHOHFWLRQDUH
x LWUHOLHVRQDOLPLWHGGDWDVHWZLWKQRV\VWHPDWLFFURVVUHIHUHQFHWRRWKHUGDWD
DYDLODEOHZLWKLQWKHDGPLQLVWUDWLRQVV\VWHPV
x FDVHZRUNHUV QR PDWWHU KRZ H[SHULHQFHG FDQ PLVV DVSHFWV RI
QRQFRPSOLDQFHZLWKZKLFKWKH\DUHQRWIDPLOLDU
$XGLW&DVH6HOHFWLRQ6\VWHPV
x WKRVH ZLWK WKH NQRZOHGJH WR XQGHUWDNH VXFK VFUHHQLQJ DUH XVXDOO\ WKRVH
ZLWK WKH VNLOOV WR XQGHUWDNH WKH VXEVWDQWLYH LQWHUYHQWLRQ 7KXV WKHUH LV DQ
RSSRUWXQLW\FRVWLQDVNLQJWKHPWRXQGHUWDNHVXFKVFUHHQLQJ
x PRGHUQ VWDQGDUGV RI SURSULHW\ ZRXOG LQGLFDWH WKDW WKHUH VKRXOG EH D JDS
EHWZHHQWKRVHVHOHFWLQJFDVHVDQGWKRVHZKRZLOOEHZRUNLQJWKHP
,WLVEHFRPLQJLQFUHDVLQJO\FRPPRQWREDVHFDVHVHOHFWLRQPHWKRGRORJLHVRQWKHUHVXOWV
IURPVWDWLVWLFDODQDO\VHV7\SLFDOO\WKHVHPD\LQYROYH
x WKHXVHRIWHFKQLTXHVVXFKDV'LVFULPLQDQW)XQFWLRQ$QDO\VLVDVLQWKH86
6WXG\WRSUHGLFWWKDWFHUWDLQFODVVHVRIWD[UHWXUQIDOOLQWRKLJKRUORZULVN
FDWHJRULHV
x WKHXVHRIGDWDPLQLQJWHFKQLTXHVWRLGHQWLI\SDWWHUQVRIQRQFRPSOLDQFHLQ
WKHSDVWDQGWRLGHQWLI\WKRVHFKDUDFWHULVWLFVLQWKHFXUUHQWSRSXODWLRQ
x WKHXVHRIODUJHVFDOHGDWDPDWFKLQJWHFKQLTXHVWRKLJKOLJKWGLVSDULWLHVLQWD[
UHWXUQGDWD
7KH FKDOOHQJH LQ WKH XVH RI WKHVH PHWKRGV KRZHYHU LV WKDW WKH\ UHTXLUH VLJQLILFDQW
LQYHVWPHQWVLQ,7ERWKKDUGZDUHDQGVRIWZDUHDQGLQWKHDFTXLVLWLRQRIDFFXUDWHGDWD
RQ ZKLFK WKH ,7 SURJUDPPHV FDQ RSHUDWH ,I WKH HOHFWURQLF LQIUDVWUXFWXUH ZLOO QRW
VXSSRUWVXFKLQYHVWPHQWVRUWKHVNLOOVDUHQRWDYDLODEOHWRWKHWD[DGPLQLVWUDWLRQWKHQ
WKLVLVDGLIILFXOWURDGWRJRGRZQ
2WKHU(QDEOHUV
$V LV FOHDU WKH FKLHI HQDEOLQJ IDFWRU KHUH LV WKH FDSDELOLW\ RI ,QIRUPDWLRQ 7HFKQRORJ\
,7V\VWHPVZKHQGHDOLQJZLWKWKHODUJHDQGRIWHQGLVSDUDWHVRXUFHVRIGDWDQHHGHGIRU
DFFXUDWH ULVN LGHQWLILFDWLRQ ,W LV RIWHQ LPSUDFWLFDO IRU DGPLQLVWUDWLRQV WR PDQXDOO\
H[DPLQHHYHU\VLQJOHUHWXUQ
6NLOOV UHVHDUFK FDSDELOLWLHV DUH DOVR NH\ HOHPHQWV DQG HIILFLHQW ULVN LGHQWLILFDWLRQ LV
KLJKO\ GHSHQGHQW RQ LQYHVWPHQW LQ DQDO\WLFDO DQG UHVHDUFK FRPSHWHQFLHV ,W LQYROYHV
ERWK WUDLQLQJ SHRSOH WR GHVLJQ DQG RSHUDWH V\VWHPV DQG LQ UHVHDUFK DQG LQWHOOLJHQFH
DFWLYLWLHV
,QDGGLWLRQVSHFLILFUHVRXUFHVIXQGHGWRSURYLGHULVNPDQDJHPHQWVSHFLDOW\VXSSRUWDUH
FULWLFDO LQ XQGHUSLQQLQJ RUJDQLVDWLRQDO FRPPLWPHQW DQG SURYLGH D FRUSRUDWH ZLGH
NQRZOHGJHEDVHDQGLQWHOOHFWXDOFDSLWDOZKLFKIDFLOLWDWHFRQWLQXRXVLPSURYHPHQW
$XGLW&DVH6HOHFWLRQ6\VWHPV
(9$/8$7,21$1')(('%$&.
,W LV HVVHQWLDO LQ GHYLVLQJ DQG LPSOHPHQWLQJ D FDVH VHOHFWLRQ SURFHVV WKDW HYDOXDWLRQ
FULWHULDDUHGHWHUPLQHGDQGWKHQUHSRUWHGXSRQ7KLVJLYHVEHQHILWVDVIROORZV
x LW HVWDEOLVKHV WKH YDOXH RU RWKHUZLVH RI FXUUHQW FDVH VHOHFWLRQ WHFKQLTXHV
DQG IDFLOLWDWHV WKH FROODWLRQ RI IHHGEDFN IURP WKRVH ZRUNLQJ WKH FDVHV WR
WKRVHUHVSRQVLEOHIRUVWUDWHJLFOHYHOULVNLGHQWLILFDWLRQ
x LWZLOOKLJKOLJKWXVHIXOQHZGDWDVRXUFHVDQGDQDO\WLFDOWHFKQLTXHV
x LW ZLOO FRQWULEXWH WR RYHUDOO HYDOXDWLRQV RI WKH VXFFHVV RI WKH ULVN
PDQDJHPHQWWUHDWPHQWVEHLQJHPSOR\HG
7KH IRUPDO SURFHVV RI HYDOXDWLRQ QHHGV WR EH VXSSRUWHG E\ WKH FUHDWLRQ RI IHHGEDFN
ORRSV WKURXJKRXW WKH ZKROH ULVN PDQDJHPHQW V\VWHP 6XFK ORRSV ZLOO VXSSRUW WKH
GHYHORSPHQWRIPRUHLQFOXVLYHDQGUHVSRQVLYHV\VWHPVDQGLQSDUWLFXODU
x WKH\ZLOOHQFRXUDJHWKHVKDULQJRINQRZOHGJHERWKWREHWWHULQIRUPWKHULVN
PDQDJHPHQWSURFHVVEXWDOVRWRHQFRXUDJHWKHEHVWXVHRIGDWDDQGV\VWHPV
IRURWKHUSXUSRVHVHJWKHGDWDJHQHUDWHGLQFDVHVHOHFWLRQFDQDOVREHD
NH\IDFWRULQGULYLQJHYLGHQFHEDVHGSROLF\PDNLQJ
x WKH\ZLOOFUHDWHYLVLELOLW\RIDQGIRUWKHFRPSOLDQFHPDQDJHPHQWSURJUDPPH
ZLWKLQ WKH DGPLQLVWUDWLRQ WKXV HQKDQFLQJ WKHLU HIIHFWLYHQHVV DQG KHOSLQJ
RYHUFRPHFXOWXUDOUHVLVWDQFHWRWKHXVHRIQHZWHFKQLTXHV
x WKH\ZLOOHQVXUHWKDWWKHWHFKQLTXHVDUHQRWRSHUDWHGLQVWRYHSLSHVEXWLQ
D MRLQHG XS PDQQHU VR DV WR JLYH WKH PRVW HIILFLHQW RYHUDOO EHQHILW WR WKH
DGPLQLVWUDWLRQ
$XGLW&DVH6HOHFWLRQ6\VWHPV
&$6(678',(6
7KHVH VWXGLHV UHIOHFW WKH H[SHULHQFH RI YDULRXV PHPEHUV RI WKH JURXS LQ ILQGLQJ
SUDFWLFDOVROXWLRQVWRWKHQHHGVRIWKHFRPSOLDQFHULVNPDQDJHPHQWSURFHVV7KH\IRFXV
RQ FDVH VHOHFWLRQ PHWKRGV ZLWK WKH PDLQ HPSKDVLV EHLQJ RQ WKH SURGXFWLRQ RI FDVHV
VXLWDEOHIRUDXGLW7KH\DUHGHVLJQHGWRLOOXVWUDWHDQXPEHURIWKHSRLQWVPDGHLQWKH
LQWURGXFWLRQ WR WKLV GRFXPHQW DQG DOVR LQ WKH JXLGDQFH QRWH RQ 0DQDJLQJ DQG
,PSURYLQJ 7D[ &RPSOLDQFH %XW PRVW FOHDUO\ WKH\ VKRZ WKDW WKHUH LV QR VLQJOH
WHPSODWHIRUHIILFLHQF\LQWKLVDUHD$GPLQLVWUDWLRQVQHHGWRUHDFKVROXWLRQVWKDWILWWKH
OHJLVODWLYHFRPPHUFLDODQGDGPLQLVWUDWLYHFXOWXUHZLWKLQZKLFKWKH\DUHEHLQJDVNHGWR
RSHUDWH
&DVH 6WXG\ 86 ,QWHUQDO 5HYHQXH 6HUYLFH 3DUD $ GHWDLOHG WHFKQLFDO
GHVFULSWLRQ7KLVULVNEDVHGPHWKRGXVHVODUJHFRPSXWHUV\VWHPVDQGGDWDILOHVFRXSOHG
ZLWK VWDWLVWLFDO RWKHU PDWKHPDWLFDO PRGHOV DQG DUWLILFLDO LQWHOOLJHQFHEDVHG EXVLQHVV
UXOHVWRLGHQWLI\QRQFRPSOLDQWWD[SD\HUV
&DVH 6WXG\ 8. ,QODQG 5HYHQXH 3DUD $ ZLGH UDQJLQJ FDVH VWXG\
GHVFULELQJWKHULVNPDQDJHPHQWFRQWH[WKRZWKDWWUDQVODWHVLQWRSUDFWLFDOIUDPHZRUNV
IRUFDVHVHOHFWLRQDQGWKHSDUDPHWHUVRIWKRVHIUDPHZRUNVDQGKRZWKH\DUHXVHG
&DVH 6WXG\ $XVWULDQ )HGHUDO 0LQLVWU\ RI )LQDQFH 3DUD $ VKRUW
RXWOLQHRIWKH$XVWULDQFRPSXWHUEDVHGULVNDQDO\VLVV\VWHPV5$6IRU ERWK9$7DQG
&RUSRUDWH,QFRPH7D[DWLRQ
&DVH 6WXG\ 8. &XVWRPV ([FLVH 3DUD 7KLV &DVH 6WXG\ JLYHV D EULHI
VXPPDU\ RI WKH KLVWRU\ RI ULVN DQDO\VLV LQ 8. 9DOXH $GGHG 7D[ DQG VHWV RXW WKHLU
SUHUHSD\PHQWFUHGLELOLW\V\VWHPIRU9$7UHSD\PHQWV
&DVH6WXG\ &HQWUDOLVHG$XWRPDWHG0HWKRG
86,QWHUQDO5HYHQXH6HUYLFH
'LVFULPLQDWH)XQFWLRQ',):RUNORDG6HOHFWLRQ0RGHO
,QWKH86PRVWWD[UHWXUQVDUHVFRUHGIRUDXGLWSRWHQWLDODQGUDQNHGDWWKHPDFUROHYHO
XVLQJDVWDWLVWLFDOPHWKRGFDOOHGGLVFULPLQDWHIXQFWLRQ',)DQDO\VLV7KH',)VFRUHV
$XGLW&DVH6HOHFWLRQ6\VWHPV
DUHGHYHORSHGIURPWKHDXGLWUHVXOWVRIDVWUDWLILHGUDQGRPVDPSOHRIWD[UHWXUQV7KH
RULJLQDO UDQGRP DXGLW SURJUDPPH ZDV NQRZQ DV WKH 7D[SD\HU &RPSOLDQFH
0HDVXUHPHQW 3URJUDPPH 7&03 7KH FXUUHQW SURJUDPPH LV NQRZQ DV 1DWLRQDO
5HVHDUFK3URJUDPPH153
',) LV XVHG E\ WKH ,QWHUQDO 5HYHQXH 6HUYLFH ,56 WR FUHDWH D IDLU DQG QDWLRQDOO\
FRQVLVWHQWVFRULQJPHWKRGVIRULGHQWLI\LQJIRUDXGLWWKHSRWHQWLDOO\PRVWQRQFRPSOLDQW
LQGLYLGXDOVDQGORZDVVHWEXVLQHVVWD[UHWXUQV7KH',)VFRUHIRUWKHIROORZLQJUHWXUQV
LV FDOFXODWHG DQG DSSOLHG GXULQJ ILOLQJ DQG SURFHVVLQJ LQGLYLGXDO UHWXUQV
SDUWQHUVKLS UHWXUQV FRUSRUDWH UHWXUQV ZLWK DVVHWV OHVV WKDQ PLOOLRQ DQG
FRUSRUDWLRQVZLWKDVVHWVPRUHWKDQPLOOLRQ
,QDGGLWLRQWR',)WKH,56DOVRVHOHFWVUHWXUQVIRUDXGLWWKDWPHHWWKHFULWHULDVHWRXWLQ
WKH ,56
V VWUDWHJLF SODQQLQJ SURFHVV 7KURXJK D VHULHV RI HQYLURQPHQWDO VFDQV DQG
FRPSOLDQFH ULVN DVVHVVPHQWV HPHUJLQJ DUHDV RI QRQFRPSOLDQFH DUH LGHQWLILHG 1HZ
5LVN %DVHG &RPSOLDQFH 5%& PHWKRGRORJLHV KDYH EHHQDUH EHLQJ GHYHORSHG WHVWHG
DQG GHSOR\HG WR DGGUHVV WKH QRQFRPSOLDQFH FKDUDFWHULVWLFV RI HDFK VWUDWHJ\ LQ WKH
ZRUNSODQ7KHVHWUDQVDFWLRQVWHQGWRKDYHDKLJKGHJUHHRIFRPSOH[LW\DQGIUHTXHQWO\
LQYROYHWLHULQJVWUXFWXUHVHVWDEOLVKPHQWRIDIRUHLJQEXVLQHVVRSHUDWLRQEDQNDFFRXQWV
WUXVWVDQGLQVRPHFDVHVXVHRIGHELWFDUGVWRUHSDWULDWHRIIVKRUHIXQGV,QPDQ\FDVHV
WKHUHLVDFRPSOHWHODFNRIFRQYHQWLRQDOOLQNVWKDWZRXOGDOHUWWKH,56WRWKHSUHVHQFHRI
RIIVKRUH DFWLYLW\ RU RWKHU WD[ DYRLGDQFH VWUDWHJ\ LQYROYLQJ WKH XVH RI D IORZ WKURXJK
HQWLW\
7KH ,56 LV ZRUNLQJ WRZDUG GHVLJQLQJ D ZRUNORDG VHOHFWLRQ HQYLURQPHQW WR PHHW WKH
QHHGVRIFXUUHQWVWUDWHJLFREMHFWLYHV7KLVHQYLURQPHQWZRXOGHQDEOHWKH,56WR
x H[WUDFW LQIRUPDWLRQ IURP PXOWLSOH LQWHUQDO DQG H[WHUQDO GDWD VRXUFHV DV
DSSURSULDWH
x DQDO\VH XS WR IRXU \HDUV RI UHWXUQ GDWD IRU WKH SULPDU\ WD[SD\HU WRJHWKHU
ZLWKDQ\UHODWHGUHWXUQVIRUWKHSHULRG
x FDSWXUHDQGDQDO\VHRSHUDWLRQDOUHVXOWVE\LVVXHRQFORVHGH[DPLQDWLRQVDQG
PDNH5%&PRGHODQGEXVLQHVVUXOHDGMXVWPHQWVDVDSSURSULDWH
x DOORZIRUIUHTXHQWXSGDWHVQHFHVVLWDWHGE\DUDSLGO\FKDQJLQJHFRQRPLFDQG
EXVLQHVVHQYLURQPHQWDQG
x XQFRYHU DQG URXWH LVVXHV WKDW FDQ EH DGGUHVVHG LQ D QRQHQIRUFHPHQW
PDQQHU LQ WKH SUHILOLQJ SURFHVV HJHGXFDWLRQ RXWUHDFK OHJLVODWLRQ RU
LPSURYHGIRUPGHVLJQ
7KHUHDUHVHYHUDOH[DPSOHVRIIXQFWLRQLQJV\VWHPVDQGUHVHDUFKSURWRW\SHVWKDWIHDWXUH
PDQ\ RI WKH IHDWXUHV GHWDLOHG DERYH OLNH DFFHVV WR DQG XWLOLVDWLRQ RI LQWHUQDO DQGRU
H[WHUQDOGDWDXVHRIDXWRPDWHGLVVXHEDVHGULVNHQJLQHVDQGLPSURYHGFDVHVHOHFWLRQ
7KHPRVWPDWXUHRIWKHVHLVFDOOHGWKH'HSHQGHQW'DWDEDVH''EV\VWHP
0RYLQJ7RZDUGWKH1HZ5%&9LVLRQLQWKH,56&DPSXVHV
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KHFXUUHQWIHDWXUHVRIWKH''EV\VWHPLQFOXGHWKHIROORZLQJ
x LQWHUQDO DQG H[WHUQDO GDWDVHWV DUH EURXJKW WRJHWKHU LQ D IOH[LEOH
HQYLURQPHQW
x DULVNLGHQWLILFDWLRQHQJLQHSRZHUHGE\LVVXHVSHFLILFEXVLQHVVUXOHV
x WKHGDWDEDVHLVEXVLQHVVUXOHGULYHQHDFKUXOHLGHQWLILHVQRQFRPSOLDQW(,7&
LQGLFDWRUVRUGXSOLFDWHGHSHQGHQF\LVVXHV
x LIUXOHFRQGLWLRQVDUHPHWWKHUXOHILUHV
x HDFK ILUHG UXOH UHFHLYHV SRLQWV EDVHG XSRQ HVWDEOLVKHG VFRULQJ
PHWKRGRORJLHV
x FHUWDLQ KLJKULVN UHWXUQV DUH LGHQWLILHG DV WKH\ DUH EHLQJ SURFHVVHG DQG
UHIXQGVDUHV\VWHPLFDOO\IUR]HQDVDSSURSULDWH
1HZ SURFHVVHV DUH FXUUHQWO\ EHLQJ UHVHDUFKHG DQG GHYHORSHG WR DXJPHQW WKH ''E WR
DOORZ IRU D PRUH FRPSOHWH ULVNEDVHG DSSURDFK WR ZRUNORDG VHOHFWLRQ DQG WD[SD\HU
WUHDWPHQWDWWKH,56FDPSXVOHYHO$IWHUXVLQJWKH''EV\VWHPIRUVHYHUDO\HDUVLWLV
FOHDUWKHUHDUHOLPLWDWLRQV
7KH ''E FDQ RQO\ VHOHFW D IHZ LVVXHV 0RVW RI WKH LQYHQWRU\ LQ WKH ''E LV (,7&
SUHUHIXQGZRUNDQG(,7&GHSHQGHQF\LVVXHVIRUSRVWUHIXQGFDVHV7KHV\VWHPQHHGV
DGGLWLRQDO SURJUDPPLQJ WR DOORZ LW WR LGHQWLI\ FODVVLI\ DQG VHOHFW UHWXUQV ZLWK RWKHU
LVVXHV
7KH''EFDQQRWSURYLGHFDVHWUHQGKLVWRU\DQDO\VLV7KHV\VWHPSURGXFHVUHSRUWVWKDW
SURYLGHDKLVWRU\RIFDVHVWKDWDUHVHOHFWHGEXWLVQRWFDSDEOHRIV\VWHPLFDQDO\VLVDQG
WKHFXUUHQWV\VWHPVRIIHUOLPLWHGRUQRDOWHUQDWLYHWUHDWPHQWRIWKHVHOHFWHGLVVXHV
$XGLW&DVH6HOHFWLRQ6\VWHPV
,Q RUGHU WR LGHQWLI\ ULVNEDVHG LVVXHV DQG SURYLGH IRU FHQWUDOLVHG FDVH VHOHFWLRQ WKH
FXUUHQW ''E ZRXOG KDYH WR EH PRGLILHG WR LQFOXGH DOO HQYLVLRQHG )$0 IXQFWLRQDOLW\
HJDGGLWLRQDO EXVLQHVV UXOHV ZRXOG KDYH WR EH GHYHORSHG DQG WKH RWKHU WKUHH
PRGXOHV3)$0:$0DQG37$0ZRXOGKDYHWREHFUHDWHG
7KH ILUVW VWHS LQ WKH UHVHDUFK EHLQJ FRQGXFWHG LV WR LQFUHDVH WKH QXPEHU RI LVVXHV WKH
''EFDQLGHQWLW\7KLVIXQFWLRQDOLW\UHVLGHVLQWKH)LOLQJ$QDO\VLV0RGXOH)$0ER[
LQ)LJXUH7KH)$0DXJPHQWV''EE\GHWHFWLQJDQGVHOHFWLQJDGGLWLRQDOSRWHQWLDOO\
QRQFRPSOLDQW LVVXHV HLWKHU DV UHWXUQV DUH JRLQJ WKURXJK SURFHVVLQJ RU ODWHU LQ WKH
SRVWILOLQJ DQG SURFHVVLQJ DQDO\VLV RI WKH ILOLQJ VHDVRQ 3KDVH , RI WKH )$0 UHVHDUFK
HIIRUWLVIRFXVHGRQH[SDQGLQJWKHQXPEHURIGHWHFWDEOHLVVXHVE\QLQH
x
x
x
x
x
x
x
x
x
SDVVLYHDFWLYLW\ORVV
VHOIHPSOR\PHQWWD[
DOWHUQDWLYHPLQLPXPWD[
LQYHVWPHQWLQWHUHVWH[SHQVH
GXSOLFDWHFUHGLWV
DOLPRQ\
HGXFDWLRQFUHGLW
FKLOGFDUHFUHGLW
FKDULWDEOHFRQWULEXWLRQV
7KHVH SDUWLFXODU LVVXHV ZHUH VHOHFWHG IRU 3KDVH , EHFDXVH ERWK WKH :DJH DQG
,QYHVWPHQW : , DQG 6PDOO %XVLQHVV6HOI (PSOR\HG 6%6( RSHUDWLQJ GLYLVLRQV RI
WKH,56GHWHUPLQHGWKHUHZDVDKLJKGHJUHHRIQRQFRPSOLDQFHEXVLQHVVUXOHVFRXOGEH
GHYHORSHGDQG&DPSXVHPSOR\HHVFRXOGVXFFHVVIXOO\FRQGXFWWKHDXGLWV5HVHDUFKHUV
GHYHORSHG WKH UXOHV E\ FRQGXFWLQJ LQWHQVLYH NQRZOHGJH DFTXLVLWLRQ VHVVLRQV ZLWK
VXEMHFWPDWWHUH[SHUWVZKRKDGRSHUDWLRQDODQGWD[ODZNQRZOHGJHDWWKHWHFKQLFDODQG
PDQDJHULDOOHYHOV
6LQFH WKH W\SH RI DXGLW FRQGXFWHG E\ WKH ,56 &DPSXV HPSOR\HHV LV QRW IDFH WR IDFH
LHLWLVFRQGXFWHGWKURXJKPDLODQGSKRQHFRUUHVSRQGHQFHDQGVLQFHWKHVNLOOOHYHORI
WKHVHHPSOR\HHV LVQRWDVKLJKDVWKHILHOG5HYHQXHDJHQWVWKHVFRSHDQGGLIILFXOW\RI
WKH DXGLWV FRQGXFWHG E\ &DPSXV HPSOR\HHV LV OLPLWHG 6R DIWHU WZR RU WKUHH PRUH
SKDVHV RI UHVHDUFK WKH WRWDO QXPEHU RI GHWHFWDEOH LVVXHV LQ ''E ZLOO EH FORVH WR
ZKLFKLVPRVWOLNHO\WKHOLPLWLQWKH&DPSXVHQYLURQPHQW
5HVHDUFKQHHGHGWRFUHDWHWKHRWKHUPRGXOHVKDVQRW\HWEHHQXQGHUWDNHQ
$XGLW&DVH6HOHFWLRQ6\VWHPV
)LJXUH&RQFHSWRI2SHUDWLRQVIRUWKH,56&DPSXV5LVN%DVHG&RPSOLDQFH
TaxReturns
Filed
Service
Center
Submission
Processing
FilingAnalysis
Module
(FAM)
16
3
ServiceCenter
Examination
Plan
PostFiling
Analysis
Module
(PFAM)
NoRulesFired
(AcceptedasFiled)
Tests,Research,
&Studies
8
EITC
PreRefund
Workload
Analysis
Module
(WAM)
EITC
Post
Refund
Non-EITC
Post
Refund
15
6
10
6
8
7
Service
Center
Examination
12
HighRisk
Taxpayers
9
13
11
CEAS/RGS
Batch
14
-SB/SE
-COLLECTION
-CI
-OTHER
14
LowRisk
Taxpayers
PostTreatment
Analysis
Module
(PTAM)
14
Alternative
Treatment
$XGLW&DVH6HOHFWLRQ6\VWHPV
7DEOH([DPLQDWLRQ3URSRVHG5LVN%DVHG6HOHFWLRQ6WUDWHJLHV
7KHSURFHVVEHJLQVZKHQDUHWXUQLVILOHGZLWK6HUYLFH&HQWUHLH&DPSXV6XEPLVVLRQ3URFHVVLQJ
7KLVVWHSEHJLQVZLWKWKHSURFHVVLQJRIWKHILOHGUHWXUQVZKLFKZRXOGLQFOXGH)RUPV$DQG
(=7KH)LOLQJ$QDO\VLV0RGXOH)$0SHUIRUPVDQDQDO\VLVIRUEXVLQHVVUXOHYLRODWLRQV7KH)$0
VFRUHVFODVVLILHVDQGVHOHFWVUHWXUQV7KHFODVVLILFDWLRQSURFHVVZLOOFRPSDUHUHWXUQGDWDZLWKRWKHU
GDWDEDVHV7KHUHWXUQVDUHVHQWWRWKH3RVW)LOLQJ$QDO\VLV0RGXOH3)$0IRUDQDO\VLVDQGVRUWLQJ
7KH3)$0UHFRUGVDQGDQDO\VHVWKHUHVXOWVRIWKH)$05HWXUQVDUHVRUWHGLQWRDSSURSULDWHFDWHJRULHV
,IQREXVLQHVVUXOHVILUHUHWXUQVDUHDFFHSWHGDVILOHG
,IVHOHFWHGUHWXUQVDUHFODVVLILHGDVRQHRIWKUHHFDWHJRULHV
(,7&3UH5HIXQG,QYHQWRU\
(,7&3RVW5HIXQG,QYHQWRU\RU
1RQ(,7&3RVW5HIXQG,QYHQWRU\
$SSURSULDWHZRUNORDGLVFODVVLILHGDVKLJKULVNEDVHGXSRQWKH3)$0DQDO\VLV
$SSURSULDWHZRUNORDGLVFODVVLILHGDVORZULVNEDVHGXSRQWKH3)$0DQDO\VLV
7KHKLJKULVNUHWXUQVDUHVHQWWRWKH:RUNORDG$QDO\VLV0RGXOH:$0WREDODQFHVWDIILQJUHVRXUFHV
EDVHGRQWKH6HUYLFH&HQWUH([DPZRUNSODQ5HWXUQVLGHQWLILHGIRUWHVWVDQGUHVHDUFKZLOODOVREHIHG
LQWRWKH:$07KH:$0ZLOOEDODQFHVWDIILQJDQGUHWXUQLQYHQWRU\ZLWKWKH([DP3ODQIDFWRULQJLQ
H[SHULHQFHOHYHOVSHU&DPSXVWLPHSHUFDVHUHVSRQVHUDWHVHWF
,IDSSURSULDWHKLJKULVNUHWXUQVDUHWUDQVIHUUHGWRRWKHUIXQFWLRQVVXFKDV6%6(&,RU&ROOHFWLRQ
%DVHGRQWKH:$0UHWXUQVDUHVHQWWRWKHDSSURSULDWH6HUYLFH&HQWUH([DPVLWH
+LJKULVNUHWXUQVDUHIRUZDUGHGWR&($6IRUHQIRUFHPHQWDFWLRQ
,IDSSURSULDWHKLJKULVNUHWXUQVDUHDVVLJQHGIRUDQDOWHUQDWLYHWUHDWPHQW7KLVFRXOGLQYROYHDVRIWQRWLFH
RURWKHUDOWHUQDWLYHWUHDWPHQW
/RZULVNLQYHQWRU\LVDVVLJQHGIRUDQDOWHUQDWLYHWUHDWPHQW7KLVFRXOGLQYROYHDVRIWQRWLFHRURWKHU
DOWHUQDWLYHWUHDWPHQW
5HVXOWVRIDOOWUHDWPHQWVDUHIHGLQWRWKH3RVW7UHDWPHQW$QDO\VLV0RGXOH37$0
37$0UHVXOWVDUHSURYLGHGWRWKH)$0IRUIXWXUHXVHLQFODVVLILFDWLRQDQGVHOHFWLRQ
)RUWKRVHUHWXUQVDFFHSWHGDVILOHGGDWDLVIHGGLUHFWO\IURPWKH3)$0LQWRWKH)$0WRSURYLGHDKLVWRU\
0RYLQJ7RZDUGWKH1HZ5%&9LVLRQLQWKH,56)LHOG2IILFHV
7KH6%6(&HQWUDOLVHG:RUNORDG6HOHFWLRQDQG'HOLYHU\RUJDQLVDWLRQKDVLGHQWLILHGWKH
QHHG IRU D V\VWHP WR DXWRPDWH WKH :RUNORDG FODVVLILFDWLRQ SURFHVV &XUUHQWO\ WKH
$XGLW&DVH6HOHFWLRQ6\VWHPV
SURFHVVLVPDQXDODQGODERXULQWHQVLYH'DWDPXVWEHREWDLQHGIURPVHYHUDOGLIIHUHQW
V\VWHPVDQGVWDWXVXSGDWHVDUHPDGHRQDUHWXUQE\UHWXUQEDVLV
7KH &HQWUDOLVHG ([DPLQDWLRQ &ODVVLILFDWLRQ 6\VWHP &(&6 LV D PDMRU VWHS IRUZDUG
WRZDUG WKH QHZ ,56 )LHOG 5%& YLVLRQ :KLOH &(&6 ZLOO QRW WRWDOO\ DXWRPDWH WKH
FODVVLILFDWLRQ SURFHVV LW ZLOO SURYLGH D VLQJOH VRXUFH IRU DOO LQIRUPDWLRQ UHTXLUHG IRU
FODVVLILFDWLRQ7KHLQIRUPDWLRQUHTXLUHGWRFODVVLI\DUHWXUQZLOOEHDYDLODEOHZLWKLQWKH
V\VWHP LQFOXGLQJ WKH WKUHH\HDU UHWXUQ IDFVLPLOH DV ZHOO DV HQWLW\ DQG UHODWHG
LQIRUPDWLRQIURPH[WHUQDOGDWDVRXUFHV
)LJXUH EHORZ LOOXVWUDWHV WKH KLJKOHYHO SURFHVV IORZ IRU WKH FODVVLILFDWLRQ DQG
HOHFWURQLFFDVHEXLOGLQJSURFHVV7KHSURFHVVHVZLWKLQWKHGRWWHGOLQHGHSLFWWKRVHWKDW
ZLOOEHDXWRPDWHGE\WKHSURSRVHG&(&6DSSOLFDWLRQ
)LJXUH&(&66\VWHP'LDJUDP
$XGLW&DVH6HOHFWLRQ6\VWHPV
&(&6ZLOOPDQDJHWKH&ODVVLILFDWLRQSURFHVV:RUNORDG'DWDZLOOEHORDGHGLQWR&(&6
HLWKHUWKURXJKWKH8VHU,QWHUIDFH8,RUWKURXJKDEDFNHQGSURFHVV&(&6ZLOOHQDEOH
D&ODVVLILHUWRFRPSOHWHDQ(OHFWURQLF&ODVVLILFDWLRQ&KHFNOLVW(&&FODVVLI\WKHUHWXUQV
XVLQJ RQOLQH DFFHVV WR DYDLODEOH LQIRUPDWLRQ VRXUFHV DQG VXEPLW WKHP WR D 5HYLHZHU
5HYLHZHUV ZLOO VFUHHQ WKH FODVVLILHG UHWXUQV DQG SDVV WKRVH UHWXUQV WKDW KDYH EHHQ
VHOHFWHGIRUH[DPLQWRWKH9LUWXDO,QYHQWRU\2QFHDUHWXUQLVLQWKH9LUWXDO,QYHQWRU\D
0DQDJHUZLOOEHDEOHWRDVVLJQUHWXUQVWREHZRUNHGLQWKHILHOG
:KLOH&(&6ZLOOSURYLGHPDQ\EHQHILWVLWZLOOQRWDXWRPDWHLVVXHLGHQWLILFDWLRQIRUWKH
,56 )LHOG H[DPLQHUV OLNH ''E GRHV QRZ DQG )$0 ZLOO LQ WKH IXWXUH IRU WKH ,56
&DPSXVHPSOR\HHV+RZHYHUUHVHDUFKLVRQJRLQJWRDFKLHYHWKLVFDSDELOLW\$SURMHFW
FDOOHG ,VVXH 'HWHFWLRQ ([SHUW 6\VWHP ,'(6 1DWLRQDO 0RGHO 'HYHORSPHQW KDV EHHQ
FRPPLVVLRQHG WR SURYLGH DXWRPDWHG LVVXH LGHQWLILFDWLRQ IRU )RUPV 6
DQG ,'(6 EXLOGV RQ WKH VXFFHVV RI D SULRU UHVHDUFK HQGHDYRXU FDOOHG 6PDOO
&RUSRUDWLRQ,VVXH,GHQWLILFDWLRQ6\VWHP6&,66
7KH6&,66SURMHFWSURGXFHGDUHVHDUFKSURWRW\SHRIDQDXWRPDWHGLVVXHLGHQWLILFDWLRQ
DQG VFRULQJ V\VWHP IRU WKH VPDOO FRUSRUDWLRQ FRQVWUXFWLRQ PDUNHW VHJPHQW 7KH ODVW
SKDVHRIWKHSURMHFWGHPRQVWUDWHGWKDWWKHV\VWHPLVFDSDEOHRILGHQWLI\LQJLVVXHVPRUH
FRQVLVWHQWO\ DQG PRUH DFFXUDWHO\ WKDQ WKH FXUUHQW PDQXDO FODVVLILFDWLRQ SURFHVV 7KH
UHTXHVWHG QH[W VWHS LQ WKH SURFHVV ,'(6 LV WR H[SDQG WKH V\VWHP WR LQFOXGH DOO
6%6(IRUPV6DQGDQGPLGUDQJH/DUJHDQG0LG6L]H %XVLQHVV
/06%2SHUDWLQJ'LYLVLRQ)RUPV6DQG
7KLVHIIRUWZLOOPRYHWKH,56WRZDUGVWKHIXWXUHULVNEDVHGILHOGH[DPLQDWLRQSURFHVV
3RWHQWLDOV\VWHPEHQHILWVLQFOXGH
x PDNLQJFODVVLILFDWLRQFRQVLVWHQWIDLUDQGHIIHFWLYHQDWLRQZLGH
x HOLPLQDWLQJ WKH FRVW RI PDQXDO FODVVLILFDWLRQ E\ KLJKJUDGHG HPSOR\HHV
5HYHQXH$JHQWV
x LPSURYLQJ WKH TXDOLW\ RI LVVXH FODVVLILFDWLRQ E\ DSSO\LQJ WKH FRPELQHG
NQRZOHGJHRIH[SHUWPDUNHWVHJPHQWFODVVLILHUVWRDOOUHWXUQV
x SURYLGLQJDXWRPDWHGLVVXHH[SODQDWLRQVWRDJHQWV
x SURYLGLQJ WKH EDVLV IRU D IHHGEDFN ORRS ZKLFK WUDFNV LVVXHV LGHQWLILHG DQG
WKHLU ILQDO UHVXOW LQ H[DPLQDWLRQ IRU FRQWLQXHG IHHGEDFN IRU WKH V\VWHP
LGHQWLILFDWLRQRISRWHQWLDOWUDLQLQJQHHGVIRUH[DPLQHUVDQG7(&
x IRFXVLQJ WKH ZRUNORDG VHOHFWLRQ E\ DSSO\LQJ ,'(6 DIWHU WKH XVH RI PXOWLSOH
ILOWHUVVXFKDV',)8,',)DQGGDWDPLQLQJ
*HQHUDO0RGHOIRUDQ$XWRPDWHG5%&&DSDELOLW\
,Q WKH SUHYLRXV SDUDJUDSKV VSHFLILF PRGHOV ZHUH GHVFULEHG WKDW ZLOO EULQJ WKH ,56
FORVHUWRDQDXWRPDWHG5%&FDSDELOLW\IRULWV&DPSXVDQG)LHOGHQYLURQPHQWV,QWKLV
VHFWLRQ D JHQHUDO PRGHO IRU DXWRPDWHG 5%& ZLOO EH GHVFULEHG 7KLV PRGHO LV WKH
IUDPHZRUNIRUPRVWRIWKH UHVHDUFKWKDWWKH ,56DQGLWVRXWVLGHYHQGRUSDUWQHUV KDYH
FRQGXFWHGLQWKHSDVWVHYHUDO\HDUV
'XULQJWKHUHFHQW,56UHGHVLJQDWHDPZDVIRUPHGWRORRNDW5%&,QWKHLUUHSRUWWKH\
SURSRVHGWKHIROORZLQJJHQHUDOPRGHOSUHVHQWHGDV)LJXUH7KLVPRGHOKDVPDQ\RI
WKH IHDWXUHV QHHGHG LQ DQ DXWRPDWHG 5%& FDSDELOLW\ LQWHUQDO SRSXODWLRQ GDWD DQG
H[WHUQDOGDWDULVNVFRULQJPRGHOVDQGGHFLVLRQVXSSRUWFDSDELOLWLHVWKDWZLOOURXWHFDVHV
WRWKHDSSURSULDWHWUHDWPHQWEDVHGRQWKHOHYHORIULVN
$XGLW&DVH6HOHFWLRQ6\VWHPV
)LJXUH&RQFHSWXDOGHVFULSWLRQRID5LVN%DVHG([DPLQDWLRQ3URFHVV
SB/SE Population
Internal Data
Risk Category
Risk Scoring Model
Accuracy
High Risk
Medium Risk
Collectibility
Low Risk
Treatment Options
Field Exam
Return Prepared
Correspondence Exam
AUR
Return Prepared
Soft Compliance Letter
Education
Non-filers
External Data
Examination method based on
taxpayer risk, taxpayer needs and
effectiveness of treatment
:KLOH WKLV LV DGHTXDWH WKH PRGHO GRHV QRW DGGUHVV NH\ FRQWLQJHQFLHV )LJXUH
SURYLGHV D PRUH FRPSOHWH SLFWXUH RI ZKDW DQ DOOLQFOXVLYH LQWHJUDWHG 5%& FDSDELOLW\
ZRXOG ORRN OLNH ,W LV EDVHG RQ DQ LQWHUQDO ,56 5HVHDUFK GHVLJQ FDOOHG &RPSOLDQFH
,PSURYHPHQW0RQLWRULQJ6WXG\&,06ZKLFKZDVGHYHORSHGLQ,Q)LJXUHWKH
&,06 GHVLJQ LV PHUJHG ZLWK WKH NH\ FRPSRQHQWV VKRZQ LQ )LJXUH WR VKRZ KRZ WKH
5%&FDSDELOLW\H[SUHVVHGLQ)LJXUHLVDVXEVHWRIWKH&,06DSSURDFK
)LJXUH0DSSLQJRI3URFHVVHVIRU5LVN%DVHG([DPLQDWLRQ
Transcribed
Transcribed Tax
Tax
Returns
Returns
Electronic
Electronic Tax
Tax
Returns
Returns
O
Other
ther Internal
Internal &
&
External
External Data
Data
A
Available
vailable at
at Time
Tim e
of
of Filing
F iling
Feedback Loops
Optional Process
Additional
Additional
Data
Data N
Not
ot
Required
Required
IDC
IDC
Intelligent
Intelligent Data
Data
Capture
Capture
Additional
Additional
Data
Data
Required
Required
D
Doo N
Nothing
othing
Risk
Risk
Scoring
Scoring
M
Model
odel
Acquisition
Acquisition
of
of Additional
Additional
Internal
Internal &
&
External
External
Data
Data
Research
Research
W
Workload
orkload
R&
R&D
D
C ompliance
Research
Data B ank
Decision
Decision
Supp
ort
Support
Softw
Software
are
C
pliance Treatm
Com
ompliance
Treatments
ents
Additional
Additional
Data
Data
Specification
Specification
IM
IMSS
M
Monitoring
onitoring
M
Measurem
easurements
ents
E
n and
Educatio
ducation
a nd O
Outreac
utre achh
Soft
Soft Notice
Notice
Correspo
nd eence
nce Audit
Correspond
Audit
Field
Field Audit
Audit
Feedback
F eedback
Re
Results
sults
Operational
Operational
Data
Data
Processes in Risk
Based Exam
$ILQDONH\IXQFWLRQDOLW\SURYLGHGE\WKH&,06FRQFHSWXDOPRGHOLVWKDWDOORIWKHGDWD
ULVNVFRUHVDQGPRQLWRULQJFDSDELOLWLHVDUHDFFHVVLEOHE\ERWK&RPSOLDQFHDQG5HVHDUFK
VWDIIV 7KLV ZRXOG HQDEOH TXLFNHU GHSOR\PHQW RI VXFFHVVIXO UHVHDUFK SURMHFWV DQG
ILQGLQJVDQGLWZRXOGHQDEOHPRUHDJLOHDGMXVWPHQWVWRPRGHODQGUXOHVSHFLILFDWLRQV
DVZHOODVDXGLWDQGQRQHQIRUFHPHQWFRPSOLDQFHWUHDWPHQWV
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KHUH DUH VHYHUDO IHDWXUHV ZRUWK PHQWLRQLQJ )LUVW LQ WKH &,06 DSSURDFK WKHUH LV D
FRVW HIIHFWLYH LQWHOOLJHQW ZD\ WR GHWHUPLQH ZKDW GDWD DUH QHHGHG EDVHG RQ WKH
FKDUDFWHULVWLFVRIWKHWD[SD\HU7KLVNH\SLHFHRILQIUDVWUXFWXUHLVFDOOHG,QWHOOLJHQW'DWD
&DSWXUH,'&$QRWKHUNH\FRPSRQHQWRI&,06LVWKH,QWHOOLJHQW0RQLWRULQJ6\VWHP
,06,06SURYLGHVWKHIHHGEDFNORRSQHFHVVDU\WROHDUQIURPDQGHYHQWXDOO\LPSURYH
ERWKWKHULVNVFRULQJPRGHOVDQGEXVLQHVVUXOHVDQGWKH,'&UXOHVDQGDOJRULWKPV
&DVH6WXG\ &HQWUDOLVHG$XWRPDWHG0HWKRG
&DQDGD5HYHQXH$JHQF\
7KH RSHUDWLRQV RI WKH &DQDGD 5HYHQXH $JHQF\ &5$ DUH JXLGHG E\ LWV SULPDU\
REMHFWLYHRISURPRWLQJFRPSOLDQFHZLWK&DQDGD
VWD[OHJLVODWLRQDQGUHJXODWLRQV7KLV
REMHFWLYHIRUPVWKHFRQWH[WZLWKLQZKLFKLWVULVNPDQDJHPHQWSURFHVVLVXVHGWRDFKLHYH
WD[FRPSOLDQFH&RPSOLDQFHZLWKWD[ODZVW\SLFDOO\ PHDQVUHJLVWHULQJZKHQUHTXLUHG
ILOLQJ UHWXUQV RQ WLPH UHSRUWLQJ FRPSOHWH DQG DFFXUDWH LQIRUPDWLRQ WR GHWHUPLQH WD[
OLDELOLW\DQGSD\LQJDOODPRXQWVRZLQJZKHQGXH1RQFRPSOLDQFHRFFXUVZKHQDQ\RI
WKHVHREOLJDWLRQVLVQRWPHWIRUZKDWHYHUUHDVRQ
7KH&5$KDVDUHVSRQVLELOLW\WRPDLQWDLQSXEOLFFRQILGHQFHLQWKHIDLUQHVVDQGLQWHJULW\
RI WKH WD[ V\VWHP 7KLV PHDQV SURYLGLQJ DPSOH VXSSRUW WR WKRVH ZKR ZLVK WR FRPSO\
ZLWK WKH ODZ ZKLOH WDNLQJ DSSURSULDWH PHDVXUHV WR LGHQWLI\ DQG GHDO ZLWK FDVHV RI
QRQFRPSOLDQFH ,Q GHDOLQJ ZLWK QRQFRPSOLDQFH LPSRUWDQFH LV DWWDFKHG WR ERWK
HQVXULQJDKLJKO\YLVLEOHSUHVHQFHDVZHOODVIRFXVLQJRQDUHDVZKHUHWKHULVNLVKLJKHVW
$FKLHYLQJWKHULJKWEDODQFHEHWZHHQWKHVHIXQGDPHQWDOUHVSRQVLELOLWLHVLVLPSRUWDQWIRU
HIIHFWLYHUHYHQXHDGPLQLVWUDWLRQ
7KH WD[ FRPSOLDQFH ULVN PDQDJHPHQW SURFHVV DW WKH &5$ LV IRXQGHG RQ VHYHUDO NH\
HOHPHQWV
x LGHQWLI\LQJ QRQFRPSOLDQFH DQG SURSHUO\ GLVWLQJXLVKLQJ FRPSOLDQW
WD[SD\HUVIURPWKRVHWKDWDUHQRQFRPSOLDQW
x XQGHUVWDQGLQJWKHIDFWRUVWKDWDUHGULYLQJRUHQDEOLQJQRQFRPSOLDQFH
x SULRULWLVLQJ RXU FRPSOLDQFH HIIRUWV EDVHG RQ RXU DVVHVVPHQW RI WD[
FRPSOLDQFHULVNV
x GHYHORSLQJ WDUJHWHG DSSURDFKHV WR DFKLHYLQJ FRPSOLDQFH WKDW IRFXV RQ WKH
XQGHUO\LQJGULYHUVRIQRQFRPSOLDQFHDVZHOODVDSSURDFKHVWKDWPDLQWDLQ
H[LVWLQJFRPSOLDQFH
x OHYHUDJLQJ ZKHUH SRVVLEOH VWUDWHJLF SDUWQHUVKLSV WR DFKLHYH HLWKHU
FRPSOHPHQWDU\RUFRPPRQJRDOVDQG
x PHDVXULQJ VXFFHVV LQ DFKLHYLQJ FRPSOLDQFH DQG HVWDEOLVKLQJ FRQWLQXRXV
OHDUQLQJSURFHVVHVWRKHOSUHILQHRXUDSSURDFK
,GHQWLILFDWLRQRI7D[&RPSOLDQFH5LVNV
)XQGDPHQWDO WR PDQDJLQJ WD[ FRPSOLDQFH ULVN LV KDYLQJ HIIHFWLYH SURFHVVHV IRU
LGHQWLI\LQJ DQG PHDVXULQJ QRQFRPSOLDQFH 7KH H[WHQW WR ZKLFK WKHVH SURFHVVHV FDQ
DFFXUDWHO\DVVHVVQRQFRPSOLDQFHLVWKHH[WHQWWRZKLFKSURJUDPPHUHVRXUFHVFDQEH
DSSOLHGWRDUHDVRIKLJKHVWULVN
7KH&5$HPSOR\VDYDULHW\RIPHDQVWRDVVHVVWD[FRPSOLDQFHULVN
$XGLW&DVH6HOHFWLRQ6\VWHPV
0DFUR/HYHO$QDO\VLV
0DFUR HFRQRPLF DQDO\VHV DUH SHUIRUPHG WR HYDOXDWH FRPSOLDQFH WUHQGV DQG WR
GHWHUPLQH ZKHWKHU WKH WUHQGV LQ HFRQRPLF GDWD PD\ JLYH DQ HDUO\ LQGLFDWLRQ RI D
FKDQJH LQ WKH OHYHOV RI FRPSOLDQFH )RU H[DPSOH LQ WKH FKDUW EHORZ QHW *67+67
UHYHQXHVZHUHWUDFNHGDJDLQVWFKDQJHVLQFRQVXPHUH[SHQGLWXUHVDQGOHYHOVRILPSRUWV
$ FRPSDULVRQ RI FRQVXPHU H[SHQGLWXUH RQ GRPHVWLFDOO\ SURGXFHG JRRGV DQG VHUYLFHV
VKRZVWKDWRQWKHZKROHLWWUDFNVWKHPRYHPHQWLQQHW*67+67UHYHQXHVRYHUWLPH
TXLWH ZHOO 6LPLODU WUDFNLQJ LV QRWHG ZLWK FKDQJHV LQ LPSRUW OHYHOV LQGLFDWLQJ WKDW
*67+67FRPSOLDQFHOHYHOVDUHUHPDLQLQJIDLUO\FRQVLVWHQW
)LJXUH1HW*67+67YV&RQVXPHU([SHQGLWXUHRQ'RPHVWLF*RRGVDQG6HUYLFHV
Expenditure ($ millions)
330 000
27 000
310 000
25 000
290 000
23 000
270 000
21 000
250 000
19 000
230 000
17 000
210 000
15 000
190 000
13 000
9
19
9
1-
2
19
92
93
93
19
4
-9
94
19
5
-9
9
19
9
5-
96
19
7
-9
9
19
9
7-
8
19
98
99
19
99
00
00
20
1
-0
Fiscal Year
Consumer Expenditure, Goods
Net GST/HST
$XGLW&DVH6HOHFWLRQ6\VWHPV
2WKHUPDFURLQGLFDWRUVDUHWUDFNHGVXFKDVWKHQXPEHURILQGLYLGXDOVILOLQJLQFRPHWD[
UHWXUQV LQ FRPSDULVRQ WR VWDWLVWLFV RQ WKH SRSXODWLRQ RI LQGLYLGXDOV PRUH WKDQ ILIWHHQ
\HDUV ROG RU FRPSDULQJ FRUSRUDWH LQFRPH WD[ UHYHQXHV DVVHVVHG WR FRUSRUDWH SURILWV
0RUHWKDQIRUW\VXFKPDFURLQGLFDWRUVKDYHEHHQLGHQWLILHGIRUWUDFNLQJ
1DWLRQDO&DVH%DVHG5LVN,GHQWLILFDWLRQ3URFHVVHV
1DWLRQDO5LVN$VVHVVPHQW6\VWHPVDQGWKH$XGLW3URFHVV
2QFHWD[UHWXUQVKDYHEHHQSURFHVVHGDQGDFFHSWHGDVILOHGWKH\DUHVXEMHFWWRIXUWKHU
SURFHVVHV WR LGHQWLI\ DQG HVWLPDWH WD[ ULVN 7KLV LQIRUPDWLRQ LV LQ WXUQ XVHG E\ DXGLW
VWDII UHVSRQVLEOH IRU DGGUHVVLQJ QRQFRPSOLDQFH WKURXJK RXU QDWLRQDO DXGLW
SURJUDPPH 7KH\ XVH WKH LQIRUPDWLRQ WR WDUJHW WKHLU FRPSOLDQFH DQG HQIRUFHPHQW
HIIRUWVWRDUHDVZKHUHWKHULVNLVKLJKHVW
7KHQDWLRQDOULVNDVVHVVPHQWV\VWHPVWKDWVXSSRUWWKLVSURFHVVH[DPLQHWKHFRPSOLDQFH
DWWULEXWHV IRU HDFK DQG HYHU\ WD[SD\HU ,Q &DQDGD WKLV LQFOXGHV DOO PLOOLRQ
LQGLYLGXDO LQFRPH WD[ ILOHUV LQFOXGLQJ VHOIHPSOR\HG LQGLYLGXDOV DOO PLOOLRQ
FRUSRUDWHLQFRPHWD[ILOHUVDQGDOOPLOOLRQJRRGVDQGVHUYLFHDFFRXQWV
7KH QDWLRQDO DXGLW SURJUDPPH KDV EHHQ VHJPHQWHG DORQJ VHYHUDO OLQHV HDFK
UHVSRQVLEOH IRU D VSHFLILF W\SH RI WD[ FRPSOLDQFH ULVN 6RPH DUH FOLHQW VSHFLILF ZKLOH
RWKHUV DUH RULHQWHG WR WKH SDUWLFXODU W\SH RI FRPSOLDQFH LVVXH 7KH\ LQFOXGH JHQHUDO
LQFRPH WD[ WD[ DYRLGDQFH LQWHUQDWLRQDO WD[ XQGHUJURXQG HFRQRP\ ODUJH EXVLQHVVHV
JRRGVDQGVHUYLFHVWD[DFFRXQWVHOHFWURQLFFRPPHUFHDQGFULPLQDOLQYHVWLJDWLRQV7KH
QDWLRQDO ULVN DVVHVVPHQW V\VWHPV DUH VXSSRUWHG E\ ULVN DQDO\VLV DORQJ HDFK RI WKHVH
FRPSOLDQFHVSHFLILFOLQHV6SHFLDOLVWVLQHDFKRIWKHVHDUHDVDFWLYHO\VXSSRUWSURJUDPPH
HIIRUWVDLPHGDWLGHQWLI\LQJDQGDGGUHVVLQJWKHVHW\SHVRIVSHFLILFULVNE\DSSO\LQJWKHLU
SURJUDPPHH[SHULHQFHDQGDQDO\WLFDOH[SHUWLVHWRWKHWDVNRILGHQWLI\LQJDQGHVWLPDWLQJ
ULVN
,Q RUGHU IRU WKH QDWLRQDO ULVN DVVHVVPHQW V\VWHPV WR EH HIIHFWLYH WKH\ PXVW KDYH
VXIILFLHQWGDWDZLWKZKLFKWRDVVHVVFRPSOLDQFHULVNDQGPXVWDOVRKDYHWKHFULWHULDRU
NQRZOHGJH SDUDPHWHUVWREHDEOHWR PDNH LQIHUHQFHV DERXWQRQFRPSOLDQFHIURPWKDW
GDWD&RQVLGHUDEOHHIIRUWLVPDGHWREULQJWRJHWKHUWKHULJKWGDWDWRHYDOXDWHULVNDQG
WRFDSWXUHWKHFULWHULDE\ZKLFKULVNPD\EHLGHQWLILHG
$ ZLGH YDULHW\ RI GDWD LV EURXJKW WRJHWKHU LQ D UHODWLRQDO GDWDEDVH LHGDWD PDUW LQ
RUGHUWRVXSSRUWWKHULVNLGHQWLILFDWLRQDQGULVNHVWLPDWLRQSURFHVVHV7KLVLQFOXGHV
x WD[UHWXUQLQIRUPDWLRQ
$XGLW&DVH6HOHFWLRQ6\VWHPV
x ILQDQFLDOVWDWHPHQWLQIRUPDWLRQIURPEXVLQHVVHVLQFOXGLQJOLQHLWHPVIURP
LQFRPH DQG H[SHQVH VWDWHPHQWV EDODQFH VKHHWV DQG UHFRQFLOLDWLRQ
VWDWHPHQWV
x FURVVSURJUDPPHPDWFKLQJWKDWHVWDEOLVKHVFOLHQWVSHFLILFOLQNDJHVEHWZHHQ
LQFRPH WD[ LQIRUPDWLRQ HPSOR\HU SD\UROO DFFRXQWV JRRGV VHUYLFHV
DFFRXQWV LPSRUWHU DFFRXQWV FRUSRUDWLRQV DQG WKHLU PDMRU VKDUHKROGHUV
DQGWD[SD\HUVDQGWKHLUVSRXVHVDFFRXQWV
x LQGXVWU\FODVVLILFDWLRQFRGLQJ
x OLQNVWRFHUWDLQSURYLQFLDOVWDWHOHYHOGDWDILOHVVXFKDVUHWDLOVDOHVWD[DQG
SURSHUW\DVVHVVPHQWDQG
x ,QWHUQDOO\ GHYHORSHG GDWDEDVHV XVHIXO IRU DVVHVVLQJ ULVN VXFK DV QHW DQG
JURVV SURILW QRUPV IRU LQGXVWU\ VHFWRUV DQG HFRQRPLF UHJLRQV RI &DQDGD
RWKHU ILQDQFLDO UDWLR QRUPV DQG IDPLO\ LQFRPH QRUPV IRU QHLJKERXUKRRGV
GHILQHGE\WKH&DQDGLDQSRVWDOV\VWHP
.QRZOHGJH%DVHG,GHQWLILFDWLRQRI1RQ&RPSOLDQFH
7KH NQRZOHGJH RI H[SHULHQFHG DXGLWRUV DV ZHOO DV VWDWLVWLFDO WHFKQLTXHV DQG GDWD
PLQLQJDUHXVHGWRGHYHORSWKHFULWHULDWKDWZKHQUXQDJDLQVWWKHGDWDEDVHZLOOLGHQWLI\
SRWHQWLDO QRQFRPSOLDQFH DQG HVWLPDWH WKH SRVVLEOH UHYHQXH ULVNV ,Q WKH FDVH RI
DXGLWRUV WKH\ LGHQWLI\ WKH LVVXHV RI QRQFRPSOLDQFH WKDW WKH\ PRVW IUHTXHQWO\
HQFRXQWHULQWKHLUGD\WRGD\DXGLWDFWLYLWLHV%DVHGRQWKHLUH[SHUWLVHDQGNQRZOHGJH
WKH\WKHQSURYLGHWKHFULWHULDE\ZKLFKWKHFRPSXWHULVHGQDWLRQDOV\VWHPVFDQLGHQWLI\
WKHVH W\SHV RI QRQFRPSOLDQFH 7R GDWH PRUH WKDQ GLIIHUHQW VHWV RI FULWHULD KDYH
EHHQGHYHORSHGWRLGHQWLI\QRQFRPSOLDQFH)RUH[DPSOH
x DQ DUHD RI FRQFHUQ LQ WKH UHQWDO LQFRPH VHFWRU LV WKH IDLOXUH WR XVH IDLU
PDUNHWSULFLQJZKHQUHQWLQJUHVLGHQWLDOSURSHUW\UHVXOWLQJLQLPSURSHUORVV
FODLPV 7KHVH VLWXDWLRQV DUH LGHQWLILHG LQ D QXPEHU RI ZD\V LQFOXGLQJ WKH
XVH RI SURSHUW\ WD[ DQG LQWHUHVW H[SHQVH GDWD WR HVWLPDWH WKH WUXH PDUNHW
YDOXHRIWKHSURSHUW\DQGLWVDVVRFLDWHGUHQWDOYDOXH
x XQUHSRUWHG LQFRPH LV D NH\ LVVXH IDFLQJ WD[ FRPSOLDQFH ZLWK WKH
XQGHUJURXQGHFRQRP\$ QXPEHURIFULWHULDDUHXVHGWRLGHQWLI\SRWHQWLDO
DEXVHV LQFOXGLQJ VRXUFH DQG DSSOLFDWLRQ RI IXQGV WHVWLQJ DQG FRPSDULQJ
WD[SD\HUV UHSRUWHG IDPLO\ LQFRPHV WR WKDW RI IDPLOLHV OLYLQJ LQ WKH VDPH
QHLJKERXUKRRG
'DWD0LQLQJ
7KHNQRZOHGJHRIH[SHULHQFHGDXGLWRUVLVVXSSOHPHQWHGE\WKHSRZHURIVRSKLVWLFDWHG
FRPSXWHU VRIWZDUH WR LPSURYH WKH HIIHFWLYHQHVV RI WKH V\VWHPV 'DWD PLQLQJ LV WKH
SURFHVVRIH[SORUDWLRQDQGDQDO\VLVE\DXWRPDWLFPHDQVRIODUJHTXDQWLWLHVRIGDWDLQ
RUGHUWRGLVFRYHUPHDQLQJIXOSDWWHUQVDQGUXOHV7\SLFDOWHFKQLTXHVHPSOR\HGLQFOXGH
VXFKSURFHVVHVDVQHXUDOQHWZRUNVDQGUHJUHVVLRQWUHHV%DVLFDOO\ZKDWKDSSHQVLVWKDW
ZLWK D JLYHQ VHW RI GDWD WKH GDWD PLQLQJ VRIWZDUH LV DVNHG WR GLVWLQJXLVK WKH
FKDUDFWHULVWLFVRIWD[SD\HUVWKDWKDYHEHHQQRQFRPSOLDQWXVXDOO\RQWKHEDVLVRISDVW
DXGLW UHVXOWV IURP WKRVH WKDW DUH FRPSOLDQW 7KH VRIWZDUH FDQ DQDO\VH WKRXVDQGV RI
FKDUDFWHULVWLFVVLPXOWDQHRXVO\DQGILQGSDWWHUQVLQWKHGDWDWKDWFDQEHXVHGWRSURYLGH
QHZFULWHULDIRULGHQWLI\LQJQRQFRPSOLDQFH
%HUU\DQG/LQRII0DVWHULQJ'DWD0LQLQJ
$XGLW&DVH6HOHFWLRQ6\VWHPV
$XWRPDWHG:RUNORDG6HOHFWLRQ7RROV
7KH QDWLRQDO V\VWHPV DUH PDGH DYDLODEOH WR SURJUDPPH PDQDJHUV DV ZHOO DV ORFDO WD[
VHUYLFHRIILFHVDFURVVWKHFRXQWU\WKURXJKWKH&RPSOLDQFH0HDVXUHPHQW3URILOLQJDQG
$VVHVVPHQW6\VWHP&203$66&203$66LVDEXVLQHVVLQWHOOLJHQFHGHFLVLRQVXSSRUW
VRIWZDUH WRRO $W WKH KHDUW RI WKH V\VWHP LV LQWHJUDWHG LQIRUPDWLRQ RQ WKH ILOLQJ
FKDUDFWHULVWLFV DQG SRWHQWLDO FRPSOLDQFH ULVNV IRU HDFK &DQDGLDQ WD[SD\HU 7KLV
LQIRUPDWLRQFRPHVIURPWKHULVNLGHQWLILFDWLRQDQGHVWLPDWLRQSURFHVVHVDVGHWHUPLQHG
E\ WKH QDWLRQDO ULVN DVVHVVPHQW V\VWHP 8VLQJ &203$66 SURJUDPPH PDQDJHUV FDQ
TXLFNO\DQDO\VHULVNVE\LQGXVWU\VHFWRUJHRJUDSKLFDUHDDVZHOODVRWKHUVWDWLVWLFDODQG
GHPRJUDSKLFEUHDNGRZQV7KLVFDQKHOSWKHPHVWDEOLVKULVNEDVHGSURJUDPPHSODQV
$XGLWZRUNORDGGHYHORSHUVDFURVVWKHFRXQWU\XVH&203$66WR
x JDLQ TXLFN SRLQW DQG FOLFN DFFHVV WR KLJK ULVN ZRUNORDG LQ D :LQGRZVOLNH
HQYLURQPHQW
x YLHZ FRPSUHKHQVLYH WD[SD\HU FRPSOLDQFH SURILOHV WR PDNH DXGLW ZRUNORDG
GHFLVLRQV
x WHVWFRPSOLDQFHWKHRULHVE\XVLQJ LQGLYLGXDOO\HVWDEOLVKHGFULWHULDWRGHWHFW
QHZDUHDVRIQRQFRPSOLDQFHDQGIUDXGDQG
x DFFHVV FRPSOLDQFH UHVHDUFK DQDO\VHV DQG UHSRUWV WR VXSSRUW WKH GHFLVLRQV
WKH\WDNHLQDGGUHVVLQJQRQFRPSOLDQFH
/RFDO.QRZOHGJHLQWKH$XGLW3URFHVV
$XGLW ZRUNORDG GHYHORSHUV DSSO\ WKHLU RZQ ORFDO NQRZOHGJH WR PDNH ILQDO GHFLVLRQV
DERXWZKHWKHUDQDXGLWRURWKHUFRPSOLDQFHDFWLRQVKRXOGEHXQGHUWDNHQ)RUH[DPSOH
WKHQDWLRQDOV\VWHPVPD\SRLQWRXWDWD[SD\HULQWKHIDUPLQJVHFWRUZKHUHWKHQHWSURILW
LV ZHOO RXWVLGH WKH QRUP IRU WKDW SDUWLFXODU W\SH RI EXVLQHVV $ ORFDO DXGLW ZRUNORDG
GHYHORSHUKRZHYHUPD\NQRZWKDWWKHORZQHWSURILWFDQEHH[SODLQHGE\KDLOGDPDJH
7KLVW\SHRILQIRUPDWLRQLVQRWDYDLODEOHWRQDWLRQDOV\VWHPVDQGDQH[DPSOHRIZKHUH
ORFDONQRZOHGJHDGGVYDOXHLQWKHGHFLVLRQPDNLQJSURFHVV:RUNORDGRIILFHUVPD\DOVR
KDYH LQIRUPDWLRQ LQ WKH IRUP RI OHDGV WKDW PD\ EH XVHG WR VXSSRUW WKHLU GHFLVLRQV
/HDGV W\SLFDOO\ DUH XQFRYHUHG GXULQJ WKH FRXUVH RI DQ DXGLW ZKHQ IRU H[DPSOH WKH
DXGLWRU ILQGV D SD\PHQW WR DQRWKHU EXVLQHVV WD[SD\HU WKDW PD\ EH VXVSLFLRXV
,QIRUPDQWV DUH DQRWKHU VRXUFH RI OHDGV 7KHVH W\SHV RI OHDGV DUH FXUUHQWO\ EHLQJ
LQWHJUDWHGLQWRWKHQDWLRQDOV\VWHPV
1DWLRQDO6\VWHPVDQG6WUDWHJLF,QIRUPDWLRQ$JJUHJDWH$QDO\VLV
7KHQDWLRQDOV\VWHPVSURYLGHDQLGHQWLILFDWLRQRIWKHSRVVLEOHDUHDVRIQRQFRPSOLDQFH
DQGWKHULVNHVWLPDWHVIRUDOOWD[SD\HUV%HFDXVHRIWKLVV\VWHPUHVXOWVIURPLQGLYLGXDO
FDVHV FDQ EH FDWHJRULVHG DQG DJJUHJDWHG 7KH LQIRUPDWLRQ SURYLGHG LQ WKH DJJUHJDWH
DQDO\VLV FDQ EH XVHG WR VKRZ KRZ QRQFRPSOLDQFH LV GLVWULEXWHG DFURVV LQGXVWU\
VHFWRUV JHRJUDSKLF DUHDV RI &DQDGD RU RWKHU GHPRJUDSKLF RU VWDWLVWLFDO SDUDPHWHUV
7KLVDOORZVXVWRPRUHEURDGO\IRFXVRXUFRPSOLDQFHHIIRUWV
)RUH[DPSOHVHYHQWHHQGLIIHUHQWDUHDVRIULVNZHUHLGHQWLILHGXVLQJFULWHULDHVWDEOLVKHG
E\H[SHULHQFHGDXGLWRUVIRUWKHUHQWDOLQFRPHVHFWRU%\UXQQLQJWKHFULWHULDDJDLQVW
DOOWD[SD\HUVLQWKHVHFWRULWLVSRVVLEOHWRGHWHUPLQHWKHIUHTXHQF\RIRFFXUUHQFHRIWKH
YDULRXVFRPSOLDQFHULVNV7KHIROORZLQJFKDUWLOOXVWUDWHVWKHGLVWULEXWLRQRIWKHWRSILYH
ULVNVLQWKHVHFWRUERWKLQWHUPVRIWKHLUIUHTXHQF\DQGLQWHUPVRIWKHGROODUVDWULVN
7KLV W\SH RI DQDO\VLV DOORZHG XV WR IRFXV RXU DWWHQWLRQ PRUH VSHFLILFDOO\ WR WKH WZR
PDMRU ULVNV LGHQWLILHG WKDW LV WKH IDLOXUH WR XVH IDLU PDUNHW UHQWDO YDOXHV DQG WKH
LQDSSURSULDWHH[SHQVLQJRIFDSLWDOLWHPV
$XGLW&DVH6HOHFWLRQ6\VWHPV
7DEOH5HQWDO6HFWRU$QDO\VLVRI,VVXHV
,VVXH
)DLU0DUNHW9DOXH1RW8VHG
&DSLWDOYV&XUUHQW([SHQVH
3HUVRQDO3RUWLRQ/RZ
2WKHU([SHQVHV
&&$&UHDWHV/RVV
)UHTXHQF\
7D[DW5LVN
7KHV\VWHPVFDQDOVREHXVHGWRDQDO\VHUHYHQXHULVNVIRUVSHFLILFW\SHVRIFRPSOLDQFH
SUREOHPV )RU LQVWDQFH WKH &5$ KDV DQDO\VHG ULVNV DVVRFLDWHG ZLWK XQUHSRUWHG
LQFRPH FRPPRQO\ DVVRFLDWHG ZLWK WKH XQGHUJURXQG HFRQRP\ )RU WKH LVVXH RI
XQUHSRUWHG LQFRPH QRQFRPSOLDQFH LV LGHQWLILHG SULPDULO\ ZKHQ LW DSSHDUHG WKDW WKH
WD[SD\HUV VRXUFH RI IXQGV LV QRW DGHTXDWH WR VXSSRUW KLVKHU OLIHVW\OH 7KLV LV
GHWHUPLQHGWKURXJKFRPSUHKHQVLYHGDWDDQDO\VLVXVLQJDYDULHW\RIWHVWVDQGFULWHULD
,W ZDV UHFRJQLVHG WKDW FHUWDLQ VHJPHQWV RI WKH XQGHUJURXQG HFRQRP\ LQFOXGLQJ
PRRQOLJKWHUV LQGLYLGXDOV ZKR DUH W\SLFDOO\ HPSOR\HG EXW KDYH VHFRQGDU\
VHOIHPSOR\HG LQFRPH VRXUFHV WKDW DUH RIWHQ QRW UHSRUWHG DV ZHOO DV QRQILOHUV ZHUH
QRWIDFWRUHGLQWRWKLVSDUWLFXODUDQDO\VLV$OWKRXJKPRRQOLJKWHUVZHUHULVNDVVHVVHGIRU
XQUHSRUWHG LQFRPH WKH\ ZHUH QRW LQFOXGHG LQ WKLV DQDO\VLV DV WKHUH ZDV QR D SULRUL
NQRZOHGJH RI WKH VHFWRU LQ ZKLFK WKH LQGLYLGXDO ZDV PRRQOLJKWLQJ ,Q VSLWH RI WKHVH
H[FOXVLRQVWKHLQIRUPDWLRQSURYLGHGDJRRGSURILOHRIWKHXQGHUJURXQGHFRQRP\RQDQ
LQGXVWU\ VHFWRU EDVLV IRU VHOIHPSOR\HG LQGLYLGXDOV DQG KHQFH ZDV DEOH WR EH XVHG WR
VXSSRUWGHFLVLRQVUHODWLQJWRUHVRXUFHDOORFDWLRQDQGWDUJHWLQJHIIRUWV
0HDVXULQJWKH3HUIRUPDQFHRI1DWLRQDO5LVN$VVHVVPHQW6\VWHPV
7KHSHUIRUPDQFHRIWKHQDWLRQDOV\VWHPVLVPHDVXUHGRQDQRQJRLQJEDVLVWRGHWHUPLQH
LWVHIIHFWLYHQHVVLQLGHQWLI\LQJULVN7KLVW\SLFDOO\LQYROYHVFRPSDULQJDXGLWUHVXOWVIRU
GLIIHUHQWJURXSLQJVRIHVWLPDWHGULVN2QHH[SHFWVWKDWDVWKHHVWLPDWHGULVNLQFUHDVHV
VRWRRZLOOWKHDXGLWDGMXVWPHQWDPRXQWV%\H[DPLQLQJWKDWUHODWLRQVKLSRQHFDQWKHQ
FRPSDUHWKHHIIHFWRIWDUJHWLQJXVLQJWKHQDWLRQDOV\VWHPVWRZKDWPLJKWEHH[SHFWHGLI
DXGLWV ZHUH VHOHFWHG UDQGRPO\ 5HFHQW &5$ VWXGLHV VKRZ WKDW WKH OLIW IDFWRU IURP
WDUJHWLQJ XVLQJ WKH QDWLRQDO V\VWHPV LV IURP WLPHV WR WLPHV ZKDW RQH ZRXOG
H[SHFW ZLWKRXW WDUJHWLQJ GHSHQGLQJ RQ WKH SDUWLFXODU ULVN V\VWHP LHLQGLYLGXDO
LQFRPHWD[FRUSRUDWHLQFRPHWD[RUJRRGVDQGVHUYLFHVWD[
/LIWLVDPHDVXUHRIWKHHIIHFWLYHQHVVRIDSUHGLFWLYHPRGHOFDOFXODWHGDVWKHUDWLR
EHWZHHQ WKH UHVXOWV REWDLQHG ZLWK DQG ZLWKRXW WKH SUHGLFWLYH PRGHO ,W PHDVXUHV
WKH GHJUHH RI LPSURYHPHQW LQ VHOHFWLQJ ILOHV RQ WKH EDVLV RI WKH ULVN HVWLPDWHV
SURYLGHGE\WKHQDWLRQDOV\VWHPV
&RQWLQXRXV,PSURYHPHQW3URFHVVHV
8QUHSRUWHG,QFRPH$QDO\VLVRI5HYHQXH5LVNV&RPSOLDQFH5HVHDUFK'LUHFWRUDWH)HEUXDU\
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KHDXGLWUHVXOWVDUHDOVRXVHGLQWKHFRQWLQXRXVLPSURYHPHQWSURFHVV)RUH[DPSOH
UHVHDUFK LV SHUIRUPHG WR H[DPLQH FDVHV ZKHUH WKH QDWLRQDO ULVN DVVHVVPHQW V\VWHPV
HVWLPDWHG QR ULVN EXW ZKHUH VLJQLILFDQW DXGLW DGMXVWPHQWV ZHUH PDGH $ UHFHQW &5$
VWXG\ RI WKLV QDWXUH RQ VHOIHPSOR\HG LQGLYLGXDOV IRXQG JDSV LQ WKH QRQFRPSOLDQFH
PRGHOOLQJ UHODWHG WR RQH DUHD RI WKH EXVLQHVV LQFRPH DQG H[SHQVH VWDWHPHQW $V D
UHVXOWRIWKHDQDO\VLVHOHYHQUHFRPPHQGDWLRQVIRULPSURYHPHQWVZHUHPDGH
2WKHU FRQWLQXRXV LPSURYHPHQW SURFHVVHV DUH DOVR LQ SODFH 7KHVH LQFOXGH KDYLQJ D
WHDPRIDXGLWVSHFLDOLVWVIURPDFURVVWKHFRXQWU\LGHQWLI\QHZEXVLQHVVDQGFRPSOLDQFH
WUHQGV PRGHO QHZ FULWHULD IRU LGHQWLI\LQJ QRQFRPSOLDQFH DQG YDOLGDWH DQG UHILQH
H[LVWLQJ FULWHULD ,QWHJUDWLQJ QHZ VRXUFHV RI GDWD UHOHYDQW WR DVVHVVLQJ ULVN LV DOVR DQ
RQJRLQJDFWLYLW\DLPHGDWLPSURYLQJWKHQDWLRQDOV\VWHPV
7KH&RPSOLDQFH0HDVXUHPHQW)UDPHZRUN&0)
7KLVLVDPHWKRGIRUPRQLWRULQJFRPSOLDQFHDQGHYDOXDWLQJDQGUHILQLQJRXUDSSURDFK
WR DGGUHVVLQJ LW ,W LV D V\VWHPDWLF DSSURDFK DQG ZLOO HVWDEOLVK D FRQVLVWHQW YLHZ RI
FRPSOLDQFHDWDQ\SRLQWLQWLPH7KH&0)ZLOOHQDEOHGHFLVLRQPDNHUVWR
x XQGHUVWDQGFRPSOLDQFHWUHQGVDQGKRZWKH\UHODWHWRFXUUHQWSURJUDPPHV
DQGLQLWLDWLYHV
x KHOS LGHQWLI\ DUHDV ZKHUH FRPSOLDQFH VWUDWHJLHV QHHG WR EH PRGLILHG RU
DGMXVWHGDQG
x EH DZDUH RI HPHUJLQJ WUHQGV LQ QRQFRPSOLDQFH WKDW ZLOO QHHG FORVH
DWWHQWLRQLQWKHIXWXUH
$WWKHKHDUWRIWKH&0)DUHFRPSOLDQFHLQGLFDWRUVWKDWWUDFNFRPSOLDQFHWUHQGVXVLQJD
VHWRISUR[\PHDVXUHVGHULYHGIURPDYDULHW\RILQWHUQDODQGH[WHUQDOGDWDVRXUFHV7KH
LQGLFDWRUV DUH DOVR XVHG WR LGHQWLI\ FRPSOLDQFH ULVNV DQG LVVXHV IRU IXUWKHU VWXG\ DQG
DVVHVVFRPSOLDQFHLPSDFWVRISURJUDPPHVWUDWHJLHVDQGLQLWLDWLYHV7KH\DUHEDVHGRQ
FOHDUO\GHILQHGFRPSOLDQFHGHILQLWLRQVDQGDUHGHYHORSHGIRUVSHFLILFFOLHQWVHJPHQWV
6RPH RQH KXQGUHG DQG ILIW\ FRPSOLDQFH LQGLFDWRUV KDYH EHHQ LGHQWLILHG IRU
GHYHORSPHQWDQGLPSOHPHQWDWLRQZLWKLQWKH&0)7KH\ZLOOEHWUDFNHGDQQXDOO\DQG
WRJHWKHU WKH\ ZLOO GUDZ WKH PDFUR SLFWXUH RI FRPSOLDQFH ZLWKLQ HDFK DVSHFW RI
FRPSOLDQFHUHJLVWHULQJILOLQJUHSRUWLQJDQGSD\LQJ$QLQIRUPDWLRQV\VWHPLVEHLQJ
GHYHORSHGWKDWZLOOHQKDQFHRXUFRPSOLDQFHPRQLWRULQJDQGUHSRUWLQJFDSDELOLWLHV
,QFRQFOXVLRQWKH&5$KDVVHWRXWWRDFKLHYHWD[FRPSOLDQFHE\IROORZLQJDQDSSURDFK
EDVHGRQULVNPDQDJHPHQW,WHQGHDYRXUVWRLGHQWLI\DQGDVVHVVFRPSOLDQFHULVNVDQG
WR XQGHUVWDQG WKH XQGHUO\LQJ IDFWRUV FRQWULEXWLQJ WR WKH ULVN ,Q GHYHORSLQJ RXU
FRPSOLDQFHVWUDWHJLHVZHIRFXVRQDGGUHVVLQJWKRVHXQGHUO\LQJIDFWRUVDQGHQVXUHWKDW
WKHLPSDFWVRIWKHVWUDWHJLHVDUHPHDVXUHGDQGIHHGEDFNDQGPRQLWRULQJSURFHVVHVDUH
GHYHORSHG WR HQVXUH FRQWLQXRXV LPSURYHPHQW $QDO\VLV IRUPV WKH EDVLV IRU
GHFLVLRQPDNLQJ DQG RXU DSSURDFK EULQJV WRJHWKHU GDWD FRPSXWHU WHFKQRORJ\
VWDWLVWLFDODQGHFRQRPLFPHWKRGRORJLHVDQGKXPDQNQRZOHGJHDQGLQVLJKW
$XGLW&DVH6HOHFWLRQ6\VWHPV
&DVH6WXG\ 'HFHQWUDOLVHG1RQ$XWRPDWHG0HWKRG
6ZLW]HUODQG)HGHUDO7D[$GPLQLVWUDWLRQ
$ VKRUW LQWURGXFWLRQ WR WKH 6ZLVV WD[ V\VWHP LV QHFHVVDU\ WR XQGHUVWDQG WKLV ULVN
DVVHVVPHQW PHWKRG 6ZLW]HUODQG LV D )HGHUDWLRQ WKH WHUP &RQIHGHUDWLRQ DOVR EHLQJ
XVHGIUHTXHQWO\FRQVLVWLQJRI&DQWRQVRIWHQUHIHUUHGWRDV6WDWHVZLWKWKHLURZQ
WD[ ODZV WD[ DGPLQLVWUDWLRQV VSHFLILF SUDFWLFHV DQG UHODWLRQV ZLWK WKHLU FLWL]HQV ,W LV
RQHRIWKHYHU\IHZ&RXQWULHVZKHUHWKHUHLVQRVHOIDVVHVVPHQWUHJLPHIRUGLUHFWWD[HV
6XFK D V\VWHP LV FRQVLVWHQW ZLWK D WD[ DXWKRULW\ DVVHVVPHQW PHWKRG ZKHUH WKH
FRPSOLDQFHKLVWRU\RIHYHU\LQGLYLGXDORUFRPSDQ\LVNQRZQDQGILOHGE\WKHLURZQWD[
RIILFHU ,QSXW IRU FKRRVLQJ FDVHV PDLQO\ RULJLQDWHV IURP WD[ RIILFHUV UHVSRQVLEOH IRU
DVVHVVPHQWDQGSDUWO\E\FRXUWVZKLFKRIWHQRUGHUDXGLWVWRVROYHFRQWURYHUVLDOFDVHV
7KHUHGRHVQRWH[LVWDIRUPDOSURFHVVIRUDXGLWVHOHFWLRQVWKHVHDUHHQWLUHO\EDVHGRQ
KXPDQVNLOOVDQGLQWXLWLRQ
+RZHYHUWKHYDVWPDMRULW\RIWD[DGMXVWPHQWVDUHPDGHGLUHFWO\E\WKHWD[RIILFHUDQG
WKHUH LV QHLWKHU D QHHG IRU DQ DXGLW QRU SHQDOWLHV IRU WKH WD[SD\HU ,Q JHQHUDO WKHVH
FRUUHFWLRQVIRUPLQRUDPRXQWVDUHQHFHVVDU\LQRIDOOFDVHVFRPSDQLHVDQGWKH\
FRQFHUQWD[GHGXFWLRQVQRWDGPLWWHGEHFDXVHWKH\DUHH[FHVVLYHRUQRWVXEVWDQWLDWHG,Q
DERXW RI WD[ UHWXUQV ILOHG DGGLWLRQDO LQIRUPDWLRQ LV UHTXHVWHG IURP WKH WD[SD\HU
DQGRQO\UHFHLYHDYLVLWIURPDWD[DXGLWRU
7KLV V\VWHP LV RQO\ FRQVLVWHQW ZLWK D UHJLPH RI QRQ VHOIDVVHVVPHQW DQG LQ IDFW IRU
VHOIDVVHVVHG WD[HV VXFK DV 9$7 LQWURGXFHG LQ VRFLDO VHFXULW\ FRQWULEXWLRQV IRU
HPSOR\HUVDQGVRXUFHWD[HVIRUQRQUHVLGHQWVLWLVVKRZLQJLWVOLPLWV)RUWKLVWKH9$7
GHSDUWPHQW LV ZRUNLQJ RQ D GDWDEDVH RI FRPSOLDQFH ULVNV LQ RUGHU WR LQFUHDVH WKH
HIIHFWLYHQHVVRIWKHLUDXGLWV
$WWKHPRPHQWWKHPRVWLPSRUWDQWFKDOOHQJHLVQRWDWWKHOHYHORIWHFKQLFDOH[SHUWLVHIRU
WKH FUHDWLRQ RI VXFK DQ DXWRPDWHG PHWKRG EXW WKH ODFN RI GDWD DYDLODEOH LQ D
VWDQGDUGLVHGIRUPDWDQGRUJDQLVDWLRQDOREVWDFOHV7KLVLVEHFDXVH9$7LVDIHGHUDOWD[
DGPLQLVWHUHGE\WKH)HGHUDO7D[$GPLQLVWUDWLRQZKLOHDOOGLUHFWWD[HVDUHDGPLQLVWHUHG
E\WKH&DQWRQVZLWKDFRQVLGHUDEOHYDULHW\RIGLIIHUHQW,7V\VWHPV
&DVH6WXG\ &RPELQHG&HQWUDOLVHG'H&HQWUDOLVHG5LVN,GHQWLILFDWLRQ
3URFHVV8.,QODQG5HYHQXH
7KHFXUUHQWV\VWHPRIULVNLGHQWLILFDWLRQIRUVPDOODQGPHGLXPHQWHUSULVHVXVHGE\WKH
,QODQG5HYHQXHLQDGPLQLVWHULQJGLUHFWWD[HVLQWKH8.LVUHODWLYHO\QHZ,WVRULJLQVDUH
EDVHGRQWKHLQWURGXFWLRQRIDV\VWHPRI6HOI$VVHVVPHQWIRULQFRPHWD[LQ
%HIRUH GHVFULELQJ LQ GHWDLO WKH SURFHVV RI ULVN DVVHVVPHQW XVHG IRU VHOI$VVHVVPHQW
UHWXUQV LW VKRXOG EH QRWHG WKDW WKH VWUXFWXUH RI DGPLQLVWUDWLRQ RI WKH 8. WD[ V\VWHP
LQKHUHQWO\UHFRJQLVHVDGLIIHUHQWOHYHORIULVNEHWZHHQGLIIHUHQWJURXSVRIWKHWD[SD\HU
$XGLW&DVH6HOHFWLRQ6\VWHPV
SRSXODWLRQ7KH8.KDVDSSUR[LPDWHO\PLOOLRQWD[SD\HUVVXEMHFWWRLQFRPHWD[EXW
RQO\PLOOLRQRIWKRVHWD[SD\HUVDUHUHTXLUHGWRFRPSOHWHDQDQQXDOLQFRPHWD[UHWXUQ
7KH UHPDLQGHU LV SUHGRPLQDQWO\ PDGH XS RI WD[SD\HUV ZKRVH VROH RU PDLQ LQFRPH LV
IURP HPSOR\PHQW DQGRU VDYLQJV LQFRPH VXEMHFW WR WD[ GHGXFWLRQ DW VRXUFH ,QFRPH
IURPHPSOR\PHQWLVJHQHUDOO\VXEMHFWWRGHGXFWLRQDWVRXUFHE\WKHHPSOR\HUXQGHUWKH
8.
V 3D\ $V <RX (DUQ VFKHPH 7KH IDFW WKDW WKH PDMRULW\ RI WKHVH HPSOR\HHV DUH QRW
UHTXLUHGWRFRPSOHWHDQDQQXDOLQFRPHWD[UHWXUQUHFRJQLVHVWKDWWKHRSSRUWXQLW\IRU
QRQUHSRUWLQJDQGSRWHQWLDOIRUQRQFRPSOLDQFHLVVLJQLILFDQWO\ORZHULQWKLVVHFWRURI
WKHSRSXODWLRQ
(PSOR\HUV DUH UHTXLUHG WR FRPSOHWH DQQXDO UHWXUQV ZKLFK DUH VXEMHFW WR FRPSOLDQFH
FKHFNV
7KH SURFHVV GHVFULEHG EHORZ LV IRFXVHG RQ LGHQWLI\LQJ ULVNV RI LQDFFXUDWH UHSRUWLQJ DV
WKH EDVLV IRU D SURJUDPPH RI HQTXLULHV ,Q WKLV FRQWH[W HQTXLULHV FDQ EH WDNHQ DV
V\QRQ\PRXVZLWKDXGLW
7KH ULVN VFRULQJ DQG SURILOLQJ FDSDELOLWLHV KDYH DOVR SURYHG YHU\ XVHIXO LQ RWKHU
FRQWH[WV
x WKH\VXSSRUWWKH LGHQWLILFDWLRQRIFXVWRPHUVDQGFXVWRPHU JURXSVWKDWZLOO
EHQHILW IURP DOWHUQDWLYH WUHDWPHQWV VXFK DV HQDEOLQJ RU OHYHUDJH VHH
FRPSDQLRQ 2(&' GRFXPHQW 0DQDJLQJ DQG LPSURYLQJ 7D[ &RPSOLDQFH
SDJHRQZDUGV
x WKH 73, SDUW LV LQYDOXDEOH LQ LGHQWLI\LQJ ULVNV LQ WKH SRSXODWLRQ WKDW LV QRW
UHTXLUHGWRPDNHDQDQQXDOWD[UHWXUQ
,Q GHDOLQJ PRUH EURDGO\ ZLWK ULVNV ZLWKLQ WKH QRQ UHWXUQV SRSXODWLRQ DQG ZLWK WKH
ULVNVDURXQGIDLOXUHWRUHJLVWHUZLWKWKHV\VWHPLQWKHILUVWSODFHWKLVSURFHVVQHHGVWR
EHVXSSOHPHQWHGE\DGGLWLRQDOLQWHOOLJHQFHDQGLQIRUPDWLRQV\VWHPV
x RXUKLGGHQHFRQRP\VWUDWHJ\UHOLHVRQWKHFURVVUHIHUHQFLQJRILQIRUPDWLRQ
IURP D QXPEHU RI RIILFLDO VRXUFHV FXVWRPHU KRWOLQHV SXEOLFO\ DYDLODEOH
LQIRUPDWLRQDQGRXURZQSURDFWLYHLQWHOOLJHQFHWRILQGDQGULVNDVVHVVWKRVH
XQNQRZQWRRXUV\VWHP
x LQ DGGLWLRQ WR WKH XVH RI RXU 73, GDWDEDVHV ULVNV LQ WKH QRQ UHWXUQV
SRSXODWLRQDUHLGHQWLILHGWKURXJKDFWLYHUHYLHZDWSRLQWVRIFRQWDFWZLWKXV
IRULQVWDQFHZKHQFODLPVIRUH[SHQVHVDUHPDGHDQGWKURXJKLQIRUPDWLRQ
IRXQGGXULQJRXUIRUPDODXGLWVRIHPSOR\HUVDQGFRQWUDFWRUV
6WDWXWRU\EDVLVIRUULVNDVVHVVPHQW
,QWKH8.DVLQRWKHUWHUULWRULHV6HOI$VVHVVPHQWLQWURGXFHGDVKLIWLQWKHUHVSHFWLYH
UHVSRQVLELOLWLHV RI WKH WD[SD\HU DQG WKH 5HYHQXH $XWKRULW\ 3ULRU WR 6HOI$VVHVVPHQW
WD[,QVSHFWRUVZHUHUHTXLUHGWRFRQVLGHUHDFKWD[UHWXUQDQGGHFLGHZKHWKHUWRLVVXHDQ
DVVHVVPHQW WR WD[ EDVHG RQ WKH UHWXUQHG ILJXUHV RU WR DVN TXHVWLRQV 8QGHU
6HOI$VVHVVPHQWWKHUHLVQRVWDWXWRU\UHTXLUHPHQWIRU,QODQG5HYHQXHWRFRQVLGHUHYHU\
UHWXUQEXWWKH$XWKRULW\GRHVKDYHWKHVWDWXWRU\ULJKWWRHQTXLUHLQWRDQ\UHWXUQ
7KLVKDVHQDEOHGWKH,QODQG5HYHQXHWR
x LQWURGXFHQHZULVNLGHQWLILFDWLRQWHFKQLTXHVIRFXVLQJRQKLJKULVNUHWXUQV
$XGLW&DVH6HOHFWLRQ6\VWHPV
x FDUU\ RXW D SURJUDPPH RI HQTXLULHV RQ UHWXUQV VHOHFWHG DW UDQGRP WR
SURYLGHYDOXDEOHLQIRUPDWLRQRQOHYHOVRIFRPSOLDQFHLQWKHSRSXODWLRQDQG
LQGLIIHUHQWWD[SD\HUJURXSV
x VHSDUDWHSURFHVVLQJRIWD[UHWXUQVIURPULVNLGHQWLILFDWLRQDOORZLQJJUHDWHU
REMHFWLYLW\DQGFRQVLVWHQF\LQWKHULVNLGHQWLILFDWLRQSURFHVV
,7 LQIUDVWUXFWXUH ZKLFK VXSSRUWV 6HOI$VVHVVPHQW LQFOXGHV WKH IDFLOLW\ WR FDSWXUH
VWDQGDUG DFFRXQWV LQIRUPDWLRQ LQ UHVSHFW RI VPDOO DQG PHGLXP HQWHUSULVHV 3ULRU WR
VPDOO EXVLQHVVHV ZRXOG LQFOXGH ZLWK WKHLU WD[ UHWXUQ ILQDQFLDO
VWDWHPHQWDFFRXQWV RI EXVLQHVV LQFRPH DQG H[SHQGLWXUH 7KHUH ZDV QR VWDQGDUG
IRUPDW IRU SURGXFWLRQ RI WKHVH DFFRXQWV DQG WKH LQIRUPDWLRQ ZDV QRW FDSWXUHG
HOHFWURQLFDOO\7KH6HOI$VVHVVPHQWWD[UHWXUQUHTXLUHVEXVLQHVVHVWRLQFOXGH6WDQGDUG
$FFRXQWV ,QIRUPDWLRQ 6$, LQ D VSHFLILHG IRUPDW DOORZLQJ ILQDQFLDO VWDWHPHQW GDWD WR
EHXVHGLQDQDXWRPDWHGULVNDVVHVVPHQWSURFHVV
$QLQWHJUDOSDUWRIWKH,7V\VWHPLVDNQRZOHGJHEDVHGGHFLVLRQVXSSRUWV\VWHPZKLFK
DOORFDWHVULVNVFRUHVWRHDFKLQFRPHWD[UHWXUQ7KLVLVDFFRPSDQLHGE\DSURILOLQJWRRO
WKDW DOORZV ,QODQG 5HYHQXH &RPSOLDQFH 0DQDJHUV WR VHOHFW IRU IXUWKHU H[DPLQDWLRQ
UHWXUQVZKLFKVDWLVI\DVSHFLILHGSURILOH
7KLV LQIRUPDWLRQ LV KRXVHG LQ D GDWD ZDUHKRXVH 7KH GDWD ZDUHKRXVH DOVR VWRUHV
LQIRUPDWLRQ REWDLQHG IURP RWKHU VRXUFHV PDLQO\ IURP DQQXDO VWDWXWRU\ UHWXUQV PDGH
E\ILQDQFLDOLQVWLWXWLRQVRURWKHUERGLHVZKRUHFHLYHRUSD\PRQH\RQEHKDOIRIRWKHUV
DQ H[DPSOH LV DQQXDO UHWXUQV PDGH E\ EDQNV RI DPRXQWV RI LQWHUHVW SDLG RQ VDYLQJV
DFFRXQWV 7KH JHQHULF WHUP 7KLUG 3DUW\ ,QIRUPDWLRQ 73, LV XVHG WR GHVFULEH
LQIRUPDWLRQUHFHLYHGIURPVRPHRQHRWKHUWKDQWKHWD[SD\HU73,LVDOVRVWRUHGLQWKH
GDWDZDUHKRXVHDQGFDQEHPDWFKHGDJDLQVWWD[UHWXUQLQIRUPDWLRQ
'HWDLOVRIW\SHVRILQIRUPDWLRQKHOGDQGXVHRIULVNSURILOLQJDUHSURYLGHGODWHULQWKLV
QDUUDWLYH
2UJDQLVDWLRQDOVWUXFWXUH
7KH,QODQG5HYHQXHKDVDOVRFKDQJHGWKHRUJDQLVDWLRQRILWVORFDOWD[RIILFHQHWZRUNLQ
DZD\WKDWVXSSRUWVWKHPRYHDZD\IURPLQGLYLGXDORIILFHUH[DPLQDWLRQRIWD[UHWXUQVWR
DSURFHVVRIREMHFWLYHSURILOHGULYHQULVNDVVHVVPHQW
3ULRU WR UHRUJDQLVDWLRQ WKH SURFHVV RI ULVN LGHQWLILFDWLRQ ZDV FDUULHG RXW E\ WKH VDPH
WHDP WKDW ZRXOG SHUIRUP WKH HQTXLU\ RU DXGLW (DFK ORFDO DUHD RIILFH VWUXFWXUH QRZ
LQFOXGHV D GHGLFDWHG ULVN LQWHOOLJHQFH DQG DQDO\VLV WHDP 5,$7 ZKRVH PDLQ UROH LV WR
FDUU\RXWULVNDVVHVVPHQWRQDOOWD[UHWXUQVLQWKDWJHRJUDSKLFDODUHDDQGLGHQWLI\WKH
LQGLYLGXDOFDVHVZKLFKDUHWREHVXEMHFWWRHQTXLU\(QTXLULHVDUHFDUULHGRXWE\RWKHU
WHDPVLQWKH$UHDRIILFH
7KH QHWZRUN RI ORFDO $UHD RIILFHV LV PDQDJHG WKURXJK VHYHQ JHRJUDSKLFDO UHJLRQDO
RIILFHV7KH6HUYLFH'HOLYHU\6XSSRUW&RPSOLDQFHWHDPZLWKLQ,QODQG5HYHQXH+HDG
2IILFHVHWWKHDLPVSROLFLHVSURFHVVHVDQGSULRULWLHVIRUULVNLGHQWLILFDWLRQLQ$UHDV
7\SHVRIHQTXLU\WDLORUHGWRULVN
7KHFDXVHVRILQFRUUHFWUHSRUWLQJFDQEHYDULHGUDQJLQJIURPHUURUPLVXQGHUVWDQGLQJ
RU DPELJXLW\ RYHU LQWHUSUHWDWLRQ RI D SDUWLFXODU SLHFH RI WD[ OHJLVODWLRQ WR GLVKRQHVW\
7KH,QODQG5HYHQXHVHQTXLU\SURJUDPPHVSOLWVHQTXLULHVLQWRWZRW\SHV
$XGLW&DVH6HOHFWLRQ6\VWHPV
x IXOO HQTXLU\ DOO ULVNV SUHVHQW LQ WKH UHWXUQ WR EH DGGUHVVHG LQFOXGLQJ WKH
ULVNWKDWWKHUHWXUQLVIXQGDPHQWDOO\LQFRUUHFW
x DVSHFWHQTXLU\DQHQTXLU\IRFXVLQJRQRQHRUPRUHVSHFLILFLVVXHVRUULVNV
LQWKHUHWXUQ
5LVNLGHQWLILFDWLRQSURFHVV
7KH WDEOH EHORZ GHPRQVWUDWHV WKH HVWLPDWHG PDNHXS RI WKH ,QODQG 5HYHQXH )XOO
(QTXLU\3URJUDPPHIRU
7DEOH,QODQG5HYHQXH)XOO(QTXLU\3URJUDPPH
0HWKRGRI
6HOHFWLRQ
&HQWUDO/RFDO6HOHFWLRQ
RI(QTXLU\
3URJUDPPH
5DQGRP
(QTXLULHV
&DVHVVHOHFWHGFHQWUDOO\
&HQWUDO'LUHFWLRQ 6SHFLILFKLJKULVNWUDGHVHFWRUVRULVVXHVLGHQWLILHG
FHQWUDOO\LQGLYLGXDOFDVHVVHOHFWHGORFDOO\
/RFDO6HOHFWLRQ
(QTXLULHVVHOHFWHGORFDOO\
6HJPHQWDWLRQRIEXVLQHVVWD[SD\HUSRSXODWLRQ
:LWKLQ HDFK DUHD RIILFH WKH EXVLQHVV WD[SD\HU SRSXODWLRQ LV VHJPHQWHG DFFRUGLQJ WR
OHYHORIULVN7KHVHOIHPSOR\HGVPDOODQGPHGLXPHQWHUSULVHVHJPHQWLVVSOLWEHWZHHQ
VPDOO PHGLXP DQG ODUJH EXVLQHVVHV RQ WKH EDVLV RI EXVLQHVV WXUQRYHU
&RPSDQLHVFRUSRUDWLRQV DUH VHJPHQWHG XVLQJ D VOLJKWO\ PRUH VRSKLVWLFDWHG V\VWHP
ZKLFK UHFRJQLVHV EXVLQHVV WXUQRYHU OHYHO QDWXUH RI JURXS VWUXFWXUH WUDGH W\SH
SUHVHQFH RI ,QWHUQDWLRQDO WD[ LVVXHV DQG DQ\ KLVWRU\ RI WD[ DYRLGDQFH 1RQEXVLQHVV
WD[SD\HUVZLWKSDUWLFXODUO\FRPSOH[DIIDLUVDUHULVNDVVHVVHGLQVSHFLDOLVWRIILFHV
3URFHVVRIULVNDVVHVVPHQWLQORFDO$UHDRIILFHV
,QGLYLGXDOFDVHVHOHFWLRQLQORFDO$UHDRIILFHVLVFDUULHGRXWRQDSURMHFWEDVLVRUJDQLVHG
E\ WKH 5,$7 PDQDJHU (DFK SURMHFWV DLPV DUH VHW RXW EHIRUH DQ\ DFWXDO ULVN
LGHQWLILFDWLRQZRUNLVFRPPHQFHGDQGZLOOLQFOXGHDGHILQLWLRQRIWKHW\SHRIULVNWUDGH
VHFWRURUWD[SD\HUEHLQJDGGUHVVHG
$XGLW&DVH6HOHFWLRQ6\VWHPV
2IWHQ DW DQ HDUO\ VWDJH LQ WKH SURFHVV D SURILOH RI WDUJHW WD[SD\HUULVN IHDWXUHV LV
FRQVWUXFWHG ZKLFK ZLOO IRUP WKH EDVLV IRU D TXHU\ RI WKH 6$ 'DWD 0DUW 7KH UHVXOWLQJ
UHSRUWOLVWLQJRIUHWXUQVWKDWPHHWWKHFULWHULDVHWLVWHUPHGDSURILOH)XUWKHUGHWDLORQ
WKHW\SHVRIGDWDWKDWFDQEHLQFOXGHGLQDTXHU\LQFOXGLQJWKHULVNVFRUHDOORFDWHGWRD
UHWXUQLVJLYHQODWHULQWKLVVHFWLRQ
$Q LPSRUWDQW IHDWXUH RI WKH 6$ 'DWD 0DUW LV WKH FDOFXODWLRQ RI D ULVN VFRUH IRU HDFK
UHWXUQ $Q H[WHQVLYH VHW RI UXOHV DQG SDUDPHWHUV LV XVHG WR VFRUH FRPSOH[LW\
LQFRQVLVWHQF\DQGEXVLQHVVUDWLRVSUHVHQWLQHDFKUHWXUQ
,WLVLPSRUWDQWWRQRWHWKDWIRULQGLYLGXDOFDVHVHOHFWLRQWKHULVNVFRUHJHQHUDWHGE\WKH
DXWRPDWHG V\VWHP LV XVHG RQO\ DV D JXLGH WR SRWHQWLDO KLJK ULVN FDVHV ,W LV RQO\ RQH
SLHFHRILQIRUPDWLRQFRQVLGHUHGSULRUWRPDNLQJWKHILQDOVHOHFWLRQRIFDVHVIRUHQTXLU\
2WKHULPSRUWDQWIDFWRUVWDNHQLQWRDFFRXQWLQLGHQWLI\LQJFDVHVIRUHQTXLU\LQFOXGHORFDO
VRXUFHVRILQWHOOLJHQFHKLVWRULFDOUHVXOWVRIHQTXLU\LQGLFDWLQJSDUWLFXODUKLJKULVNWUDGH
VHFWRUVRULVVXHVDQGSHUVRQDONQRZOHGJHDQGH[SHULHQFHRI5,$7VWDII
5DQGRPHQTXLU\SURJUDPPH
0RUHUHFHQWO\WKHUHVXOWVIURPWKHSURJUDPPHRIUDQGRPHQTXLULHVKDYHEHHQXVHGWR
LQIRUPULVNEDVHGFDVHVHOHFWLRQV'DWDPLQLQJDQGFOXVWHUDQDO\VLVH[HUFLVHVKDYHEHHQ
FDUULHG RXW RQ WKH UHVXOWV RI UDQGRP HQTXLU\ SURJUDPPH FDVHV WR LGHQWLI\ JURXSV RI
IHDWXUHVLQGLFDWLYHRIKLJKULVNWD[UHWXUQV7KRVHUHVXOWVKDYHEHHQXVHGWRLQIRUPWKH
FHQWUDOVHOHFWLRQRIDSURSRUWLRQRIHQTXLU\FDVHVDQGKDYHEHHQPDGHDYDLODEOHWRORFDO
5,$7VWRDLGORFDOFDVHVHOHFWLRQ
2UJDQLVDWLRQDOFKDQJH
133
7KH8.KDVH[SHULHQFHGDGHJUHHRIRUJDQLVDWLRQDOUHVLVWDQFHWRWKHLQWURGXFWLRQRIWKH
FXUUHQWPHWKRGRIULVNDVVHVVPHQWEDVHGRQDQLQLWLDOODFNRIFRQILGHQFHRQWKHSDUWRI
(QTXLU\ 2IILFHUV XVHG WR VHOHFWLQJ WKHLU RZQ FDVHV RU HQTXLU\DXGLW 7KLV LVVXH LV
FRPPRQ WR DOO DGPLQLVWUDWLRQV WKDW KDYH LQWURGXFHG FHQWUDOLVHG ULVN DVVHVVPHQW
SURFHVVHV WR UHSODFH DXGLWRUV LQWXLWLRQ ,W LV EHLQJ DGGUHVVHG E\ SULRULWLVLQJ WKH
LPSURYHPHQW RI SDUWQHUVKLS DQG H[FKDQJH RI H[SHUWLVH EHWZHHQ ULVN DVVHVVPHQW DQG
HQTXLU\WHDPV
6$'DWD0DUWDQG5LVN6FRULQJ6\VWHP
8VHUV DFFHVV WKH 6$ 'DWD 0DUW WKURXJK WKHLU GHVNWRS ,7 V\VWHP 0DQDJHUV DUH
UHVSRQVLEOH IRU HQVXULQJ WKDW (QTXLU\ 2IILFHUV NQRZ KRZ WKH 6$ 'DWD 0DUW FDQ DLG
WKHPZLWKWKHLUHQTXLU\ZRUN
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KH 6$ 'DWD 0DUW FXUUHQWO\ KROGV 6$ GDWD DQG 73, GDWD LQ VHSDUDWH DUHDV )RU 6$ LW
KROGVDFRS\RIVHOHFWHGWD[SD\HUGDWDLQFOXGLQJ
x WD[UHWXUQDQGVXSSOHPHQWDU\SDJHVGDWD
x OLDELOLW\SHULRGGDWD
x ULVNVFRUHVDQGGHWDLOHGULVNDVVHVVPHQW
73, PRVWO\ UHODWHV WR VDYLQJV DFFRXQWV RU RWKHU ILQDQFLDO YHKLFOHV REWDLQHG IURP
ILQDQFLDOLQVWLWXWLRQV
DQQXDOUHWXUQV)RU73,LWKROGVDFRS\RIVHOHFWHG
x DJJUHJDWHG73,GDWDDQGVLJQDOV
x ULVNVFRUHVDQGGHWDLOHGULVNDVVHVVPHQW
7KH LQIRUPDWLRQ LQ WKH 6$ 'DWD 0DUW FRPHV IURP GHWDLOV FDSWXUHG IURP 6$ UHWXUQV
GHVLJQDWRU\GDWDWUDQVIHUUHGIURPWKH6$WD[SD\HUUHFRUGVGXULQJWKHFRXUVHRIGD\WR
GD\ ZRUN IRU H[DPSOH FRPSOLDQFH VLJQDOV 7&1V DQG DGGUHVVHV DQG DOVR DJJUHJDWHG
73,GDWDDQGVLJQDOV
7KHUXOHVDOORFDWHULVNVFRUHVWRSDUWLFXODUIHDWXUHVSUHVHQWLQWKHUHWXUQ,QJHQHUDOWKH\
DUH GHVLJQHG WR LGHQWLI\ FRPSOH[LW\ LQFRQVLVWHQF\ DQG EXVLQHVV UDWLRV IDOOLQJ RXWVLGH
H[SHFWHGUDQJHVRULQGLFDWLQJVLJQLILFDQWFKDQJH6HSDUDWHVHWVRIUXOHVH[LVWIRURWKHU
QRQEXVLQHVVLQFRPHDQGJDLQV
&RPSOH[LW\LQFUHDVHVWKHFKDQFHRIQRQFRPSOLDQFHWKURXJKHUURUPLVXQGHUVWDQGLQJ
DPELJXLW\DQGRSSRUWXQLW\$WD[UHWXUQZLWKPXOWLSOHVRXUFHVRILQFRPHRUJDLQVRI
YDU\LQJ QDWXUH ZLOO DWWUDFW D KLJKHU ULVN VFRUH WKDQ RQH IHDWXULQJ D VLQJOH ORZ YDOXH
VRXUFH
,QFRQVLVWHQF\LVLGHQWLILHGWKURXJKDQRPDOLHVLQWKHLQIRUPDWLRQKHOGHJDSULRU\HDU
ORVVVKRZQDWDGLIIHUHQWILJXUHWRWKDWLQODVW\HDUVUHWXUQDEDODQFHVKHHWZKLFKGRHV
QRW EDODQFH LQWHUHVW RQ VDYLQJV LQFRPH QRW FRUUHVSRQGLQJ WR LQIRUPDWLRQ UHFHLYHG
IURPDWKLUGSDUW\VXFKDVDEDQN
%XVLQHVVUDWLRVIRFXVRQDUDQJHRILQGLFDWRUVWKDWFDQEHFRPSDUHGDJDLQVWQRUPVIRU
WKHWUDGHVHFWRUXQXVXDOFKDQJHVRUWHVWHGIRULQWHUQDOFRQVLVWHQF\([DPSOHVLQFOXGH
JURVV SURILW UDWHV VWRFNSXUFKDVHV EXVLQHVV LQFRPHODERXU FRVWV HWF $OPRVW
VHSDUDWHEXVLQHVVUXOHVDUHLQFOXGHGLQWKHNQRZOHGJHEDVH
2QFH ULVN VFRULQJ KDV WDNHQ SODFH DOO LQIRUPDWLRQ LV SDVVHG WR WKH 6$ 'DWD 0DUW WR
HQDEOHSURILOLQJRQWKHGDWDDQGWKHUXOHVWREHFDUULHGRXW8VHUVFDQ
x VSHFLI\ZKDWUHSRUWVWRSURILOH
x VHOHFWWKHGDWDRQZKLFKWRSURILOH
x SUHSDUHSURILOHVIRUFRPSOLDQFHUHYLHZ
$XGLW&DVH6HOHFWLRQ6\VWHPV
x VDYHWKHLQIRUPDWLRQWRSULYDWHILOHV
x SULQWWKHOLVWVRIFDVHVVHOHFWHGLIUHTXLUHG
x PDQLSXODWHUHSRUWVLQ([FHOIRUPDW
x VHQGFDVHVIURPWKH6$SURILOHVWR:RUN/LVWV
x UHTXHVW DQ 6$ ,QGLYLGXDO 5LVN 6FRUH UHSRUW DQG VHQG FDVHV IURP LW WR WKH
:RUN/LVW
3URILOHV DUH PRVWO\ UHTXHVWHG IRU SURFHVVLQJ RYHUQLJKW LQ YLHZ RI WKH TXDQWLW\ RI GDWD
LQYROYHG 7R XVH WKH LQIRUPDWLRQ ZLWKLQ WKH 6$ 'DWD 0DUW LQ DQ HIIHFWLYH ZD\ XVHUV
PXVWNQRZWKHQDWXUHRIWKHLQIRUPDWLRQDQGKRZLWLVSURFHVVHG
7\SHVRI6$UHSRUWDYDLODEOHDUHJHQHUDOO\QDPHGDFFRUGLQJWRWKHDSSURSULDWHSDJHVLQ
WKHWD[UHWXUQ)XOOGHWDLOVRIHDFKUHSRUWDQGWKHFRPSOHWHOLVWRIIDFWVXVHUVFDQVHOHFW
ZKHQFRPSLOLQJUHSRUWVDUHPDGHDYDLODEOH
x 6$&URVV6FKHGXOHVXPPDULVHVULVNVIURPDOOSDUWVRIWKHWD[UHWXUQ
x 6$'HVLJQDWRU\LQIRUPDWLRQ
x 6$(PSOR\PHQW
x 6$,QGLYLGXDO5LVN6FRUH
x 6$,QGLYLGXDO7D[)RUP
x 6$/DQGDQG3URSHUW\
x 6$3DUWQHU
x 6$3DUWQHUVKLS
x 6$5LVN
x 6HOI(PSOR\PHQW
x 6$6PDOO6FKHGXOHV
5LVN 6$ 5LVN 73, DQG 5LVN 7RWDO DUH VFRUHV JHQHUDWHG E\ WKH DXWRPDWHG ULVN
DVVHVVPHQWSURFHVVDQGDUHDYDLODEOHLQPRVWRIWKHVHUHSRUWV 7KH\UHODWHWRWKHWRWDO
ULVN DFURVV DOO VFKHGXOHV QRW MXVW WR WKH WRWDO ULVN ZLWKLQ WKH SDUWLFXODU VFKHGXOH
SHUWLQHQWWRWKHUHSRUWUHTXHVWHG
x ULVN6$WKHWRWDORIDQ\6$UXOHVILUHG
x ULVN73,WKHWRWDORIDQ\73,UXOHVILUHG
x ULVN7RWDOWKHVXPRIWKHWZRWRWDOVDERYH
8VHUV FDQ HQWHU IXUWKHU IDFWV WR UHILQH WKHLU VHOHFWLRQ IRU H[DPSOH 5LVN 7RWDO JUHDWHU
WKDQ 8VHUV FDQ UHVWULFW WKH QXPEHU RI FDVHV E\ XVLQJ WKH ULVN VFRUH 1RWH WKDW
VFRULQJIRUHDFKUXOHGLIIHUVFRQVLGHUDEO\VRWKHVFRUHXVHGPXVWEHFRPSDWLEOHZLWKDOO
WKHUXOHVXVHG
7KH6$5LVNUHSRUWHQDEOHVXVHUVWRSURILOHRQULVNUXOHVWKDWKDYHWULJJHUHGLQFOXGLQJ
WKHVFRUHDVVRFLDWHGZLWKWKRVHUXOHV$PXOWLSOHUXOHUHSRUWZLOOVKRZHDFKLQGLYLGXDO
$XGLW&DVH6HOHFWLRQ6\VWHPV
UXOHZLWKDOLVWRIWD[SD\HUVZKHUHWKHUXOHKDVILUHG%\H[SRUWLQJWKHUHSRUWWR([FHO
XVHUVFDQVRUWWKHOLVWLQDGLIIHUHQWVXLWDEOHRUGHU
7KHV\VWHPFDQDOVREHXVHGWRJHQHUDWHDFDOFXODWLRQRIWKHWD[SD\HUVPHDQVWKDWLVD
FDOFXODWLRQ RI WKH QHW LQFRPH DQG JDLQV RI WKH WD[SD\HU WDNLQJ LQWR DFFRXQW DOO NQRZQ
LQFRPH DQG H[SHQGLWXUH GHWDLOV 5HSRUWV FDQ VSHFLI\ ZKHWKHU WR LQFOXGH RU H[FOXGH
LQIRUPDWLRQ IURP WKLUG SDUW\ LQIRUPDWLRQ VRXUFHV DQG WR SURGXFH ILJXUHV IRU WRWDO
LQFRPHRQO\
(DFK WD[SD\HU
V VHOIDVVHVVPHQW LV DVVRFLDWHG ZLWK D VSHFLILF WD[ \HDU DQG XVHUV FDQ
UHTXHVW SURILOHV ZKLFK FRYHU PRUH WKDQ RQH \HDU E\ HQWHULQJ WKH DSSURSULDWH \HDUV DV
VHOHFWLRQFULWHULDLQDQ\RIWKHDYDLODEOHUHSRUWV
(DFK 6HOI(PSOR\PHQW SDJH VXEPLWWHG E\ D WD[SD\HU LV DVVRFLDWHG ZLWK D WUDGH
FODVVLILFDWLRQQXPEHU7&17KH7&1IRUHDFKWUDGHLVKHOGLQWKH6$'DWD0DUWDQG
FDQEHXVHGLQWKH6$3DUWQHUVKLS6$6HOI(PSOR\PHQWDQG6$5LVNUHSRUWV
$UHD &RPSOLDQFH 3ODQV DUH XVHG WR SODQ WKH FRPSOLDQFH ZRUN RI HDFK RIILFH 2IILFHV
QHHG WR NQRZ ZKDW UDQJH RI FDVHV WKH\ KDYH $ UDQJH RI UHVHDUFK SURILOHV FDQ EH
SURGXFHG WR JLYH D UHDVRQDEO\ JRRG SLFWXUH RI WKH 6$ SRSXODWLRQ IRU DQ RIILFH
UHPHPEHULQJWKDWWKHSURILOHVDUHRIFDVHVZKHUHWKHUHWXUQKDVEHHQFDSWXUHG
7KHEHVWDQGFHUWDLQO\PRVWFRPSUHKHQVLYHSURILOHVFDQRQO\EHPDGHDIWHUWKHEXONRI
WKH UHWXUQV IRU WKH \HDU KDYH EHHQ FDSWXUHG DQG VR SODQQLQJ QHHGV WR DGGUHVV WKH
TXHVWLRQRIZKHQWKHYDULRXVSURILOHVVKRXOGEHSURGXFHG
&DVH6WXG\ ,QFRPH7D[DQG9$75LVN$QDO\VLV
$XVWULDQ)HGHUDO0LQLVWU\RI)LQDQFH
$VIRU9$7SXUSRVHVEXVLQHVVHVPXVWDOVRILOHSUHOLPLQDU\9$7UHWXUQVRQDPRQWKO\
RU TXDUWHUO\ EDVLV GHSHQGLQJ RQ WKH DPRXQW RI WKHLU WXUQRYHU XQWLO UHFHQWO\ WKLV
DFWXDOILOLQJFRXOGEHUHSODFHGE\DSURSHU9$7SD\PHQWRQWLPHIRUDOOVWDQGDUG9$7
FDVHV
$ IRUPDO DVVHVVPHQW QRWLFH WKURXJK ,7 LV VHQW WR WKH WD[SD\HU RQ EDVH RI WKH ILOHG
SDSHUUHWXUQVWKHQXPEHUVLQLWKDYHWREHVHOIDVVHVVHGE\WKHWD[SD\HUDQGWKH\DUH
LQSXWLQWKHWD[RIILFHVRPHZLWKEXWPRVWZLWKRXWDQ\VSHFLILFFKHFNVEHIRUHDSDUW
IURPUHJXODUVLPSOHFKHFNVOLNHHJFRPSOHWHQHVVFKHFNVIRUPDOFRUUHFWQHVVFRQWH[W
ORJLFRIQXPEHUVHWF
,Q WKH ROG V\VWHP VHOHFWLRQ IRU VSHFLILF FKHFNV HJ WD[ DXGLWV LQ WKH ILHOG ZDV QRW
EDVHGRQULVNDQDO\VLVEXWRQDQQXDOO\SUHGHILQHGFDSDFLW\FRQVLGHUDWLRQVIRUUDQGRP
VHOHFWLRQDQGRWKHUSDUWLFXODUVHOHFWLRQFULWHULDHJIRUEXVLQHVVHVQRWKDYLQJEHHQWD[
DXGLWHG IRU D ORQJ WLPH DOO UHWXUQV EHLQJ VLPSO\ FKHFNHG E\ ,7 VHH DERYH DIWHU
LQSXW
$XGLW&DVH6HOHFWLRQ6\VWHPV
)RU ,QFRPH WD[ DQG 9$7 WKHUH DUH WZR VHSDUDWH DQG FXUUHQWO\ LQGHSHQGHQW 5LVN
$QDO\VLV6\VWHPV5$6WKHRQHIRU9$7KDVEHHQLQRSHUDWLRQIRUVRPH\HDUV7KHRQH
IRU ,QFRPH 7D[ ZLOO EH LPSOHPHQWHG DQG ZLOO VWDUW RSHUDWLRQ IRU WKH WD[ \HDU LQ
HDUO\
&RUSRUDWH,QFRPH7D[5$6
$ UHJXODU EXVLQHVV WD[SD\HU DOVR KDV WR ILOH D EDODQFH VKHHW DQG D SURILW DQG ORVV
VWDWHPHQW ZLWK WKH DFWXDO WD[ UHWXUQ ,W LV VXIILFLHQW WR VHQG D QRZ VWDQGDUGLVHG ZLWK
WKH WD[ UHWXUQ VXPPDU\ VWDWHPHQW RI UHFHLSWV DQG H[SHQGLWXUHV WR WKH WD[ RIILFH IRU
WKRVH WD[SD\HUV ZKRVH SURILWWXUQRYHU LV EHORZ WKH ERRNNHHSLQJ WKUHVKROG LQ VRPH
VPDOOHVWFDVHVHYHQDIODWUDWHOXPSVXPWD[DWLRQDSSOLHV
7KH WD[SD\HU KDV WR VHOIDVVHVV KLV DQQXDO LQFRPH DQG VSOLW LW LQWR VHYHQ GLIIHUHQW
FDWHJRULHV RI LQFRPH HJ LQFRPH IURP DJULFXOWXUH DQG IRUHVWU\ IURP SURIHVVLRQDO
VHUYLFHVIURPFRPPHUFLDOEXVLQHVVHWF,QFDVHWKHUHDUHVHYHUDOVRXUFHVRILQFRPH
ZLWKLQRQHFDWHJRU\WKHFDWHJRU\PXVWVXPXSWKHVRXUFHVRILQFRPHZLWKLQLW$QGKH
KDVWRVSHFLI\DQ\RWKHUWD[DOORZDQFHVFUHGLWVVSHFLDOUDWHVH[WUDRUGLQDU\ EXUGHQV
DQGVSHFLDOH[SHQGLWXUHVDVGHILQHGE\WD[ODZHWFKHZDQWVWRFODLPLQFDOFXODWLQJ
KLV WD[ DPRXQW 7KH WD[ RIILFH DOVR UHFHLYHV VRPH GDWD LQ HOHFWURQLF YHUVLRQ IURP
ZLWKKROGLQJDWVRXUFHWD[DWLRQHJIURPHPSOR\HUVIURPEDQNV
7KLV LV ZKHUH WKH FKDQJHV E\ LQWURGXFLQJ WKH QHZ 5$6 ZLOO EHJLQ )URP WKH WD[ \HDU
RQ LW LV HQYLVDJHG WKDW D EXVLQHVV WD[SD\HU EDVLFDOO\ ZLOO VHQG KLV WD[ UHWXUQ
WKURXJKWKHLQWHUQHWJLYLQJWKHUHOHYDQWLQIRUPDWLRQDVVSHFLILHGDERYHLQHOHFWURQLF
YHUVLRQ$QGKHZLOOKDYHWRILOHDGGLWLRQDORSHUDWLQJILJXUHVIURPVSHFLILFSRVLWLRQVLQ
WKH EDODQFH VKHHW DQG WKH SURILW DQG ORVV VWDWHPHQW RU IURP WKH VXPPDU\ RI UHFHLSWV
DQG H[SHQGLWXUHV D ILQDO GHFLVLRQ RQ GURSSLQJ SDSHU YHUVLRQV FRPSOHWHO\ LV VWLOO
SHQGLQJ +H ZLOO DOVR KDYH WR GLVFORVH DQG ILOH VRPH PRUH JHQHUDO LQIRUPDWLRQ
HJGHWDLOHGLQIRUPDWLRQRQWKHGLIIHUHQWVXEW\SHVRIEXVLQHVVKHLVDFWXDOO\ZRUNLQJ
LQRUDFKDQJHRIWKHVXEW\SHRIEXVLQHVVKHLVZDVZRUNLQJLQGXULQJWKH\HDUHWF
7KHQHZ5$6ZLOOFURVVFKHFNDQGLQWHUOLQNDOOWKLVLQIRUPDWLRQLQFOXGLQJFDVHKLVWRU\
DQG HYDOXDWHFRPSDUH LW DFFRUGLQJ WR GHILQHG UXOHV DQG RWKHU ULVN HYDOXDWLRQ FULWHULD
DVVLJQLQJ ULVN OHYHOV FXUUHQWO\ RQ EDVH RI \HVQRFULWHULD WR HDFK WD[ UHWXUQ 7KH
UHVXOWZLOOEHDOLVWRIWD[SD\HUVE\ULVNOHYHOVHVSHFLDOO\HDUPDUNLQJWKRVHZLWKDKLJK
ULVN
x LIWKHULVNLVKLJKHUWKDQDGHILQHGWKUHVKROGWKHWD[ UHWXUQWD[SD\HUZLOO
EHDXGLWHGE\DWD[LQVSHFWRULQWKHILHOGRUWKRURXJKO\VFUXWLQLVLQJWKHWD[
UHWXUQLQWKHWD[RIILFH%()25(WKHDVVHVVPHQWQRWLFHZLOOEHVHQWWRWKH
WD[SD\HUDVSODQQHGDERXWRIUHWXUQV
x LI WKH ULVN LV EHORZ WKH WKUHVKROG WKH DVVHVVPHQW QRWLFH ZLOO EH VHQW
DXWRPDWLFDOO\WKURXJK,7WRWKHWD[SD\HURQWKHVSRW$QDGGLWLRQDOFKHFN
RIKLVWD[UHWXUQWD[SD\HUZLOOFDQEHGRQH/$7(5ZLWKLQ\HDUVDV
SODQQHG DERXW RI UHWXUQV RU QRW DW DOO GHSHQGLQJ RQ ULVN UDQNLQJ
DQGH[SHUWV
MXGJHPHQWWKHOHJDOQXPEHURI\HDUVGHSHQGVRQWKH
NLQGRIFKHFNDQGLWVILQGLQJVDVZHOODVSURFHGXUDOGHWDLOV
x IXUWKHUPRUH WD[ UHWXUQV WD[SD\HU ZLOO EH FKRVHQ IRU VWDQGDUG WD[ DXGLW
ZLWKLQUHJXODUO\RU\HDUVE\DSSO\LQJRWKHUVHOHFWLRQFULWHULDWKDQLQ
WKH 5$6 HJ IUHH DXGLW FDSDFLWLHV UDQGRP VHOHFWLRQ IRU D ORQJ WLPH QRW
DXGLWHGFDVHVHWF7KLVVKRXOGDOVRVHUYHDVDFRQWUROJURXSIRUWKH5$6
7KH ILQGLQJV DQG UHVXOWV RI DQ\ NLQG RI IXUWKHU UHILQHG FKHFNVWD[ DXGLWV VKRXOG
LPSURYH WKH ULVN LGHQWLILFDWLRQHYDOXDWLRQDQG ODWHU DOVR DVVHVVPHQW FDSDELOLWLHV RI
WKH5$6VRIWZDUHIHHGEDFNOHDUQLQJV\VWHP
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KH V\VWHP ZLOO EH GHYHORSHGLPSOHPHQWHG LQ VWDJHV DQG KDV DOUHDG\ VWDUWHG ZLWK
HILOLQJ WKURXJK ,QWHUQHW )LQDQ]2QOLQH IRU VLPSOH QRQEXVLQHVV FDVHV LQ )HEUXDU\
DQGZLOOEHJLQIRUDOO&RUSRUDWH,QFRPH7D[SD\HUVDQGDILUVWURXJKULVNEDVHG
VHOHFWLRQFDSDELOLW\LQHDUO\H)LQDQ]1RQHILOHGUHWXUQVZLOOKDYHWREHLQSXW
LQWRWKH,7V\VWHPWKURXJKWKHWD[RIILFHIRUWKHWLPHEHLQJ
9$75$6DVFXUUHQWO\RSHUDWLQJ
6RPH\HDUVDJRDPDQXDOVLQJOHFULWHULRQEDVHGVHOHFWLRQRISHFXOLDU9$7FDVHVDWVRPH
IHZ SRLQWV LQ WLPH IRU VSHFLILF FKHFNV HJ WD[ DXGLWV KDG QR ORQJHU SURGXFHG JRRG
KLWUDWHV $OVR FRQVLGHULQJ WKH VKULQNLQJ PDQSRZHU FDSDFLWLHV DQG WKH KLJK WD[
DPRXQWVDWULVNDQLPSURYHGPXOWLGLPHQVLRQDOVHOHFWLRQV\VWHPIRUEHWWHUWDUJHWLQJ
VKRZ\ DQG SRVVLEO\ ILVK\ 9$7 FDVHV KDG WR EH IRXQG 7KH V\VWHP LV EDVHG RQ WKH
IROORZLQJSDUDPHWHUV
x REMHFWLYHULVNIDFWRUVKDUGDQGVRIW
x IUHTXHQW XSGDWH RI EDVH GDWD GDLO\ ZHHNO\ PRQWKO\ DFFRUGLQJ WR
DYDLODELOLW\
x DSHUPDQHQWULVNHYDOXDWLRQSURFHVV
x RQO\IRUVPDOODQGPHGLXPWRODUJHEXVLQHVVHVFXUUHQWO\URXJKO\PLOOLRQ
FDVHVQRWDSSURSULDWHIRUWKHIHZELJJHVWFDVHV
&XUUHQWO\ WKHUH DUH DERXW REMHFWLYH ULVN IDFWRUV LQ XVH HJ ILOLQJ DQG SD\LQJ
EHKDYLRXULUUHJXODULWLHV QXPEHUV LQ WKH UHWXUQV FRPSDULVRQV EHWZHHQ QXPEHUV DQG
SHULRGV VKRZLQJ LUUHJXODULWLHV ULVN SURGXFHG E\ V\VWHP FKDQJHV FDVH KLVWRU\FXUUHQW
VLWXDWLRQOLTXLGLW\LVVXHV9$7UHFODLPLQJUHIXQGVLQIRUPDWLRQHWF5LVNIDFWRUVFDQ
EHFKDQJHGHDVLO\'XHWR SUDFWLFDODQGSROLWLFDOUHDVRQVWKHUHDUHQRVXEMHFWLYHULVN
IDFWRUVLQXVHHJDVVXPHGLQWHQWLRQWRIUDXG
)RU QRZ WKH 9$7 5$6 RQO\ DVVLVWV LQ VHOHFWLQJ WKH ULJKW ULVN\ FDVHV DV WKH\ DUH
GHILQHG E\ WKH ULVN IDFWRUV 7KH V\VWHP FDQQRW HYDOXDWH OHJDO SUREOHPV QRU FDQ LW
VXEVWLWXWHKXPDQH[SHUWLVHLQDSSO\LQJNQRZOHGJHDQGDXGLWWHFKQLTXHZKLFKDUHWKH
TXDOLWLHV WKDW DFWXDOO\ JHQHUDWH H[WUD UHYHQXHV 7KLV LV EHFDXVH WKH V\VWHP ZDV QRW
GHVLJQHG WR GR VR 1HLWKHU GRHV WKLV V\VWHP LQWHQWLRQDOO\ LQGLFDWH DXGLW DUHDV $V
PDQ\IDFWRUVDUHRQO\VRIWRQHVHVSHFLDOO\DVLQWHUGHSHQGHQFLHVZLWKRWKHUIDFWRUV
WKH\GRQRWQHFHVVDULO\LQGLFDWHWKHZURQJQXPEHUHJKHDYLO\FKDQJLQJLQSXW9$7
EHWZHHQ GLIIHUHQW WD[ SHULRGV EXW WKH\ LQGLFDWH D KLJKHU ULVN DV FRPSDUHG WR RWKHU
FDVHVLQRQHVSHFLILFWRSLF
$XGLW&DVH6HOHFWLRQ6\VWHPV
$VWKLVV\VWHPRIDFFXPXODWLRQRIULVNSRLQWVUHJXODUO\FDQQRWVKRZDQ\KLJKULVNIRU
QHZ FRPSDQLHV LH H[LVWLQJ OHVV WKDQ \HDUV WKDW FRQVWLWXWHV DERXW RI FDVHV
WKH\UHTXLUHDVSHFLDOULVNFDWHJRU\LQVRIDU)XUWKHUPRUHDPDQXDOVHOHFWLRQRIDFDVH
LVVWLOOSRVVLEOH
7KHXVHRIWKHV\VWHPLVREOLJDWRU\IRUWKHWD[RIILFHV$OOGDWDRIWKHWD[SD\HUVWKDWKDYH
EHHQ LGHQWLILHG E\ WKH V\VWHP DV ULVN\ DUH DYDLODEOH RQ ORFDO 3& VR LV WKH OLVW ZLWK
WD[SD\HUV
5$6UDQNLQJGDLO\XSGDWH%HIRUHDFWXDOO\VHOHFWLQJDFDVHWKHUHLVDSURFHVV
RIVLIWLQJWKURXJKFDUULHGRXWE\ORFDOKXPDQH[SHUWVLQWKHUHVSRQVLEOHFRQWUROXQLWV
LQ RUGHU WR WDUJHW WKH EHVW FDVHV DQG WR XVH XS DERXW RI RYHUDOO WD[ DXGLWLQJ
FDSDFLW\ DERXW IURP RUGLQDU\ FDVHV DQG DERXW IURP QHZ EXVLQHVVHV VHH
DERYH 7KH SXUSRVH RI WKLV VLIWLQJ SURFHVV VSHFLILFDOO\ LV WR EULQJ LQ ORFDO NQRZOHGJH
LQWR WKH FHQWUDO V\VWHP DQG WR LGHQWLI\ SRVVLEOH GDWD WUDVK PLVWDNHQO\ LQGLFDWLQJ
ULVNIRULWVLPPHGLDWHFRUUHFWLRQ
7KH9$75$6JLYHVDFRPSOHWHULVNSLFWXUHRI$XVWULD
V9$7WD[SD\HUVDQGLWSURYHG
WR EH DQ H[FHOOHQW WRRO WR DOORFDWH VFDUFH UHVRXUFHV VWDII EXGJHW LQ D PRVW HIIHFWLYH
ZD\DVIDUDVKLWUDWHDQGH[WUDUHYHQXHVDQGSUHYHQWLYHHIIHFWVDUHFRQFHUQHG
7KHKLWUDWHFKDQJHGIURPRYHUDOOIRUWKHROGPDQXDOVHOHFWLRQWR
IRUWKHULVNEDVHGRQHWKHFRQWUROJURXSE\UDQGRPVDPSOHVWLOOVKRZVWKH
ODUJHVW FDVHV FRYHUHG E\ WKH 9$7 5$6 VKRZHG DERXW $ KLW LV GHILQHG E\ D
PLQLPXP DGGLWLRQDO 9$7 UHYHQXH UHJXODUO\ DERXW (XURV EXW DOVR IROORZXS
HIIHFWV RI ILQGLQJV DUH LPSRUWDQW $ GLIIHUHQW FDOFXODWLRQ RI WKH 9$7 5$6 KLWUDWH
VKRZHG RYHUDOO SURYLGHG D KLW LV GHILQHG E\ DQ DGGLWLRQDO 9$7 UHYHQXH RI
PLQLPXP(XURV7KHH[WUDUHYHQXHVRYHUDOODUHFRQVLGHUDEOH7KH9$75$6DOVR
VHHPVWREHKLJKO\SUHYHQWLYH2SHQO\FRQIHVVLQJIUDXGRUPLVFRQGXFWEHIRUHDVSHFLILF
FRQWURO VWDUWV WKXV UHGXFLQJ SHQDOWLHV LV IRU 9$7 5$6 VHOHFWHG FDVHV DV
FRPSDUHGWRRWKHUFRQWUROPHDVXUHVDWDERXW
0RQWKO\TXDUWHUO\SUHOLPLQDU\9$7UHWXUQVEDVLFDOO\PXVWEHILOHGWKURXJKLQWHUQHW
VLQFH $SULO $QG HILOLQJ RI WKH DQQXDO 9$7 WD[ UHWXUQ WKURXJK ,QWHUQHW
)LQDQ]2QOLQHIRUDOO9$7WD[SD\HUVZLOOVWDUWLQHDUO\
$ FRQVLGHUDEOH SUREOHP RI WKH SUHVHQW 9$7 5$6 LV LWV GHSHQGHQF\ RQ DFFXUDWH EDVH
GDWD DQG WKHLU UHJXODU XSGDWH DV ZHOO DV D TXLFN LQSXW RI HYHQWV VHH DERYH DQG
FRPSOHWH DQG WRSLFDO DYDLODELOLW\ RI 5$6UHOHYDQW EXW DFWXDOO\ QRQWD[ GDWD
HJLQIRUPDWLRQ RQ FORVLQJ GRZQ RI RSHUDWLRQV FDXVLQJ PLVVLQJ 9$7SD\PHQWV
$QRWKHU LPSRUWDQW IDFWRU LV WKDW WKRVH H[SHUWV ZKR VHOHFW WKH FDVH IURP WKH OLVW DQG
WKHWD[DXGLWRUIXOO\XQGHUVWDQGWKHVFRSHRIWKH9$75$6DVVKRZLQJULVNDVGHILQHG
E\WKHULVNIDFWRUVDQGQRWQHFHVVDULO\VKRZLQJDXGLWDUHDVRUZURQJQXPEHUV
$VDIXWXUHGHYHORSPHQWWKH9$75$6ZLOOEHLQWHJUDWHGZLWKWKH,QFRPH7D[5$6WR
JDLQ IURP V\QHUJ\ HIIHFWV D EURDGHQHG GDWD EDVH DQG DQ LQWHJUDWHG KDQGOLQJ 7KH
SUHVHQW V\VWHP OHDYHV ORWV RI URRP IRU LPSURYHPHQWV DQG H[WHQVLRQV LQ IXQFWLRQDOLW\
)XUWKHUPRUH WKH FXUUHQW UHIRUPV UHRUJDQLVDWLRQ HIIRUWV LQ WKH $XVWULDQ WD[
DGPLQLVWUDWLRQDQGDOVROHJDOFKDQJHVZLOOLPSRVHDPRGLILHGDGPLQLVWUDWLYHIUDPHZRUN
IRUWKHH[LVWLQJ9$75$6
$XGLW&DVH6HOHFWLRQ6\VWHPV
&DVH6WXG\ 9$75LVN
8.&XVWRPV ([FLVH
+LVWRU\RIWKHDSSURDFKWR9$75LVN
7KHUHPLWRI+0&XVWRPVKDVIRUPDQ\\HDUVEHHQWRDSSO\WKHUHVRXUFHVDOORFDWHGWRLW
WRWKHJUHDWHVWULVN$OWKRXJK9$7ZDVLQWURGXFHGRQO\LQ+0&XVWRPV ([FLVH
KDV VHYHUDO KXQGUHG \HDUV H[SHULHQFH RI WD[ DGPLQLVWUDWLRQ 7KLV H[SHULHQFH ZKLFK
ZDVKHDYLO\UHOLDQWRQSK\VLFDOFRQWUROVRIGXWLDEOHJRRGVDQGIURQWLHUVZDVQRWKRZHYHU
GLUHFWO\WUDQVIHUDEOHWRDGPLQLVWUDWLRQRIDZLGHO\EDVHGWD[OLNH9$7+HUHLWZDVQRW
UHDOLVWLF WR H[SHFW DGPLQLVWUDWLRQ UHVRXUFH WR EH SURYLGHG WR SHUIRUP FORVH SK\VLFDO
FRQWUROV ,QVWHDG & ( KDG WR ILQG ZD\V RI SURILOLQJ LWV 9$7 SD\LQJ SRSXODWLRQ
DFFRUGLQJ WR SHUFHSWLRQV RI ULVN ,Q WKH \HDUV IROORZLQJ WKH LQWURGXFWLRQ RI 9$7 WKH
DVVXUDQFHRIRWKHUWD[HVDGPLQLVWHUHGE\&XVWRPVDOVRPRYHGPRUHWRZDUGVULVNEDVHG
FRQWUROVDZD\IURPSK\VLFDOFKHFNV
,QWKHHDUO\GD\VRI9$7WKHUHZDVVRPHFUXGHSURILOLQJEDVHGRQWKHVL]HRIEXVLQHVVHV
EXWHIIRUWZDVFRQFHQWUDWHGPRVWRQDFKLHYLQJFRYHUDJHRIWKHUHJLVWHU7KLVZDVULJKW
IRUWKHWLPHZLWKRYHUPEXVLQHVVHVRQWKHUHJLVWHUDERXWZKRPWKHUHZDVQRWKLQJ
NQRZQDQGWKHDLPZDVWRSHUIRUPDXGLWYLVLWVWRDOOUHJLVWHUHGEXVLQHVVHVRYHUDWKUHH
\HDUSHULRG
$V WLPH SURJUHVVHG DQG H[SHULHQFH ZDV JDLQHG WKH YLVLW F\FOH ZDV ILUVW PRGLILHG WR
SURYLGH IRU OHVV IUHTXHQW DXGLW RI WKH OHVV ULVN\ EXVLQHVVHV WKHQ GURSSHG DOWRJHWKHU
5LVNLQGLFDWRUVVXFKDVWUDGHEXVLQHVVW\SHDQGWXUQRYHUZHUHXVHGWRGHWHUPLQHDXGLW
IUHTXHQF\ HDFK 9$7 UHJLVWHUHG EXVLQHVV EHLQJ DOORFDWHG DQ $VVLJQPHQW 9DOXH ZKLFK
ZDV D FUXGH LQGLFDWRU RI WKH OHQJWK RI WLPH WKH DXGLW VKRXOG WDNH WKH VNLOOV DQG
H[SHULHQFH UHTXLUHG RI WKH DXGLWRU DQG WKH JDS EHWZHHQ DXGLWV 7KH YHU\ ODUJHVW
EXVLQHVVHV ZHUH JHQHUDOO\ DVVLJQHG WR LQGLYLGXDO WHDPV DQG ZHUH VXEMHFW WR DOPRVW
FRQWLQXRXVFRQWURO
3UH5HSD\PHQW&UHGLELOLW\6\VWHP9$75HSD\PHQWV
$ IXQGDPHQWDO DVSHFW RI WKH 8. 9$7 V\VWHP LV WKDW ZKHUH DQ LQGLYLGXDO WD[ UHWXUQ
VKRZVWKDWWD[RQSXUFKDVHVH[FHHGVWKDWRQVDOHVWKHEDODQFHLVUHSDLGWRWKHWD[SD\HU
,W ZDV UHFRJQLVHG IURP WKH VWDUW RI WKH WD[ WKDW WKLV IDFLOLW\ ZDV DW ULVN RI LQFRUUHFW
SD\PHQWVHLWKHUWKURXJKHUURURUE\GHOLEHUDWHIUDXGRUDWWDFNVRQWKHV\VWHPDQGDQ
DGGLWLRQDO ULVN PDQDJHPHQW V\VWHP ZDV GHYHORSHG WR SURWHFW 9$7 UHSD\PHQWV
%HFDXVH RI WKH QXPEHUV LQYROYHG LW LV LPSRVVLEOH IRU HDFK WR EH YHULILHG EHIRUH
UHSD\PHQW LV PDGH VR IURP WKH ILUVW GD\V RI WKH WD[ UHSD\PHQWV ZHUH VXEMHFW WR ULVN
DQDO\VLV WR VHOHFW WKH KLJKHVW ULVN FODLPV IRU SUHSD\PHQW YHULILFDWLRQ 7KLV V\VWHP
ZKLFK LV VWLOO LQ XVH XVHV D UXOHVEDVHG PHWKRG RI SDUDPHWHUV ZKLFK DUH DSSOLHG WR DOO
UHSD\PHQWVUHWXUQVDVWKH\DUHSURFHVVHG
8.9$7UHJLVWHUHGEXVLQHVVHVPDNHSHULRGLFUHWXUQVRIWD[GXH:KHUHDUHWXUQVKRZV
WKDWWKH9$7LQFXUUHGE\DEXVLQHVVRQLWVSXUFKDVHVH[FHHGVWKH9$7LWKDVFKDUJHGRQ
LWVVDOHVDUHSD\PHQWUHWXUQWKHEDODQFHLVXVXDOO\UHSDLGWRWKHEXVLQHVVZLWKLQRQH
PRQWK
6RPHEXVLQHVVHVUHFHLYHUHJXODUUHSD\PHQWVXVXDOO\EHFDXVHWKHLUVDOHVDUHZKROO\RU
PDLQO\ RI JRRGV RU VHUYLFHV OLDEOH WR WD[ DW D UHGXFHG RU ]HUR UDWH 7KHVH EXVLQHVVHV
FDOOHG UHSD\PHQW WUDGHUV XVXDOO\ VXEPLW UHWXUQV DW PRQWKO\ LQWHUYDOV 0RVW
EXVLQHVVHV UHWXUQV VKRZ WD[ GXH DQG VXEPLW WKHLU UHWXUQV HYHU\ PRQWKV +RZHYHU
RFFDVLRQDOO\ WKHVH EXVLQHVVHV SD\PHQW WUDGHUV PD\ VXEPLW UHWXUQV VKRZLQJ WD[
UHSD\DEOHIRUH[DPSOHEHFDXVHRIDODUJHFDSLWDOSXUFKDVH
$XGLW&DVH6HOHFWLRQ6\VWHPV
(DFK \HDU 8. &XVWRPV UHFHLYH DERXW PLOOLRQ UHSD\PHQW 9$7 UHWXUQV ZLWK D WRWDO
DPRXQWRIWD[UHSD\DEOHRIVRPHEQ
:KLOVW WKH SURPSW UHSD\PHQW RI WD[ GXH WR EXVLQHVVHV FDQ EH VHHQ DV DQ HVVHQWLDO
EXVLQHVVIDFLOLWDWLRQPHDVXUHLQVXSSRUWRIWKH8.HFRQRP\WKHV\VWHPLVYXOQHUDEOHWR
LQFRUUHFWUHSD\PHQWHLWKHUWKURXJKHUURQHRXVFODLPVPDGHE\OHJLWLPDWHEXVLQHVVHVRU
IUDXGXOHQWFODLPV
)RU WKLV UHDVRQ WKH 3UH5HSD\PHQW &UHGLELOLW\ 6\VWHP LV LQ SODFH WR H[DPLQH DOO
UHSD\PHQWFODLPVSULRUWRUHSD\PHQWDQGWRGHWHFWWKRVHFODLPVZKLFKDSSHDUQRWWREH
FUHGLEOHJLYHQWKHQDWXUHDQGKLVWRU\RIWKHFODLPDQWVKRZLQGLFDWLRQVRIDIUDXGXOHQW
DWWDFNRQWKHV\VWHPRURWKHUZLVHLQGLFDWHWKDWWKHFODLPPD\QRWEHFRUUHFW
7KH3URFHVV
7KH&UHGLELOLW\SURJUDPPHLVSDUWRIWKH9$70DLQIUDPHFRPSXWHUZKLFKSURFHVVHVDOO
9$7UHWXUQV7KHSURJUDPPHUXQVHDFKZRUNLQJGD\FRPSDUHVHDFKUHSD\PHQWUHWXUQ
WR GLIIHUHQW FUHGLELOLW\ FRGHV DQG LQGLYLGXDO SDUDPHWHUV ZKLFK DUH KDUGFRGHG
LQWR WKH FRPSXWHU (DFK \HDU DERXW RI UHSD\PHQW UHWXUQV IDLO WKHVH
FUHGLELOLW\FKHFNV
2QFH WKH UHWXUQ KDV IDLOHG FUHGLELOLW\ LW HQWHUV D SURFHVV RI VFUXWLQ\ ZKLFK PD\ LI WKH
TXHU\FDQQRWEHUHVROYHGRWKHUZLVHUHVXOWLQDYLVLWWRWKHEXVLQHVVSUHPLVHVWRYHULI\
WKHFODLP
)XUWKHU6DIHJXDUGV
7KHUHSD\PHQWV\VWHPLVYXOQHUDEOHWRLQWHUQDOIUDXGDVZHOODVH[WHUQDOIUDXGXOHQWDQG
LQFRUUHFWFODLPV7KHUHDUHDQXPEHURIVDIHJXDUGVZLWKLQWKHV\VWHPWRKHOSFRPEDW
LQWHUQDODQGH[WHUQDOULVNVLQFOXGLQJ
x FRQILGHQWLDOLW\RIFUHGLELOLW\SDUDPHWHUVDQGUHJXODUFKDQJHVWRWKHP
x UDQGRP VHOHFWLRQ RI D SURSRUWLRQ RI DSSDUHQWO\ FUHGLEOH FODLPV IRU
YHULILFDWLRQ
x PDQXDODQGFRPSXWHUEDVHGFKHFNVE\,QWHOOLJHQFHVWDIIXVLQJGHSDUWPHQWDO
DQGH[WHUQDOGDWDVRXUFHV
&HQWUDO5LVN$QDO\VLV
&HQWUDO 5LVN $QDO\VLV LV D PXOWLYDULDEOH ULVN PRGHOOLQJ WRRO ZKLFK XVHV D VWDWLVWLFDO
WHFKQLTXHFDOOHG5HJUHVVLRQ$QDO\VLV,WDSSOLHVWKHUHVXOWVIURPDOO9$7DXGLWVH[FHSW
WKRVH WR WKH YHU\ ODUJHVW EXVLQHVVHV WR WKH WD[ UHWXUQ DQG VWDQGLQJ GDWD IRU DOO
9$7UHJLVWHUHG EXVLQHVVHV 9$7 PDLQIUDPH GDWD 7KH DQDO\VLV LV FDUULHG RXW RQ D
VWDQGDORQHSURFHVVRUXVLQJGRZQORDGHGGDWDDQGWDNHVSODFHDQQXDOO\DOWKRXJKDIWHU
PRQWKVWKHDQDO\VLVUHVXOWVDUHDSSOLHGWRUHIUHVKHGGDWD
7KHIROORZLQJLVDEULHIRXWOLQHRIWKHSURFHVV
$XGLW&DVH6HOHFWLRQ6\VWHPV
6WDJH,GHQWLI\LQJ5LVN)DFWRUV
x EHWZHHQDQGPRQWKVRIDXGLWVDUHH[DPLQHG
x HDFK\HDUFXUUHQWDQGSRWHQWLDOULVNUHODWHGYDULDEOHVDUHWHVWHG
x LGHDVIRUQHZYDULDEOHVFRPHIURP2SHUDWLRQDO3ROLF\WHDPVUHVHDUFKDQG
H[SHULHQFHIURPWKHILHOG
x LPSDFWV RI DOO YDULDEOHV FKDQJH RYHU WLPH VR YDULDEOHV QHHG FKHFNLQJ HDFK
\HDU
x VHSDUDWHYDULDEOHVIRUSUHYLRXVO\DXGLWHGDQGXQDXGLWHGWUDGHUVDUHWHVWHG
IHZHUGDWDLWHPVDYDLODEOHIRUXQDXGLWHGEXVLQHVVHV
:KDWDUHWKHULVNIDFWRUV"
x JHQHUDOO\9$7PDLQIUDPHGDWDILHOGV
x LQIRUPDWLRQDYDLODEOHIRUDOOEXVLQHVVHV
x H[DPSOHVRIULVNIDFWRUVRUYDULDEOHVDUH
WUDGHFODVVLILFDWLRQJURXSV
VL]HWD[DEOHWXUQRYHUQHWWD[SD\DEOHHWF
DYHUDJHGHOD\LQVHQGLQJLQ9$7UHWXUQV
UHWXUQW\SHPLVVLQJUHWXUQVRUUHFHQWFHQWUDODVVHVVPHQWVDQG
GHEWKLVWRU\UHFHQWGHEWRUWRWKH'HSDUWPHQWHWF
9DULDEOHVDUHQRWZHLJKWHG7KH\DUHHLWKHULQRURXWVRDQ\YDULDEOHVLQFOXGHGKDYH
VLPLODU ZHLJKWV 9DULDEOHV GR HPHUJH DV EHLQJ PRUH LPSRUWDQW LQ UHODWLRQ WR ULVN
HJPLVVLQJUHWXUQVRUSUHYLRXVXQGHUGHFODUDWLRQDUHXVXDOO\PRVWLPSRUWDQW
6WDJH(YDOXDWLQJULVNSURILOHV
x XVHVWDWLVWLFDOWHFKQLTXHVWRILQGWKHUHODWLYHVWUHQJWKVRIWKHULVNYDULDEOHV
x VHOHFWWKHVWURQJHVWKLWDQGPRQH\YDULDEOHV
x DSSO\WKHULVNSURILOHVWRHYHU\WUDGHUWKDWWKHYDULDEOHVDSSO\WRDXGLWHGRU
XQDXGLWHG
)URPWKHULVNDQDO\VLVLVSURGXFHG
x DVHWRIKLWUDWHVIRUHDFKEXVLQHVV
x DYHUDJHKLWUDWHIRUHDFKEXVLQHVV
x SUHGLFWHGDPRXQWRIPRQH\SHUEXVLQHVV
)URPWKHVHDQRYHUDOOULVNVFRUHLVFDOFXODWHG5LVNVFRUHLVFDOFXODWHGDV
0D[LPXPKLWUDWH[$YHUDJHPRQH\DPRXQW
$XGLW&DVH6HOHFWLRQ6\VWHPV
7KLV PHWKRG RI FDOFXODWLQJ WKH ULVN VFRUH JDYH WKH JUHDWHVW GLVFULPLQDWLRQ LQ YDOXHV
EHWZHHQ EXVLQHVVHV LW DOVR DOORZV DXGLWHG DQG XQDXGLWHG
EXVLQHVVHVWREHUDQNHG
$SSOLFDWLRQ RI VFRUHV 7KH FDOFXODWHG ULVN VFRUHV DUH UDQNHG WKHQ JURXSHG LQWR ULVN
JURXSV
x JURXS
8QDXGLWHG
x JURXS
/RZ5LVN
x JURXS
0HGLXP5LVN
x JURXS
+LJK5LVN
x JURXS
([FHSWLRQDO5LVN
7KH QXPEHU RI WUDGHUV LQ HDFK JURXS LV D SROLF\ GHFLVLRQ 7KH UHVXOWV RI ULVN UDQNLQJ
QXPEHUV RI WUDGHUV LQ HDFK ULVN JURXS DUH XVHG WR LQIRUP DXGLW VWDII QXPEHUV DQG
DOORFDWLRQWRUHJLRQDORIILFHV
&DVH6WXG\ 'HFHQWUDOLVHG5LVN,GHQWLILFDWLRQ3URFHVV
)UHQFK*HQHUDO7D['LUHFWRUDWH
,Q)UDQFHWKHULVNLGHQWLILFDWLRQSURFHVVLVQRWPDQDJHGFHQWUDOO\EXWDWWKHOHYHORID
ORFDO RU VSHFLDOLVHG GLUHFWRUDWH LQ FKDUJH RI DXGLW DFWLYLWLHV 6HOHFWLRQ RI FDVHV WR EH
DXGLWHG LV PDGH WKURXJK GLIIHUHQW FKDQQHOV DOO XVLQJ D VSHFLILF IRUP ZKLFK
GHWDLOVWKHUHDVRQVZK\WKHWD[SD\HUILOHLVSURSRVHGIRUDSRVVLEOHDXGLW7KHUHDUHWZR
GLIIHUHQW DSSURDFKHV XVHG RQH EDVHG RQ LQIRUPDWLRQ FROOHFWHG DW WKH ORFDO OHYHO WKH
RWKHUEDVHGRQULVNDVVHVVPHQW
,QWHOOLJHQFHJDWKHULQJ UHSRUWLQJ
$W ORFDO OHYHO WD[ GLVWULFW VWDIIV KDYH WKH NQRZOHGJH RI FRPSOLDQFH UHFRUGV RI HDFK
WD[SD\HUDQGDUHDZDUHRIDQ\SDUWLFXODUHYHQWZLWKSRWHQWLDOWD[LVVXHV,QVXFKDFDVH
WKH\ILOOLQDIRUP,QHDFKGLUHFWRUDWHGHGLFDWHGWHDPVDUHLQFKDUJHRIJDWKHULQJ
LQWHOOLJHQFHFRQFHUQLQJWD[SD\HUVFRPSOLDQFH:KHQWKH\FROOHFWLQWHOOLJHQFHOHDGLQJWR
SUHVXPHGWD[ULVNVWKH\DOVRILOOLQDIRUP$OVRDQ\WD[RIILFLDOLQDVSHFLDOLVHG
VWUXFWXUHFROOHFWLRQRUVROLFLWRUVRIILFHODQGUHJLVWU\HWFFDQILOOLQVXFKDIRUPZKHQ
LQIRUPHGRIWD[ULVNV
$W WKH QDWLRQDO OHYHO WKH '1() GLUHFWRUDWH VSHFLDOLVHG LQ VHULRXV IUDXGV VFKHPHV LV
DOORZHG WR VHDUFK SUHPLVHV RI GHHPHG IUDXGVWHUV ,Q FDVHV RI SRVLWLYH DFWLRQ D IRUP
LVVHQWWRWKHGLUHFWRUDWHLQFKDUJHRIDXGLWLQJWKHIUDXGVWHUVILOH
&HQWUDOLVDWLRQDQG5LVN$QDO\VLV
$OOIRUPVDUHFHQWUDOLVHGDWWKHGLUHFWRUDWHOHYHODQGVFUXWLQLVHGE\DVSHFLDOLVHG
WHDPZKLFKLVDOVRLQFKDUJHRIULVNDVVHVVPHQW$FRPSXWHULVHGULVNDQDO\VLVLVFDUULHG
RXWWKURXJKWZRPDLQVRIWZDUHWRROV2$6,6DQG6<1)21,(
2$6,6LVDVRIWZDUHSURJUDPPHZKLFKDOORZVVWXGLHVDQGFRPSDULVRQVRIEXVLQHVVWD[
UHWXUQVIRU9$7FRUSRUDWLRQWD[RUVHOIHPSOR\HGDFWLYLWLHV,WDOORZVFDOFXODWLRQRIDVHW
$XGLW&DVH6HOHFWLRQ6\VWHPV
RI UDWLRV EHWZHHQ GLIIHUHQW OLQHV RI EDODQFH VKHHWV ILQDQFLDO VWDWHPHQWV HWF ,W LV DOVR
SRVVLEOHWRPDNHFRPSDULVRQVDQGUDWLRVEHWZHHQWKHSUHYLRXVWD[UHWXUQVRIWKHVDPH
WD[SD\HUIRUDWKUHHRUIRXU\HDUSHULRGDQGEHWZHHQWD[SD\HUVZLWKWKHVDPHDFWLYLW\
DQGWKHVDPHOHYHORIWXUQRYHUORFDOO\UHJLRQDOO\RURQDQDWLRQDOEDVLV,WDOVRDOORZV
FURVVFKHFNVEHWZHHQHOHPHQWVRQGLIIHUHQWUHWXUQVVXFKDV9$7DQGSURILWUHWXUQV
:KHQ DSSOLHG WR D VSHFLILF WD[SD\HU 2$6,6 LVVXHV D UHSRUW VKRZLQJ WKH HFRQRPLFDO
HQYLURQPHQW RI WD[SD\HU WKH UDWLRV UHJDUGLQJ LWV EXVLQHVV DFWLYLWLHV DQG WKH SRVVLEOH
GLVFUHSDQFLHVRUHUURUV
6<1)21,(LVDQHZVRIWZDUHLVVXHGLQSULQFLSDOO\GHGLFDWHGWRULVNDVVHVVPHQW
,WXVHVWKHUHVRXUFHVRIWKHPDLQGDWDEDVHVRIWKH)UHQFK'*,IRU9$7,QFRPH7D[
FRUSRUDWLRQ WD[HV 9$7 FUHGLW UHIXQGV IURP (XURSHDQ EDVHV LQWUDFRPPXQLW\
WUDQVDFWLRQV LQIRUPDWLRQ IURP DXGLW DFWLYLWLHV RI WKH WD[SD\HU RYHU WKH ODVW WHQ \HDUV
DPRXQWDQGQDWXUHRIDVVHVVPHQWFRPSOLDQFHLQIULQJHPHQWV,WLVDOVROLQNHGWRWKH
2$6,6DQDO\VLV
7KH PDLQ SXUSRVH RI 6<1)21,( LV ULVN DVVHVVPHQW WKURXJK JLYLQJ D ULVN UDWLQJ IRU
HDFKILOH,QDQLQWHUUHJLRQDOGLUHFWRUDWHWKH6<1)21,(GDWDEDVLVFDQLQFOXGHVHYHQWR
HLJKW KXQGUHG WKRXVDQG HQWHUSULVHV PDLQO\ VPDOO DQG PHGLXP VL]HG 7KHUH DUH HLJKW
FDWHJRULHV RI ULVN SHUVRQDO EDFNJURXQG FDUU\LQJ RXW ULVN\ RSHUDWLRQV FKDQJH RI
FRPSOLDQFH EHKDYLRXU GLVFUHSDQFLHV W\SH RI ULVN\ FRQFHUQ LQWHOOLJHQFH ORFDO SROLF\
,Q HDFK FDWHJRU\ WKHUH DUH DURXQG WHQ GLIIHUHQW VLWXDWLRQV ZKLFK DUH PDWKHPDWLFDOO\
GHVLJQHG ,W LV SRVVLEOH WR ORFDOO\ PRGLI\ WKH OLVW RI ULVNV E\ DGGLQJ QHZ RQHV LI
QHFHVVDU\
(DFK ULVN LV UDWHG ZLWK D QXPEHU RI SRLQWV IURP WR 7KH PRUH SRLQWV D ILOH LV
JUDQWHGWKHPRUHULVN\LWVHHPVIURPDILVFDOSRLQWRIYLHZ8VXDOO\DILOHVFRULQJPRUH
WKDQSRLQWVLVFRQVLGHUHGVXVSLFLRXV
$OO ULVNV LQFOXGHG LQ WKH VRIWZDUH DQG HVSHFLDOO\ QHZ ULVNV FUHDWHG DUH YDOLGDWHG E\ D
FRUUHODWHGFDOFXODWLRQPDGHRQDOOWKHHQWHUSULVHVLQWKHGDWDEDVH$FDOFXODWLRQLVPDGH
RQ WKH VDPSOH RI FRQFHUQV GHWHFWHG ZLWK WKH QHZ ULVN ,I WKLV VDPSOH PDWFKHV WKH
RXWFRPH RI WD[ DXGLWV PDGH LQ WKH WKUHH SUHYLRXV \HDUV RQ HQWHUSULVHV ZLWK WKH VDPH
DFWLYLW\WKHQHZULVNLVYDOLGDWHGDQGLQFOXGHGLQWKHVRIWZDUH
,Q HDFK GLUHFWRUDWH VSHFLDOLVHG WHDPV ZRUN ZLWK 2$6,6 DQG 6<1)21,( VRIWZDUH LQ
RUGHUWRPDNHWKHVHOHFWLRQRIFDVHVWREHDXGLWHG)RUPVVHQWE\ORFDOVHUYLFHVRU
RWKHUV DUH DOVR H[DPLQHG WKURXJK WKH 2$6,6 DQG 6<1)21,( SURFHVV $IWHUZDUGV
SURSRVDOVRIFDVHVWREHDXGLWHGDUHVHQWWRDXGLWWHDPPDQDJHUVLQRUGHUWRVFUHHQDQG
DQDO\VHWKHWD[SD\HUILOHZLWKDYLHZWRSRVVLEOHDXGLW7KHRXWFRPHVRIWKLVVFUHHQLQJ
SURFHVVDUHVHQWEDFNWRWKHGLUHFWRUDWHZKHUHWKHILQDOGHFLVLRQWRDXGLWLVWDNHQ