Bank Credit Risk and Capital Allocation
I created this outline of commercial loan risk in 1999, when I was head of capital allocations at KeyCorp. I think there are still some important novel insights mentioned, and since it was never published, I figure I can help posterity by keeping it on the website . Each portion has hyperlinks to supporting tables and graphs, many of which can be accessed directly here.
I am now fortunate enough to be in a position where my musings are a bit more pointed in their application to making money, and therefore won't be adding to this, though errors are occasionally rectified.
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charge-offs over time |
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charge-offs over credit grade |
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correlations |
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credit spreads |
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recovery rates |
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annualized loss rates |
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bank vs. public debt |
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transition matrices |
Fun statistical facts and financial equations
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Proof that discounted EVA = NPV |
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Porter's 5 forces |
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Risk Manager's Exam |
EVA is a registered trademark of Stern Stewart
Capital Allocation Capital Allocation Capital Allocation Capital Allocation Credit Risk Credit Risk Credit Risk