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.    

  1. Introduction
  2. Empirical Review of Banking Risk Factors
  3. bullet charge-offs over time
    bullet charge-offs over credit grade
    bullet correlations
    bullet credit spreads
    bullet recovery rates
    bullet annualized loss rates
    bullet bank vs. public debt
    bullet transition matrices
  4. Calculating Bank Capital
    1. Exponential Capital and Uncertainty
    2. Prioritize Risk Bucketing

Fun statistical facts and financial equations

bullet Proof that discounted EVA = NPV
bullet Porter's 5 forces
bullet Risk Manager's Exam

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