The Journal of Lending & Credit Risk Management

Articles from Vol. 79, No. 6, February

EVA: A Top-Down Approach to Risk Management
Many banking organizations are considering implementing sophisticated risk management systems for calculating value-at-risk (VAR) and risk-adjusted return on capital (RAROC), which was developed by Bankers Trust in the mid-1980s. The vast majority of...
Introducing Year 2000
Scene 1 - 1960s: Punch cards, roomfuls of keypunchers, verifiers - all punching furiously, crowding the firm's information into 80 (or 96) columns. A date is required? For 1965, just two digits are punched in - 65 - saves space, saves time. Scene 2...
New Policy Affects Commodity Risk in Agricultural Lending
Commodity risk resulting from market volatility driven by farm policy changes presents special challenges to lenders. The vulnerability of agricultural lenders to changes in farm policy depends on: 1. Impact of the policy change on the profitability...
RAROC: The NationsBank Model
At NationsBank, a risk-adjusted return on capital (RAROC) measurement process serves as a key foundation tool for resource allocation decisions and performance measurement. The single most differentiating factor in RAROC is a risk-adjusted economic capital...
Remarks by Eugene A. Ludwig, Comptroller of the Currency, before the Robert Morris Associates Risk Management Conference, Washington, D.C., December 10, 1996
A regulator, as some of you may have heard me say in the past, is a paid worrier. Of course, being a paid worrier can be an unpopular role, particularly now, when we're reminded every day that tis the season to be jolly. But the regulator's job is to...
Risk Warfare
We are not being paid adequately for the risks we are taking" is a widely voiced, common concern in commercial banking. And most bankers have been frustrated for a long time as to what to do about it. Some banks have become significantly more risk averse,...
Studies of Revolver Usage
In a revolving line of credit, the lender provides the borrower with the ability to draw funds as needed, up to some maximum amount and subject to various terms and conditions. The borrower need not draw any funds, may draw funds incrementally, and may...
Subtle Indicators of Not-So-Subtle Problems
A gradual erosion of lending underwriting standards and pricing has developed because: * A good economy opens the door to assume higher risk. * The desire to improve profitability lends to assumption of more risk. * The euphoria associated with...
Using Risk Migration Analysis for Managing Portfolio Risk: Results of a Study
In the midst of the abundant commentary about risk management these days, the topic of risk migration often comes up. To many lending executives, it must seem like the decision to buy a home computer, that is, it sounds like a good idea, but what will...
Value-at-Risk: Valuable Tool for Riskier Times
With the migration of top-quality consumer lending credits to the securities markets, commercial lenders are entering newer, riskier areas such as capital markets, merchant banking, and processing businesses, which require different risk controls. Global...
Year 2000 Problem: Disclosure Obligations and Impact
Year 2000 software corrective work requires a considerable programming effort of examining tens of thousands, even millions, of lines of source code (software code readable by a human programmer) to locate and correct every two-digit year date. Although...