conceptual framework

Numerous slides have been included on risk management topics such as, economic and regulatory risk principals,  capital, and Value at Risk (VaR).  In an effort to provide summaries of several topics, he has included 3 powerpoint slide presentations.  To download the powerpoint presentation, single-click on the highlighted title:

• Economic Risk Capital at Key:   The Big Picture - 12 slides: summarizes KeyCorp's strategic capital objectives, bank capital generally, regulatory measures, and the idea underlying an economic approach to equity. 
  
• Top Down and Bottom Up Reconcilement - 18 slides: includes highlights of Key's Top Down Capital Allocation approach, Key's Bottom Up Capital Allocation Approach, a reconcilement of the two approaches, plus a peer comparison of capital ratios. 
  
• Value at Risk and Market Risk - 51 slides: includes a description of VaR, plus its benefits, refinements, and criticisms, in addition to a review of Regulatory Capital and Economic Capital, and an application of balance sheet management  VaR.

(Once you have opened a powerpoint presentation, you can scroll forward and backward using the sliding bar on the right side of the screen, or the arrows on the bottom of the sliding bar, or with your cursor resting on the page that is displayed, just single click.  To return to this page from the presentations, hit the "Back" key or Back Arrow key.)

Eric Falkenstein has also published several articles in periodicals.  (To view the last 2 articles, you must have Adobe Acrobat Reader.)

• Integrating Quantitative Risk Management through Economic Risk Capital (In .html format)Bank Accounting and Finance, Fall, 1998 .This is an html document outlining how economic risk capital estimation can integrate firm-wide risk management within a bank.  It discusses specific applications and estimation problems, highlighting the importance of nitty-gritty details in the estimation procedure.
  
• Value at Risk and Derivatives Risk Reprinted with permission from Derivatives Quarterly, Fall 1997.  This article provides empirical and theoretical support for the argument that explicitly measured credit and market risk are not the most relevant risks to a trading operation. Operating risk, a composite of all "other" risks, is the main reason trading firms fail or experience disasters. While this may seem to imply that VaR misses the point, in fact monitoring VaR can act as a means to the end of minimizing operating risks.
  
• Accounting for Economic and Regulatory Capital in RAROC Analysis  Reprinted with permission from Bank Accounting and Finance, Fall 1997. For a bank trying to asses risk-adjusted returns on capital (RAROC) for different lines of business, understanding the differences between regulatory and economic capital needs is of prime importance. Accounting for both entails knowing which requirement is binding, and this article gives practical examples and implications of these dual requirements.

There are many sources of information regarding capital; to view a list of some of them, click here.