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CREDIT RISK OF LOAN PORTFOLIOS From Saunders and Cornett I. Introduction Credit risk of a loan (asset) portfolio should take into account both the concentration risk and the benefit from loan portfolio diversification. Portfolio credit risk can be used to set maximum loan concentration limits for certain business or borrowing sectors. The FDIC Improvement Act of 1991 requires bank regulators to incorporate credit concentration risk into their evaluation of bank insolvency risk. I. Introduction Banks will be allowed to use their own internal models, such as CreditMetrics and Credit Risk+ and KMVs Portfolio Manager, to calculate their capital requirements against insolvency risk from excessive loan concentrations. The National Association of Insurance Commissioners (NAIC) has developed limits for different types of assets and borrowers in insurers portfolios - a so-called pigeonhole approach. II. Simple Models of Loan Concentration Risk 1.Migration Analysis: Lending officers track SP, Moodys, or their own internal credit ratings of certain pools of loans or certain sectors. If the credit ratings of a number of borrowers in a sector or rating class decline faster than has been historically experienced, then lending to that sector or class will be curtailed. II. Simple Models of Loan Concentration Risk TABLE: A Hypothetical Rating Migration or Transition Matrix Risk Grade at End of Year _______________________________________ 1 2 3 Default ________________________________________ Risk grade at 1 .85 .10 .04 .01 Beginning of 2 .12 .83 .03 .02 Year 3 .03 .13 .80 .04 ________________________________________ II. Simple Models of Loan Concentration Risk A loan migration matrix (or transition matrix) seeks to reflect the historic experience of a pool of loans in terms of their credit-rating migration over time. As such, it can be used as a benchmark against which the credit migration patterns of any new pool of loans can