Author : Iman van Lelyveld
Publisher : Bloomberg Press
Page : 202 pages
File Size : 36,3 MB
Release : 2006-01-01
Category : Business & Economics
ISBN : 9781904339397
Playing a key role in both the second pillar of the new Basel framework and the Solvency II project, economic capital models are becoming increasingly important. Economic Capital Modelling provides you with a multi-faceted overview of the current state of play for these cutting edge models. Presenting a theoretical overview of risk measurement, diversification and aggregation; a survey of the current state of implementation; and a supervisory view on the use of these models.
Author :
Publisher : Lulu.com
Page : 294 pages
File Size : 42,78 MB
Release : 2004
Category : Bank capital
ISBN : 9291316695
Author : Pieter Klaassen
Publisher : Elsevier
Page : 302 pages
File Size : 48,97 MB
Release : 2009-05-28
Category : Business & Economics
ISBN : 0080956807
Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations. Economic Capital: How It Works and What Every Manager Needs to Know presents new ways to define, measure, and implement management strategies by using recent examples, many from the sub-prime crisis. The authors also discuss the role of economic capital within the broader context of management responsibilities and activities as well as its relation to other risk management tools that are available to the modern risk manager. - Explains ways to use economic capital in balancing risk and return - Evaluates solutions to problems encountered in establishing an economic capital framework - Emphasizes intuition - Draws special attention to embedding risk modelling approaches within economic capital frameworks
Author : Nicholas M. Kiefer
Publisher :
Page : 24 pages
File Size : 18,62 MB
Release : 2004
Category : Bank capital
ISBN :
Author : Ashish Dev
Publisher :
Page : 368 pages
File Size : 29,58 MB
Release : 2004
Category : Business & Economics
ISBN :
This multi-contributor title will enable you to better analyse and evaluate economic capital in order to implement more effective risk management strategies within your business. Economic Capital is the definitive reference on this increasingly important area of finance. [Resumen de editor]
Author : Colin Chen
Publisher : Springer Nature
Page : 404 pages
File Size : 27,8 MB
Release :
Category :
ISBN : 3031525426
Author : Arindam Bandyopadhyay
Publisher : Cambridge University Press
Page : 390 pages
File Size : 33,54 MB
Release : 2016-05-09
Category : Business & Economics
ISBN : 110714647X
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Author : S. Scandizzo
Publisher : Springer
Page : 242 pages
File Size : 31,43 MB
Release : 2016-07-01
Category : Business & Economics
ISBN : 1137436964
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
Author : David Jamieson Bolder
Publisher : Springer
Page : 0 pages
File Size : 50,82 MB
Release : 2023-05-07
Category : Business & Economics
ISBN : 9783030950989
How might one determine if a financial institution is taking risk in a balanced and productive manner? A powerful tool to address this question is economic capital, which is a model-based measure of the amount of equity that an entity must hold to satisfactorily offset its risk-generating activities. This book, with a particular focus on the credit-risk dimension, pragmatically explores real-world economic-capital methodologies and applications. It begins with the thorny practical issues surrounding the construction of an (industrial-strength) credit-risk economic-capital model, defensibly determining its parameters, and ensuring its efficient implementation. It then broadens its gaze to examine various critical applications and extensions of economic capital; these include loan pricing, the computation of loan impairments, and stress testing. Along the way, typically working from first principles, various possible modelling choices and related concepts are examined. The end result is a useful reference for students and practitioners wishing to learn more about a centrally important financial-management device.
Author : Jawwad Ahmed Farid
Publisher : Alchemy Technologies
Page : 92 pages
File Size : 16,46 MB
Release : 2014-12-15
Category : Business & Economics
ISBN :
Economic Capital - A practitioner's guide introduces a new shortfall based approach for calculating Economic Capital that does not rely on copulas for aggregating business line results. The 90 page book addresses the following themes The limitations of regulatory capitalThe underlying methodology of current economic capital models used by bank regulatorsThe criteria for a new shortfall based economic capital model including the appeal of using accounting dataThe alternative model process and expected output from the proposed new economic capital modelConnecting expected loss, unexpected loss, probability of default, loss given default and exposure at defaultA detailed case study using publicly available financial data from Goldman Sachs, JP Morgan Chase, Wells Fargo Bank, Barclays Bank and Citibank.
