Economic Capital

A Practitioner Guide

Product Code RIS00329
Publication Date December 2004
Publisher Risk Books
Product Type Book
Pages 332
ISBN Number 1904339360
Economic Capital
Buy this product or for assistance call +44 20 7060 7474
  • Explains the fundamental elements within economic capital and provides detailed instruction on its strategic implementation
  • Contains three distinct and accessible sections:
    • Economic Capital: Concepts and Applications
    • Economic Capital for Specific Risks
    • Economic Capital Methodologies: Mathematical Treatment
  • Contains global insights from the leading experts at the forefront of economic capital research and implementation - providing you with a holistic and comprehensive multi-perspective view of all the key issues involved
  • Includes a detailed assessment of the latest Basel Accord and its likely implications on your business with relation to economic capital
  • Each chapter is designed to be accessible for practitioners at all levels
  • Illustrates how economic capital management can maximise shareholder value
  • Provides methodologies that allow you to take the cost of risk into account when planning future strategies, by clarifying which ventures create the most value
  • Will enable you to better quantify the risks you face and calculate both the capital needed to cover them, should any unforeseen events occur, and the real returns being made
  • Illustrates the role of economic capital in performance evaluation, and highlights where it is possible to earn more money without an initial investment
  • Will help you reassess your investment strategies whilst making better operational choices in key business decisions such as pricing and capital allocation
  • Introduction
    • Ashish Dev (KeyCorp)
  • Section 1: ECONOMIC CAPITAL: CONCEPTS AND APPLICATIONS
    • 1. Background on Economic Capital
      • John Walter (Bank of America)
    • 2. Volatility and Capital: Measures of Risk
      • Gary Wilhite (Wachovia)
    • 3. Conceptual Framework for Economic Capital Models and Required Inputs
      • Michel Araten (JPMorgan Chase)
    • 4. Recovery Risk and Economic Capital
      • Jon Frye (Federal Reserve Bank of Chicago)
    • 5. The Significance of Economic Capital to Financial Institutions
      • Vandana Rao (Indiana University East)
  • Section 2: ECONOMIC CAPITAL FOR SPECIFIC RISKS
    • 6. Economic Capital for Retail Credit Card Portfolios
      • Geoff Rubin (Capital One)
    • 7. Economic Capital for Counterparty Credit Risk
      • Evan Picoult; David Lamb (Citigroup, Morgan Stanley)
    • 8. Economic Capital for Securitisations
      • Michael Pykhtin (KeyCorp)
    • 9. Economic Capital for Market Risk
      • David R. Koenig (PRMIA)
    • 10. Measuring and Calculating Economic Operational Risk Capital
      • Anthony Peccia (RCM Risk Management)
  • Section 3: ECONOMIC CAPITAL METHODOLOGIES: MATHEMATICAL TREATMENT
    • 11. A Fundamental Look at Economic Capital and Risk-Based Profitability Measures
      • Sebastian Fritz, Michael Kalkbrener and Wilfried Paus (Deutsche Bank AG)
    • 12. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
      • Michael B. Gordy (Board of Governors of the Division of Research and Statistics and Federal Reserve System)
    • 13. Allocating Portfolio Economic Capital to Sub-Portfolios
      • Dirk Tasche (Deutche Bundesbank)
    • 14. Spectral Capital Allocation
      • Ludger Overbeck (University of Giessen)
    • 15. Evaluating Design Choices in Economic Capital Modelling: A Loss Function Approach
      • Nick Keifer; Eric Larson (Cornell University; Office of the Controller of the Currency)

Delivery Details

PRINT/CD-ROM:UK 3-5 days; Europe, USA & Canada 5-7 days ; RoW 6-10 days

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