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Economic Capital
A Practitioner Guide
| Product Code | RIS00329 |
|---|---|
| Publication Date | December 2004 |
| Publisher | Risk Books |
| Product Type | Book |
| Pages | 332 |
| ISBN Number | 1904339360 |
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)
- 1. Background on Economic Capital
- 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)
- 6. Economic Capital for Retail Credit Card Portfolios
- 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)
- 11. A Fundamental Look at Economic Capital and Risk-Based Profitability Measures
Delivery Details
PRINT/CD-ROM:UK 3-5 days; Europe, USA & Canada 5-7 days ; RoW 6-10 days
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