Economic Capital

A Practitioner Guide

Publication Date	December 2004
Publisher	Risk Books
Product Type	Book
Pages	332
ISBN Number	1904339360
Product Code	RIS00329

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£99.00
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Summary

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

Content

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)