Description
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: David Jamieson Bolder
Publisher: Springer
Published: 05/07/2023
Pages: 823
Binding Type: Paperback
Weight: 2.59lbs
Size: 9.21h x 6.14w x 1.70d
ISBN13: 9783030950989
ISBN10: 3030950980
BISAC Categories:
- Business & Economics | Insurance | Risk Assessment & Management
- Business & Economics | Econometrics
- Business & Economics | Business Mathematics