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Author : Nicholas M. Kiefer
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (318 download)
Download or read book Evaluating Design Choices in Economic Capital Modeling written by Nicholas M. Kiefer and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jen-Wen Lin
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (747 download)
Download or read book Introduction to Economic Capital Modeling written by Jen-Wen Lin and published by . This book was released on 2010 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Iman van Lelyveld
Publisher : Bloomberg Press
ISBN 13 : 9781904339397
Total Pages : 202 pages
Book Rating : 4.3/5 (393 download)
Download or read book Economic Capital Modelling written by Iman van Lelyveld and published by Bloomberg Press. This book was released on 2006-01-01 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Colin Chen
Publisher : Springer Nature
ISBN 13 : 3031525426
Total Pages : 404 pages
Book Rating : 4.0/5 (315 download)
Download or read book Practical Credit Risk and Capital Modeling, and Validation written by Colin Chen and published by Springer Nature. This book was released on with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pieter Klaassen
Publisher : Elsevier
ISBN 13 : 0080956807
Total Pages : 302 pages
Book Rating : 4.0/5 (89 download)
Download or read book Economic Capital written by Pieter Klaassen and published by Elsevier. This book was released on 2009-05-28 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jose A. Lopez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (91 download)
Download or read book Challenges in Economic Capital Modeling written by Jose A. Lopez and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ashish Dev
Publisher :
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.X/5 (4 download)
Download or read book Economic Capital written by Ashish Dev and published by . This book was released on 2004 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Jawwad Ahmed Farid
Publisher : Alchemy Technologies
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4./5 ( download)
Download or read book Economic Capital - A practitioner's guide written by Jawwad Ahmed Farid and published by Alchemy Technologies. This book was released on 2014-12-15 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : S. Scandizzo
Publisher : Springer
ISBN 13 : 1137436964
Total Pages : 242 pages
Book Rating : 4.1/5 (374 download)
Download or read book The Validation of Risk Models written by S. Scandizzo and published by Springer. This book was released on 2016-07-01 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Thomas Ribarits
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Economic Capital Modeling written by Thomas Ribarits and published by . This book was released on 2018 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic capital (ECap) modeling is a fundamental part of Pillar II of the Basel framework. Indeed, 'sophisticated' financial institutions need to have in place internal models for the assessment of the level of the overall capital buffer which is deemed sufficient to cover the risk of their business activities. On top, ECap models are also frequently used for pricing purposes on an ex-ante basis: financial institutions need to know the incremental economic capital (IECap), i.e. the size by which the overall capital buffer needs to be increased after addition of e.g. a single new loan to the existing portfolio. This is important in order to be able to price such additional loan accordingly. Finally, ECap contributions (ECapC) are also required ex-post in order to break down the overall capital buffer to the individual obligors, products etc. within the portfolio. Simulation of IECap and ECapC can be computationally expensive and unstable, but it appears that closed form approximations provide accurate, consistent and quick solutions in many cases. The formula introduced here is based on the multi-factor approximation from [Pykhtin, 2004] applicable to a default-mode Merton type model. As such, default correlations between obligors (stemming from a multi-factor-model) are taken into account, but the formula also captures specific amortization schedules and loss given default (LGD) values for each individual position -- a feature which is of practical relevance, but often neglected in standard default-mode models. For the time being, credit-risk mitigants such as the existence of guarantors on individual loans, are not captured by the formula, neither are credit migrations or correlations between default probabilities and LGDs. Our formula allows for approximation of all ECap contributions without extra computational cost. After calculation of the ECap of the original portfolio, IECap can be computed within few seconds and more accurately than in standard linear approximations based on ECap contributions.
Author : Arindam Bandyopadhyay
Publisher : Cambridge University Press
ISBN 13 : 110714647X
Total Pages : 390 pages
Book Rating : 4.1/5 (71 download)
Download or read book Managing Portfolio Credit Risk in Banks: An Indian Perspective written by Arindam Bandyopadhyay and published by Cambridge University Press. This book was released on 2016-05-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Author : B. Porteous
Publisher : Springer
ISBN 13 : 0230512704
Total Pages : 343 pages
Book Rating : 4.2/5 (35 download)
Download or read book Economic Capital and Financial Risk Management for Financial Services Firms and Conglomerates written by B. Porteous and published by Springer. This book was released on 2005-12-19 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors present a comprehensive and timely discussion of economic capital and financial risk management for financial services firms and conglomerates. Topics covered include: the different types of risks that firms collect; risk governance issues; how stress testing can be used to measure risk; the provision of a clear and precise definition of economic capital; the different types of capital that are eligible to back regulatory capital, and; the development of models that can be used to estimate a firm's economic capital requirements. A unique feature of the book is that, for the first time, the economic capital requirements of financial services firms across the entire risk spectrum, from the short end to the long end, are considered in one book. The authors develop models to estimate the economic capital requirements of banks, asset management firms, life and non-life insurance firms, pension funds, and the financial services conglomerates that comprise these firms. Economic capital is compared to regulatory capital and regulatory capital arbitrage is discussed. The diversification benefit present in financial services conglomerates is quantified and the practical management of this diversification benefit is dealt with. The authors give new insights into capital management and performance measurement for financial services conglomerates and provide detailed descriptions of the main financial services firm regulatory capital changes that are ongoing at the time of writing. This superb and original book charts new ground in the practical application of economic capital for financial services firms and conglomerates. It is required reading for all capital allocation and risk professionals.
Author : J. Franke
Publisher : Springer Science & Business Media
ISBN 13 : 1461212146
Total Pages : 266 pages
Book Rating : 4.4/5 (612 download)
Download or read book Measuring Risk in Complex Stochastic Systems written by J. Franke and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Complex dynamic processes of life and sciences generate risks that have to be taken. The need for clear and distinctive definitions of different kinds of risks, adequate methods and parsimonious models is obvious. The identification of important risk factors and the quantification of risk stemming from an interplay between many risk factors is a prerequisite for mastering the challenges of risk perception, analysis and management successfully. The increasing complexity of stochastic systems, especially in finance, have catalysed the use of advanced statistical methods for these tasks. The methodological approach to solving risk management tasks may, however, be undertaken from many different angles. A financial insti tution may focus on the risk created by the use of options and other derivatives in global financial processing, an auditor will try to evalu ate internal risk management models in detail, a mathematician may be interested in analysing the involved nonlinearities or concentrate on extreme and rare events of a complex stochastic system, whereas a statis tician may be interested in model and variable selection, practical im plementations and parsimonious modelling. An economist may think about the possible impact of risk management tools in the framework of efficient regulation of financial markets or efficient allocation of capital.
Author : Frans de Weert
Publisher : John Wiley & Sons
ISBN 13 : 0470971649
Total Pages : 263 pages
Book Rating : 4.4/5 (79 download)
Download or read book Bank and Insurance Capital Management written by Frans de Weert and published by John Wiley & Sons. This book was released on 2011-10-14 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the financial crisis, capital management has become a critical factor in value creation for banks and other financial institutions. Although complex and subject to regulatory change, the strategic importance of capital management became apparent during the crisis and has moved the subject to the top of corporate agendas. Bank and Insurance Capital Management is an essential guide to help banks and insurance companies understand and manage their capital position. Bridging the gap between theory and practice, it provides proven techniques for managing bank capital, as well as explaining key capital management perspectives, including accounting, regulatory, risk and capital management and corporate finance. It also shows how to analyze a firm's stakeholders such as depositors, policy holders, debt holders and shareholders, and manage their expectations, and how to align risk and capital management so as to best optimize the return on capital and preserve capital in periods of stress. Economic capital is also discussed in depth, as are the practicalities of bank and insurance M&A, and the book also shows how financial innovations can be used to optimise the capital position and how diversification effects are reflected in the capital position. This book will arm readers with the knowledge and skills needed to understand how capital management can improve capital structure and performance, achieving an optimal cost of, and return on capital, creating value as a result.
Author : Rafael Cavestany
Publisher :
ISBN 13 : 9781782722014
Total Pages : 459 pages
Book Rating : 4.7/5 (22 download)
Download or read book Operational Risk Capital Models written by Rafael Cavestany and published by . This book was released on 2015 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of these models that help to better understand risks, safe capital and compliance. For the banking industry, regulators in many countries in Africa, Asia and Latin America (as well as Europe) are pressing their local banks to implement advanced operational risk capital models. Banks that have made early implementation are looking to improve their capital models with new advances to match the increasing regulatory requirements. Operational Risk Capital Models enables you to model your operational risk capital to ensure the model meets regulatory standards. It describes the process end to end, from the capture of the required data to the modelling and VaR calculation, as well as the integration of capital results into your institution's daily risk management." --Contratapa.
Author : Mohan Bhatia
Publisher :
ISBN 13 :
Total Pages : 334 pages
Book Rating : 4.3/5 (91 download)
Download or read book An Introduction to Economic Capital written by Mohan Bhatia and published by . This book was released on 2009 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: Identifies the basic building blocks for economic capital measurement. This work familiarises and trains a newcomer to the economic capital building blocks, risk measures, simulation and basic modelling techniques necessary for an institution to invent their own techniques and parameters for modelling economic capital for various types of risks.
