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.
General
| Imprint: |
Springer Nature Switzerland AG
|
| Country of origin: |
Switzerland |
| Series: |
Contributions to Finance and Accounting |
| Release date: |
May 2023 |
| First published: |
2022 |
| Authors: |
David Jamieson Bolder
|
| Dimensions: |
235 x 155mm (L x W) |
| Pages: |
823 |
| Edition: |
1st ed. 2022 |
| ISBN-13: |
978-3-03-095098-9 |
| Categories: |
Books
|
| LSN: |
3-03-095098-0 |
| Barcode: |
9783030950989 |
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