Description: Modelling Economic Capital : Practical Credit-risk Methodologies, Applications, and Implementation Details, Paperback by Bolder, David Jamieson, ISBN 3030950980, ISBN-13 9783030950989, Brand New, Free shipping in the US 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.
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Book Title: Modelling Economic Capital : Practical Credit-Risk Methodologies, Applications, and Implementation Details
Number of Pages: Xxxi, 823 Pages
Language: English
Publisher: Springer International Publishing A&G
Topic: Finance / Financial Risk Management, Finance / General, Econometrics, Business Mathematics
Publication Year: 2023
Illustrator: Yes
Genre: Business & Economics
Item Weight: 45.4 Oz
Author: David Jamieson Bolder
Item Length: 9.3 in
Item Width: 6.1 in
Book Series: Contributions to Finance and Accounting Ser.
Format: Trade Paperback
