Economic Capital Modelling - Risk Books
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Economic Capital Modelling

Edited By Iman van Lelyveld

Overview

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.

Publish date: 1 May 2006

Availability: In stock

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Economic Capital Modelling
£99.00
eBook - Economic Capital Modelling
EPUB
£75.00
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Book description

All aspects of economic capital for financial conglomerates are incorporated. Moreover, this book is set apart from any other in its field because it provides you with a balanced overview from the perspective of both risk managers within institutions and supervisors.

Practitioners, risk managers, policymakers and academics are brought together with their insights combined into a single volume. As the practitioners’ view is not that of a single institution, consultant or vendor you are able to reflect on the combined insights of a number of institutions that have cutting edge economic capital frameworks.

Economic Capital Modelling

  • Provides information for institutions to implement economic capital models and lead you to improved risk management and more accurate pricing.
  • Discusses the requirements for an economic capital model on a more theoretical level.
  • Shows you what a feasible implementation target is and which difficulties might be encountered by examining the current state of implementation of economic capital methodology at large mixed financial conglomerates.

This book is recommended for practitioners, supervisors in both the industry and supervisory communities and academics. It gives you an important update on industry best practice in a rapidly developing field and offers you a comprehensive and impartial overview from all viewpoints.

Book details

ISBN
Book 9781904339397XY / EBook 9781908823083
Publish date
1 May 2006
Format
Paperback
Size
155mm x 235mm

Editor biography

Iman van Lelyveld

Iman van Lelyveld is policy advisor at DNB, active in the development of the Supervisory Review, risk management and banking research. In addition, he holds a part-time associate professorship at Radboud University, teaching international financial management. He has published work on financial conglomerates, interbank contagion and foreign banking in Central and Eastern Europe. He studied macroeconomics at the University of Amsterdam and started his career at Deutsche Bank.

Table of contents

Economic capital: an overview

  • Introduction
  • The importance of risk measurement
  • Approaches to modelling risk
  • Measures of risk: economic capital
  • Regulatory considerations
  • Concluding remarks

RISK MEASUREMENT WITHIN FINANCIAL CONGLOMERATES: BEST PRACTICES BY RISK TYPE

  • Summary and conclusions
  • Risk measurement and economic capital
  • Risk typology
  • Market/ALM risk
  • Credit and transfer risk
  • Life risk
  • Non-life or property and casualty risk
  • Operational risk
  • Business or strategic risk
  • Conclusion

APPROPRIATE RISK MEASURES, TIME HORIZON AND VALUATION PRINCIPLES IN ECONOMIC CAPITAL MODELS

  • Summary and conclusions
  • Introduction
  • Risks, risk measures and economic capital
  • One risk measure for all stakeholders?
  • Experiences of financial conglomerates
  • Appropriate time horizons in economic capital
  • Valuation principles
  • Concluding remarks

Diversification and aggregation of risks in financial conglomerates

  • Summary and conclusions
  • Introduction
  • Correlation, netting, concentration and granularity
  • Measurement approaches
  • Aggregation approaches
  • Estimation of diversification benefits
  • Allocation
  • Data quality and mis-estimation
  • Regulatory considerations

A SURVEY OF ECONOMIC CAPITAL MODEL IMPLEMENTATION

  • Summary and conclusions
  • Introduction
  • Previous surveys
  • Objectives for economic capital models
  • Implementation of economic capital models: an overview
  • General remarks about all risk types
  • Approaches per risk type
  • Future extensions
  • Concluding remarks

A supervisory view on economic capital models

Summary and conclusions

Introduction

Regulatory developments

Principles for economic capital models

Supervisory issues

Concluding remarks

Customer Reviews

Average customer reviews for Economic Capital Modelling

Extremely useful resource for a practiioner to have their professional library

Having been an economic practioner for a number of years, I still pick this book up and find it a very useful resourcing as a subject matter refresher. Would highly recommend this.
Review by Kerwin , 30/06/2011

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