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Economic Capital

Edited By Ashish Dev

Overview

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.

Publish date: 1 Dec 2004

Availability: In stock

Product Unit Price Qty
Economic Capital
£99.00
eBook - Economic Capital
EPUB
£75.00
OR

Book description

  • Explains the fundamental elements within economic capital and provides detailed instruction on its strategic implementation
  • Contains three distinct and accessible sections:
  • Economic Capital: Concepts and Applications
  • Economic Capital for Specific Risks
  • Economic Capital Methodologies: Mathematical Treatment
  • Contains global insights from the leading experts at the forefront of economic capital research and implementation - providing you with a holistic and comprehensive multi-perspective view of all the key issues involved
  • Includes a detailed assessment of the latest Basel Accord and its likely implications on your business with relation to economic capital
  • Each chapter is designed to be accessible for practitioners at all levels
  • Illustrates how economic capital management can maximise shareholder value
  • Provides methodologies that allow you to take the cost of risk into account when planning future strategies, by clarifying which ventures create the most value
  • Will enable you to better quantify the risks you face and calculate both the capital needed to cover them, should any unforeseen events occur, and the real returns being made
  • Illustrates the role of economic capital in performance evaluation, and highlights where it is possible to earn more money without an initial investment
  • Will help you reassess your investment strategies whilst making better operational choices in key business decisions such as pricing and capital allocation

Book details

ISBN
Book 9781904339366XY / EBook 9781908823076
Publish date
1 Dec 2004
Format
Size
155mm x 235mm

Editor biography

Ashish Dev

Ashish Dev is executive vice president of risk management, at KeyCorp. He is group head of Enterprise Risk Management, which includes economic capital allocations, Basel II coordination, data warehousing, credit underwriting models, strategic analytics and credit portfolio management along with operational risk. As a member of all the three high-level risk committees of KeyCorp viz. ALCO, CREDCO and ORCO, he is involved in decision making in all areas of risk in the bank. Ashish has been the prime mover in establishing enterprise-wide risk-adjusted product pricing and performance measurement and in creating a new credit portfolio management function in the bank. Prior to joining KeyCorp, Ashish was head of quantitative research and analysis in Bank One. Ashish has a PhD in economics and holds the CFA professional designation.

Table of contents

Introduction

Ashish Dev (KeyCorp)

Section 1: ECONOMIC CAPITAL: CONCEPTS AND APPLICATIONS

1. Background on Economic Capital

John Walter (Bank of America)

2. Volatility and Capital: Measures of Risk

Gary Wilhite (Wachovia)

3. Conceptual Framework for Economic Capital Models and Required Inputs

Michel Araten (JPMorgan Chase)

4. Recovery Risk and Economic Capital

Jon Frye (Federal Reserve Bank of Chicago)

5. The Significance of Economic Capital to Financial Institutions

Vandana Rao (Indiana University East)

Section 2: ECONOMIC CAPITAL FOR SPECIFIC RISKS

6. Economic Capital for Retail Credit Card Portfolios

Geoff Rubin (Capital One)

7. Economic Capital for Counterparty Credit Risk

Evan Picoult; David Lamb (Citigroup, Morgan Stanley)

8. Economic Capital for Securitisations

Michael Pykhtin (KeyCorp)

9. Economic Capital for Market Risk

David R. Koenig (PRMIA)

10. Measuring and Calculating Economic Operational Risk Capital

Anthony Peccia (RCM Risk Management)

Section 3: ECONOMIC CAPITAL METHODOLOGIES: MATHEMATICAL TREATMENT

11. A Fundamental Look at Economic Capital and Risk-Based Profitability Measures

Sebastian Fritz, Michael Kalkbrener and Wilfried Paus (Deutsche Bank AG)

12. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules

Michael B. Gordy (Board of Governors of the Division of Research and Statistics and Federal Reserve System)

13. Allocating Portfolio Economic Capital to Sub-Portfolios

Dirk Tasche (Deutche Bundesbank)

14. Spectral Capital Allocation

Ludger Overbeck (University of Giessen)

15. Evaluating Design Choices in Economic Capital Modelling: A Loss Function Approach

Nick Keifer; Eric Larson (Cornell University; Office of the Controller of the Currency)

Testimonials

“The book should be required reading for anyone who is in a decision-making position at financial institutions... Economic Capital A Practitioner Guide is destined to be the gold standard reference book in this arena. I highly and unreservedly recommend it.“

John Mingo, Managing Director, Mingo&Co., Formerly, Senior Advisor, Board of Governors, Federal Reserve System

“The methodologies for developing and implementing economic capital will be further improved over time, making Economic Capital a standard tool for risk and capital management.“

Hubert Mueller, Principal, Towers Perrin

Customer Reviews

Average customer reviews for Economic Capital

Helpful resource for banking professionals struggling with Economic Capital

As another reviewer notes, this book is a collection of articles about Economic Capital. It provides a good selection of articles, enabling the reader to get a sense of what other financial institutions are doing about selected elements of economic capital calculation (e.g., AVC calculations or diversification benefit calculation.) However, since it is not a text book on economic capital there is no over-arching framework for how to manage or calculate economic capital. Instead, it will give the reader ideas about how to think about different elements without providing a higher level thesis or framework.
Review by SF Native "SF Native" , 11/11/2013

Great selection of articles

There are very few books around that deal with Economic Capital. This is an expensive item, however worth it. My notions on EC were limited before reading this book, but once you start reading you have the sensation that you are learning.

The first part "Concepts and applications" is well written and the sequence of articles is presented in a logical fashion.

The second part "EC for specific risks" gives you a good flavor of what people are doing (and how they are doing it) on the different risk types. The articles are good and not too technical, although I wish there were more examples.

The third part "EC Methodologies" is very technical, and recommended to experts on the matter.
Review by Jaime Noda , 11/11/2013

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