Managing and Measuring Capital
Managing and Measuring Capital
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This book edited by industry expert Michael Ong explores how capital is measured and managed by banks and other financial institutions and how current techniques should be improved to address the issues highlighted in the recent crisis.
The first part covers the issues of capital management, allocation, risk attribution and performance determination. The second part focuses on the measurement of capital. The book is essential for all who witnessed the devastating effects of the crisis, due fundamentally to undercapitalisation.
"...covers all key features of the post-crisis regulatory and risk-management scenario..."
Andrea Resti, Bocconi University
"...The book comes out at an opportune moment to refocus our attention to the basic concepts of economic and regulatory capital."
Ashish Dev, Managing Director, JP Morgan Chase
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Table of contents
Part 1 - Managing Capital
1. Maximising Capital Efficiency Through Active Credit Portfolio Management Alistair McLeod (Barclays Capital)
2. The Interplay Between Risk and Return Bogie Ozdemir and Peter Miu (Sun Life Financial Group (BO) and DeGroote School of Business McMaster University (PM)) 3. Assessing the Emerging Caveats of the New Market Risk Metrics Peter Dobránszky (BNP Paribas and Katholieke Universiteit Leuven) 4. Fixing What’s Broken in Market Risk Capital Models Michael Gibson (Federal Reserve Board) 5. Beware of the Tail: A Survival Guide to the Tail Risk Wilderness Evgueni Ivantsov (HSBC) 6. Foreign Reserve Management & the Global Financial Crisis Orhan Kandar (Central Bank of the Republic of Turkey) 7. Managing Liquidity Risk in a New Funding Environment Peter Neu and Pascal Vogt (The Boston consulting Group) 8. Portfolio Construction and Risk Management under Non-normality Ho Ho (MSCI Inc) 9. A Roadmap to Connect Capital, Return and Credit Risk Strategies Danny Dieleman and Tamar Joulia-Paris (ING Bank (DD) and St Louis University (T J-P))
Part 2 - Measuring Capital
10. Economic and Regulatory Capital for Counterparty Credit Risk Michael Pykhtin (Federal Reserve Board) 11. Bilateral Credit Valuation Adjustment with Application to Credit Default Swaps Damiano Brigo and Agostino Capponi (King's College London (DB) and Purdue University (AC))
12. Model-based Downturn PDs for Basel III Esa Jokivuolle and Matti Virén (Bank of Finland)
13. Capital Allocation for Credit Portfolios under Normal and Stressed Market Conditions Dirk Tasche and Norbert Jobst (FSA, London(DT) and Lloyds Bank (NJ))
14. Designing an Effective ICAAP as an Integrated Capital Planning Tool: Managing Capital Adequacy and Procylicality Bogie Ozdemir and Peter Miu (Sun Life Financial Group (BO) and DeGroote School of Business McMaster University (PM))
15. Addressing Procyclicality: Credit Cycles, Stress Scenarios and Portfolio Losses Jorge Sobehart and Rodolfo Giacone (Citigroup)
16. Fully Integrated Capital Models and Economic Scenario Generation Alexander McNeil, Gavin Kretzschmar and Axel Kirchner (Maxwell Institute for the Mathematical Sciences, Edinburgh (AM), EADA Business School Barcelona (GK) and Barrie & Hibbert Limited (AK))
17. Measuring the Performance of a Business Within a Bank Stuart Turnbull (Bauer College of Business, University of Houston)
18. Risk-adjusted Performance Measurement under Model Risk Francesco Saita (Bocconi University)