Modelling Economic Capital

Name: Modelling Economic Capital
Brand: Springer, Berlin
SKU: 9783030950989
Price: 97.2 EUR
Availability: InStock

Practical Credit-Risk Methodologies, Applications, and Implementation Details

Автор: David Jamieson Bolder

Език:

Корици: С меки корици

Издател: Springer, Berlin

Наличност: Външен склад

Изпращаме след 10-18 дни

97.20 € 190.11 лв

How might one determine if a financial institution is taking risk in a balanced and productive manne...

Информация за книгата

Автор

David Jamieson Bolder

Език

Английски език

Корици

Книга - С меки корици

Издадена

2023

страници

823

EAN

9783030950989

Enbook ID

43224972

Издател

Springer, Berlin

Теглоt

1173

Размери

155 x 235

Пълно описание

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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Modelling Economic Capital

Practical Credit-Risk Methodologies, Applications, and Implementation Details

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също