Modelling Economic Capital Practical Credit-Risk Methodologies, Applications, and Implementation Details
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...
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| Format: | eBook |
| Language: | English |
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Cham
Springer International Publishing
2022, 2022
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| Edition: | 1st ed. 2022 |
| Series: | Contributions to Finance and Accounting
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Chapter 1. Introducing Economic Capital
- Part 1. Modelling Credit-Risk Economic Capital
- Chapter 2. Constructing a Practical Model
- Chapter 3. Finding Model Parameters
- Chapter 4. Implementing The Model
- Part 2. Loan Pricing
- Chapter 5. Approximating Economic Capital
- Chapter 6. Loan Pricing
- Part 3. Modelling Expected Credit Loss
- Chapter 7. Default-Probability Fundamentals
- Chapter 8. Building Stress Scenarios
- Chapter 9. Computing Loan Impairments
- Part 4. Other Practical Topics
- Chapter 10. Measuring Derivative Exposure
- Chapter 11. Seeking External Comparison
- Chapter 12. Thoughts on Stress Testing