Modelling Economic Capital

Name: Modelling Economic Capital
Brand: Springer, Berlin
SKU: 9783030950989
Price: 376.32 PLN
Availability: InStock

Practical Credit-Risk Methodologies, Applications, and Implementation Details

Autor: David Jamieson Bolder

Język:

Oprawa: Miękka

Wydawca: Springer, Berlin

Dostępność: Dostępna u dostawcy

Wysyłamy za 10-18 dni

376.32 zł

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

Informacje o książce

Autor

David Jamieson Bolder

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2023

strony

823

EAN

9783030950989

Enbook ID

43224972

Wydawca

Springer, Berlin

Waga

1173

Wymiary

155 x 235

Pełny opis

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

Informacje o książce

Pełny opis

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