economic capital

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Economic Capital
Author : Pieter Klaassen,Idzard van Eeghen
Publisher : Elsevier
Release Date : 2009-05-28
ISBN 10 : 9780080956800
Pages : 304 pages

Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations. Economic Capital: How It Works and What Every Manager Needs to Know presents new ways to define, measure, and implement management strategies by using recent examples, many from the sub-prime crisis. The authors also discuss the role of economic capital within the broader context of management responsibilities and activities as well as its relation to other risk management tools that are available to the modern risk manager. Explains ways to use economic capital in balancing risk and return Evaluates solutions to problems encountered in establishing an economic capital framework Emphasizes intuition Draws special attention to embedding risk modelling approaches within economic capital frameworks

Economic Capital Allocation with Basel II
Author : Dimitris N. Chorafas
Publisher : Elsevier
Release Date : 2004-02-09
ISBN 10 : 9780080472560
Pages : 448 pages

This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords. The book provides: * comprehensive coverage of the evolution of the banking industry with Basel II in mind * extensive information on the capital requirements for bank liquidity and solvency * coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations * key information on the technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk * Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation * Author at the forefront in the development of the Basel II Capital Adequacy Accord * Based on intensive research in the US, UK and continental Europe

The impact of forms of capital on Corporate Entrepreneurship in State Owned Enterprises
Author : Phelelani Mpanza,Club Readership
Publisher : Club Readership
Release Date : 2018-06-13
ISBN 10 : 6139847427
Pages : 329 pages

The book explores how three forms of entrepreneurial capital (Economic capital, Human capital and Social Capital) can be adopted by SA SOEs as a growth strategy to become more innovative to compete effectively in dynamic and rapidly changing markets. SOEs play a critical role in the economic pursuit of advancing economic growth and developmental objectives of the country. The book give theoretical and empirical evidence on the on the role each form of capital play in the pursuit for growing an established business. The book is ideal for any postgraduate students in commerce, policy makers and business person.

Aligning the Economic Capital of Model Risk with the Strategic Objectives of an Enterprise
Author : Hopolang Phillip Mashele
Publisher : N.A
Release Date : 2015
ISBN 10 :
Pages : 200 pages

Uncertainties -- Enterprise risk management -- Model risk management -- Credit risk management -- Market risk management -- Operational risk management -- Regulatory capital -- Economic capital -- Value-at-risk -- Expected shortfall -- Copula -- Strategic management.

The Oxford Handbook of the Economics of Central Banking
Author : David G. Mayes,Pierre L. Siklos,Jan-Egbert Sturm
Publisher : Oxford Handbooks
Release Date : 2019-03-15
ISBN 10 : 0190626194
Pages : 792 pages

"The Handbook reflects the state of the art in the theory and practice of central banking. It covers all the essential areas that have come under scrutiny since the global financial crisis of 2007-9"--

Investigation of Economic Problems
Author : United States. Congress. Senate. Committee on Finance
Publisher : N.A
Release Date : 1933
ISBN 10 :
Pages : 329 pages

Merchant banking regulations pursuant to the Gramm-Leach-Bliley Act of 1999
Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Financial Institutions,United States
Publisher : N.A
Release Date : 2001
ISBN 10 :
Pages : 165 pages

Economic Capital Modelling for the MTPL Man-made Catastrophe Risk
Author : N.A
Publisher : N.A
Release Date :
ISBN 10 :
Pages : 329 pages

We undertake a mathematical clarification of the QIS5 proposal for the calculation of the Motor Third Party Liability (MTPL) man-made catastrophe risk capital in terms of two more general models. The QIS5 model assumption implies that the total loss consists of a single catastrophe claim in case it occurs during the next one-year insurance time period. However, the total loss should instead be dynamically modelled by a sequence of claims of varying size that follow a compound Poisson Pareto model, which is our first alternative model. A second possibility also takes into account the effect of investments, whose financial return process follows a Black-Scholes-Merton model. If one excludes limits of coverage, then asymptotically as the total loss increases without limits the first model is equivalent to the model assumption obtained from the QIS5 assumption by replacing a single catastrophe claim by the total loss. In other words, the QIS5 simple model is justified as limiting asymptotic approximation to the classical compound Poisson Pareto model. Conversely, an asymptotic approximation to the VaR economic capital from this model identifies with a modified QIS5 CAT formula. The inclusion of limits of coverage is also analyzed. In this situation we obtain new simple closed-form implementations of the economic capital formulas

Managing Portfolio Credit Risk in Banks: An Indian Perspective
Author : Arindam Bandyopadhyay
Publisher : Cambridge University Press
Release Date : 2016-03-31
ISBN 10 : 110714647X
Pages : 390 pages

This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

Bank and Insurance Capital Management
Author : Frans de Weert
Publisher : John Wiley & Sons
Release Date : 2011-10-14
ISBN 10 : 0470971649
Pages : 352 pages

In the aftermath of the financial crisis, capital management has become a critical factor in value creation for banks and other financial institutions. Although complex and subject to regulatory change, the strategic importance of capital management became apparent during the crisis and has moved the subject to the top of corporate agendas. Bank and Insurance Capital Management is an essential guide to help banks and insurance companies understand and manage their capital position. Bridging the gap between theory and practice, it provides proven techniques for managing bank capital, as well as explaining key capital management perspectives, including accounting, regulatory, risk and capital management and corporate finance. It also shows how to analyze a firm's stakeholders such as depositors, policy holders, debt holders and shareholders, and manage their expectations, and how to align risk and capital management so as to best optimize the return on capital and preserve capital in periods of stress. Economic capital is also discussed in depth, as are the practicalities of bank and insurance M&A, and the book also shows how financial innovations can be used to optimise the capital position and how diversification effects are reflected in the capital position. This book will arm readers with the knowledge and skills needed to understand how capital management can improve capital structure and performance, achieving an optimal cost of, and return on capital, creating value as a result.

Risk Management
Author : Michael Frenkel,Ulrich Hommel,Markus Rudolf
Publisher : Springer Science & Business Media
Release Date : 2004-11-23
ISBN 10 : 9783540226826
Pages : 838 pages

Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.

Capital in the Twenty-First Century
Author : Thomas Piketty
Publisher : Harvard University Press
Release Date : 2017-08-14
ISBN 10 : 0674979850
Pages : 816 pages

The main driver of inequality—returns on capital that exceed the rate of economic growth—is again threatening to generate extreme discontent and undermine democratic values. Thomas Piketty’s findings in this ambitious, original, rigorous work will transform debate and set the agenda for the next generation of thought about wealth and inequality.