Modelling Economic Capital

Name: Modelling Economic Capital
Brand: Springer Nature Switzerland AG
SKU: 9783030950958
Price: 126.67 EUR
Availability: InStock

Practical Credit-Risk Methodologies, Applications, and Implementation Details

Autor: David Bolder

Jazyk:

Väzba: Pevná

Vydavateľ: Springer Nature Switzerland AG

Dostupnosť: Skladom u dodávateľa

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126.67 €

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

Informácie o knihe

Autor

David Bolder

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2022

Stránok

823

EAN

9783030950958

Enbook ID

38504949

Vydavateľ

Springer Nature Switzerland AG

Hmotnosť

1442

Rozmery

155 x 235 x 51

Kompletný popis

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

Informácie o knihe

Kompletný popis

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Zákazníci, ktorí si kúpili túto knihu, kúpili tiež