Overview
- Illustrates the practical implementation of credit-risk economic capital concepts and applications
- Contains numerous examples, 175+ graphics and accessible and common applications
- Includes 150 commentary boxes to navigate technical discussions and provide pragmatic advice
Part of the book series: Contributions to Finance and Accounting (CFA)
Buy print copy
About this book
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 resultis a useful reference for students and practitioners wishing to learn more about a centrally important financial-management device.
Similar content being viewed by others
Keywords
Table of contents (12 chapters)
-
Modelling Credit-Risk Economic Capital
-
Loan Pricing
-
Modelling Expected Credit Loss
-
Other Practical Topics
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Modelling Economic Capital
Book Subtitle: Practical Credit-Risk Methodologies, Applications, and Implementation Details
Authors: David Jamieson Bolder
Series Title: Contributions to Finance and Accounting
DOI: https://doi.org/10.1007/978-3-030-95096-5
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022
Hardcover ISBN: 978-3-030-95095-8Published: 07 May 2022
Softcover ISBN: 978-3-030-95098-9Published: 07 May 2023
eBook ISBN: 978-3-030-95096-5Published: 06 May 2022
Series ISSN: 2730-6038
Series E-ISSN: 2730-6046
Edition Number: 1
Number of Pages: XXXI, 823
Number of Illustrations: 17 b/w illustrations, 166 illustrations in colour
Topics: Risk Management, Econometrics, Business Mathematics, Capital Markets, Financial Services, Business Finance