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Modelling economic capital = practic...

Bolder, David Jamieson.

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Modelling economic capital = practical credit-risk methodologies, applications, and implementation details /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Modelling economic capital/ by David Jamieson Bolder.
Reminder of title:	practical credit-risk methodologies, applications, and implementation details /
Author:	Bolder, David Jamieson.
Published:	Cham :Springer International Publishing : : 2022.,
Description:	xxxi, 823 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer Nature eBook
Subject:	Financial risk management. -
Online resource:	https://doi.org/10.1007/978-3-030-95096-5
ISBN:	9783030950965

Modelling economic capital = practical credit-risk methodologies, applications, and implementation details /
Bolder, David Jamieson.

Modelling economic capitalpractical credit-risk methodologies, applications, and implementation details /[electronic resource] :by David Jamieson Bolder. - Cham :Springer International Publishing :2022. - xxxi, 823 p. :ill. (some col.), digital ;24 cm. - Contributions to finance and accounting,2730-6046. - Contributions to finance and accounting..

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.

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. While rigorous and technical, the book is also layered with judgement, common sense and honesty. This is a very welcome addition to the literature on this subject. - Lakshmi Shyam-Sunder, Chief Risk Officer, World Bank With its solid theoretical foundation and its sensible practical suggestions, this volume is an important contribution to the risk management literature. - Phelim Boyle, Professor Emeritus, Pioneer in Quantitative Finance Accessible, insightful, practical - a must-read for financial practitioners. - Per Nymand-Andersen, Adviser to senior management at the ECB, Lecturer at Goethe University.

ISBN: 9783030950965

Standard No.: 10.1007/978-3-030-95096-5doiSubjects--Topical Terms:

781346
Financial risk management.

LC Class. No.: HD61 / .B65 2022

Dewey Class. No.: 658.155

Modelling economic capital = practical credit-risk methodologies, applications, and implementation details /
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505 0 $a 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.
520 $a 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. While rigorous and technical, the book is also layered with judgement, common sense and honesty. This is a very welcome addition to the literature on this subject. - Lakshmi Shyam-Sunder, Chief Risk Officer, World Bank With its solid theoretical foundation and its sensible practical suggestions, this volume is an important contribution to the risk management literature. - Phelim Boyle, Professor Emeritus, Pioneer in Quantitative Finance Accessible, insightful, practical - a must-read for financial practitioners. - Per Nymand-Andersen, Adviser to senior management at the ECB, Lecturer at Goethe University.
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