Téléchargez le livre : Modelling Economic Capital

Modelling Economic Capital

Practical Credit-Risk Methodologies, Applications, and Implementation Details de

Éditeur :

Springer


Collection :

Contributions to Finance and Accounting

Paru le : 2022-05-06

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Description

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.
Pages
823 pages
Collection
Contributions to Finance and Accounting
Parution
2022-05-06
Marque
Springer
EAN papier
9783030950958
EAN PDF
9783030950965
Informations sur l'ebook
Nombre pages copiables
8
Nombre pages imprimables
82
Taille du fichier
18534 Ko
Prix
89,66 €
EAN EPUB
9783030950965
Informations sur l'ebook
Nombre pages copiables
8
Nombre pages imprimables
82
Taille du fichier
66632 Ko
Prix
89,66 €

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