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商品詳細
Modelling Economic Capital: Practical Credit-Risk Methodologies, Applications, and Implementation Details. 2022 ed.
・ISBN 978-3-030-95098-9 paper EUR 84.99
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| 著者・編者 | Bolder, David Jamieson, |
|---|---|
| シリーズ | (Contributions to Finance and Accounting) |
| 出版社 | (Springer Nature Switzerland AG, SZ) |
| 出版年月 | 2023 |
| ページ数 | 823 pp. |
| 言語 | ENG |
| ニュース番号 | ＜A02-38216＞ |
解説
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.