Modelling Economic Capital Practical Credit-Risk Methodologies, Applications, and Implementation Details
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- Hardcover
- Taschenbuch ausgewählt
- eBook
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Sprache:Englisch
79,99 €
UVP
90,94 €
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Beschreibung
Details
Einband
Taschenbuch
Erscheinungsdatum
07.05.2023
Verlag
SpringerSeitenzahl
823
Maße (L/B/H)
23,5/15,5/4,6 cm
Gewicht
1270 g
Auflage
1st ed. 2022
Sprache
Englisch
ISBN
978-3-030-95098-9
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.
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