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Economic Capital Modelling: Concepts, Measurement and Implementation
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Economic Capital Modelling: Concepts, Measurement and Implementation (Hardback)

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Playing a key role in both the second pillar of the new Basel framework and the Solvency II project, economic capital models are becoming increasingly important. "Economic Capital Models" provides you with an overview of the current state of play for these cutting edge models from three angles: a theoretical overview of risk measurement, diversification and aggregation; a survey of the current state of implementation; and a supervisory view on the use of these models. The combination of these three angles is unique and provides you with truly multi-faceted view of this subject. All aspects of economic capital for financial conglomerates are incorporated. Moreover, this book is set apart from any other in its field because it provides you with a balanced overview from the perspective of both risk managers within institutions and supervisors. Practitioners, risk managers, policymakers and academics are brought together with their insights combined into a single volume. As the practitioners' view is not that of a single institution, consultant or vendor you are able to reflect on the combined insights of a number of institutions that have cutting edge economic capital frameworks.

"Economic Capital Models" provides information for institutions to implement economic capital models and lead you to improved risk management and more accurate pricing. It discusses the requirements for an economic capital model on a more theoretical level. It shows you what a feasible implementation target is and which difficulties might be encountered by examining the current state of implementation of economic capital methodology at large mixed financial conglomerates. This book is recommended for practitioners, supervisors in both the industry and supervisory communities and academics. It gives you an important update on industry best practice in a rapidly developing field and offers you a comprehensive and impartial overview from all viewpoints.

BusinessEconomicsDevelopment economics Publisher: Risk Books Publication Date: 08/05/2006 ISBN-13: 9781904339397  Details: Type: Hardback Format: Books
Availability: To Order. Estimated despatch in 1-3 weeks.  

Iman van Lelyveld is policy advisor at DNB, active in the development of the Supervisory Review, risk management and banking research. In addition, he holds a part-time associate professorship at Radboud University, teaching international financial management. He has published work on financial conglomerates, interbank contagion and foreign banking in Central and Eastern Europe. He studied macroeconomics at the University of Amsterdam and started his career at Deutsche Bank.

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