An Introduction to Economic Capital by Mohan Bhatia

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Author
Mohan Bhatia
Publisher
Risk Books
Date of release
Pages
316
ISBN
9781906348090
Binding
Paperback
Illustrations
Format
PDF, EPUB, MOBI, TXT, DOC
Rating
4
50

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An Introduction to Economic Capital

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Book review

With the Basel II and Solvency II framework in place, all types of financial intermediaries are preparing to implement economic capital measurement at some level of granularity.
This new addition to the Risk Books Introductory Series identifies the basic building blocks for economic capital measurement. It familiarises and trains a newcomer to the economic capital building blocks, computation approaches and taxonomy, risk measures, risk aggregation, distribution, correlation and dependency structures, risk mitigation, simulation and basic modelling techniques necessary for an institution to invent their own techniques and parameters for modelling economic capital for various types of risks.
The primer format will enable new entrants to quickly grasp the fundamental concepts, and covers:


  • Economic capital: the purpose and objectives
  • Credit risk
  • Insurance risk
  • Market risk
  • Operational risk
  • Liquidity risk
  • Correlations and approximations

Recommended for risk managers, compliance officers, information technology planners and implementers, front and middle office personnel and students of Financial Engineering and Financial Risk Management courses.


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