Economic capital: how it works and what every manager needs to know
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 285 S. graph. Darst. |
| ISBN: | 9780123749017 |
Internformat
MARC
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| 020 | |a 9780123749017 |c hbk. : alk. paper |9 978-0-12-374901-7 | ||
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| 100 | 1 | |a Klaassen, Pieter |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Economic capital |b how it works and what every manager needs to know |c Pieter Klaassen and Idzard van Eeghen |
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier |c 2009 | |
| 300 | |a 285 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Bank capital | |
| 650 | 4 | |a Bank management | |
| 650 | 4 | |a Banks and banking |x Risk management | |
| 650 | 0 | 7 | |a Bankgeschäft |0 (DE-588)4112667-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditwesen |0 (DE-588)4032950-1 |2 gnd |9 rswk-swf |
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| 700 | 1 | |a Eeghen, Idzard van |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-0-08-095680-0 |
| 856 | 4 | 2 | |m Digitalisierung UB Bayreuth |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018856997&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-018856997 | ||
Datensatz im Suchindex
| _version_ | 1804140981994389504 |
|---|---|
| adam_text | Contents
Acknowledgments
ix
Introduction xj
Chapter
1
Measuring the unexpected: Understanding economic capital
1
1.1
What is economic capital?
2
1.2
Expected and unexpected losses
3
1.3
Conceptual issues with economic capital
4
1.3.1
Risk versus uncertainty
5
1.3.2
Coherent risk measures
8
1.4
Alternative risk measures
10
1.5
Conclusion
11
Chapter
2
Show me the money: The purpose of economic capital
13
2.1
A round-up of stakeholders
14
2.2
Ensuring continuity
15
2.2.1
Why do financial institutions fail?
15
2.2.2
Economic capital and assessing capital adequacy
18
2.2.3
Economic capital and capital management
20
2.2.4
Economic capital and risk management
21
2.3
Optimizing profitability
22
2.3.1
Economic capital and profitability measures
22
2.3.2
Economic capital and performance management
24
2.3.3
Economic capital and portfolio management
25
2.4
Management and economic capital
25
2.5
The actual use of economic capital
28
2.6
Conclusion
30
Chapter
3
You manage what you measure: Defining economic capital
33
3.1
Valuation principles
33
3.2
Which assets and liabilities to include in economic
capital
35
3.3
Which risks to include in economic capital
37
3.3.1
Position risks
37
3.3.2
Inherent risks
39
3.3.3
Model risk
41
3.3.4
Choice of risk types
42
3.4
Time horizon and expected profits
44
v¡
Contents
3.4.1
Time horizon
44
3.4.2
Treatment of expected profits
45
3.5
Confidence level and cyclicality
48
3.5.1
Choosing the confidence level
48
3.5.2
Cyclicality of economic capital
51
3.6
Definition of available capital
54
3.6.1
Available capital in relation to ensuring
continuity
54
3.6.2
Available capital in relation to optimizing
profitability
56
3.6.3
Aligning the definition of available capital
58
3.6.4
Treatment of hybrid capital instruments
58
3.7
Conclusion
59
Chapter
4
Running the numbers: Measuring economic capital
63
4.1
General considerations
64
4.1.1
Incorporating portfolio dynamics
64
4.1.2
Capturing dependencies
66
4.1.3
Estimating parameters from historical data
69
4.1.4
Calculating economic capital contributions
72
4.1.5
Model risk
78
4.1.6
Validation of economic capital
83
4.1.7
Aggregation of risk types versus risk drivers
84
4.2
Credit risk
85
4.2.1
Fundamental choices and assumptions
87
4.2.2
Modeling approaches
89
4.2.3
Determination of model parameters and inputs
104
4.2.4
Special topics
117
4.2.5
Allocation of economic capital
132
4.2.6
Regulatory capital for credit risk
133
4.3
Market risk
134
4.3.1
Fundamental choices and assumptions
136
4.3.2
Modeling approaches
138
4.3.3
Special topics
141
4.3.4
Allocation of economic capital
145
4.3.5
Regulatory capital for market risk
146
4.4
Operational risk
146
4.4.1
Fundamental choices and assumptions
150
4.4.2
Modeling approaches
151
4.4.3
Special topics
157
4.4.4
Allocation of economic capital
159
4.4.5
Regulatory capital for operational risk
160
4.5
Asset-liability management risk
160
4.5.1
Fundamental choices and assumptions
163
Contents
165
166
170
170
4.6 Business
risk -j
173
174
177
179
4.7
Other risks
179
179
185
188
189
192
4.8
Aggregation of risks
194
196
197
199
201
202
4.9
Conclusion
203
Chapter
5
Facing reality: Implementing economic capital
213
5.1
Ensuring continuity
213
5.1.1
Capturing diversification and concentration
effects
213
5.1.2
Dealing with complex products
215
5.1.3
Consolidated capital adequacy assessments
216
5.1.4
Capital adequacy for subsidiaries
218
5.2
Optimizing profitability
220
5.2.1
Transparency and governance
220
5.2.2
Economic capital and the budget cycle
221
5.2.3
Which risks to allocate to business lines?
222
5.2.4
Calculating RAROC
224
5.2.5
Forward-looking versus backward-looking
RAROC
226
5.2.6
Incentives and RAROC
227
5.2.7
Interpretation of RAROC
228
5.2.8
Setting the hurdle rate
230
5.2.9
Strategic decisions and the balance between
specialization and diversification
238
5.3
Conclusion
239
4.5.2
Modeling approaches
4.5.3
Special topics
4.5.4
Allocation of economic capital
4.5.5
Regulatory capital for
ALM
risk
Business risk
4.6.1
Fundamental choices and assumptions
4.6.2
Modeling approaches
4.6.3
Special topics
4.6.4
Allocation of economic capital
Other
risks
4.7.1
Insurance risks
4.7.2
Pension liability risk
4.7.3
Fixed asset risk
4.7.4
Tax risk
4.7.5
Strategic equity investments
Aggregation of risks
4.8.1
Fundamental choices and assumptions
4.8.2
Modeling approaches
4.8.3
Special topics
4.8.4
Allocation of economic capital
4.8.5
Risk aggregation in regulatory capital
Conclusion
viii
Contents
Chapter
6
Team play: The context of economic capital
243
6.1
Stress tests
243
6.1.1
Types of stress tests
244
6.1.2
The use and interpretation of stress test
results
245
6.1.3
Stress tests and economic capital
247
6.1.4
Limitations of stress tests
248
6.1.5
Summary
249
6.2
Enterprise risk management (ERM)
249
6.3
Managing economic and regulatory capital
252
6.3.1
Economic capital versus regulatory capital
252
6.3.2
Optimizing economic profit under capital
constraints
253
6.4
Conclusion
258
Chapter
7
What is next? The future of economic capital
261
7.1
Consider all the institution s capital objectives
262
7.2
Address the pro-cyclicality of capital requirements
264
7.3
Continuously improve risk measurement
266
7.4
Explicitly account for model risks
267
7.5
Create risk-sensitive incentives
268
7.6
Align regulatory capital further
to economic capital
269
7.7
The promise of economic capital
270
Index
273
|
| any_adam_object | 1 |
| author | Klaassen, Pieter Eeghen, Idzard van |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1068/1 |
| dewey-search | 332.1068/1 |
| dewey-sort | 3332.1068 11 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035962853 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:08:37Z |
| institution | BVB |
| isbn | 9780123749017 |
| language | English |
| lccn | 2009011193 |
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| owner_facet | DE-703 DE-20 |
| physical | 285 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
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| publisher | Elsevier |
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| spelling | Klaassen, Pieter Verfasser aut Economic capital how it works and what every manager needs to know Pieter Klaassen and Idzard van Eeghen Amsterdam [u.a.] Elsevier 2009 285 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank Bank capital Bank management Banks and banking Risk management Bankgeschäft (DE-588)4112667-1 gnd rswk-swf Kreditwesen (DE-588)4032950-1 gnd rswk-swf Kreditwesen (DE-588)4032950-1 s Bankgeschäft (DE-588)4112667-1 s DE-604 Eeghen, Idzard van Verfasser aut Erscheint auch als Online-Ausgabe 978-0-08-095680-0 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018856997&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Klaassen, Pieter Eeghen, Idzard van Economic capital how it works and what every manager needs to know Bank Bank capital Bank management Banks and banking Risk management Bankgeschäft (DE-588)4112667-1 gnd Kreditwesen (DE-588)4032950-1 gnd |
| subject_GND | (DE-588)4112667-1 (DE-588)4032950-1 |
| title | Economic capital how it works and what every manager needs to know |
| title_auth | Economic capital how it works and what every manager needs to know |
| title_exact_search | Economic capital how it works and what every manager needs to know |
| title_full | Economic capital how it works and what every manager needs to know Pieter Klaassen and Idzard van Eeghen |
| title_fullStr | Economic capital how it works and what every manager needs to know Pieter Klaassen and Idzard van Eeghen |
| title_full_unstemmed | Economic capital how it works and what every manager needs to know Pieter Klaassen and Idzard van Eeghen |
| title_short | Economic capital |
| title_sort | economic capital how it works and what every manager needs to know |
| title_sub | how it works and what every manager needs to know |
| topic | Bank Bank capital Bank management Banks and banking Risk management Bankgeschäft (DE-588)4112667-1 gnd Kreditwesen (DE-588)4032950-1 gnd |
| topic_facet | Bank Bank capital Bank management Banks and banking Risk management Bankgeschäft Kreditwesen |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018856997&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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