Modelling economic capital: practical credit-risk methodologies, applications, and implementation details
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| Format: | Buch |
| Sprache: | English |
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Springer
[2022]
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| Schriftenreihe: | Contributions to finance and accounting
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxxi, 823 Seiten Illustrationen |
| ISBN: | 9783030950958 |
| ISSN: | 2730-6046 |
Internformat
MARC
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| 100 | 1 | |a Bolder, David Jamieson |e Verfasser |0 (DE-588)17174697X |4 aut | |
| 245 | 1 | 0 | |a Modelling economic capital |b practical credit-risk methodologies, applications, and implementation details |c David Jamieson Bolder |
| 264 | 1 | |a Cham |b Springer |c [2022] | |
| 300 | |a xxxi, 823 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Contributions to finance and accounting |x 2730-6046 | |
| 650 | 4 | |a Risk Management | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Business Mathematics | |
| 650 | 4 | |a Capital Markets | |
| 650 | 4 | |a Financial Services | |
| 650 | 4 | |a Corporate Finance | |
| 650 | 4 | |a Financial risk management | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Business mathematics | |
| 650 | 4 | |a Capital market | |
| 650 | 4 | |a Financial services industry | |
| 650 | 4 | |a Business enterprises—Finance | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-030-95096-5 |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033635681&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033635681 | ||
Datensatz im Suchindex
| _version_ | 1804184055511515136 |
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| adam_text | Contents 1 Introducing Economie Capital................................................................. 1.1 Presenting the Nordic Investment Bank........................................... 1.2 Defining Capital................................................................................. 1.2.1 The Risk Perspective.......................................................... 1.2.2 Capital Supply and Demand............................................. 1.3 An Enormous Simplification ............................................................ 1.4 Categorizing Risk........................................... 1.5 Risk Fundamentals............................................................................ 1.5.1 Two Silly Games................................................................. 1.5.2 A Fundamental Characterization............................ 1.5.3 Introducing Concentration...................... 1.5.4 Modelling 101 ................................................... 1.6 Managing Models.............................................................................. 1.7 NIB’s Portfolio.................................................................................. 1.8 Looking Forward............................................................................ 1.9 Wrapping Up...................................................................................... References...................................................................................................... Part I 2 1 2 4 6 8 11 16 20 21 26 29 33 39 41 44 47 48 Modelling Credit-Risk Economic Capital
Constructing a Practical Model................................................................ 2.1 A Naive, but Informative, Start......................................................... 2.2 Mixture and Threshold Models......................................................... 2.2.1 The Mixture Model............................................................. 2.2.2 The Threshold Model.......................................................... 2.3 Asset-Return Dynamics.............. ...................................................... 2.3.1 Time Discretization............................................................. 2.3.2 Normalization.................................................. 2.3.3 A Matrix Formulation......................................................... 2.3.4 Orthogonalization................................................................ 53 54 57 58 60. 62 66 68 75 78 XXV
Contents xxvi 3 4 2.4 The Legacy Model............................................................................. 2.4.1 Introducing Default............................................................. 2.4.2 Stochastic Recovery............................................................ 2.4.3 Risk Metrics ........................................................................ 2.5 Extending the Legacy Model............................................................ 2.5.1 Changing the Copula ........................................................ 2.5.2 Constructing the t Copula................................................... 2.5.3 Default Correlation............................................................. 2.5.4 Modelling Credit Migration................................................ 2.5.5 The Nuts and Bolts of Credit Migration............................ 2.6 Risk Attribution................................................................................. 2.6.1 The Simplest Case............................................................... 2.6.2 An Important Relationship................................................. 2.6.3 The Computational Path..................................................... 2.6.4 A Clever Trick.................................................................... 2.7 Wrapping Up..................................................... References...................................................................................................... 80 80 83 87 90 91 93 97 102 110 116 117 119 121 123 125 126 Finding Model
Parameters........................................... 3.1 Credit States........................................................................................ 3.1.1 Defining Credit Ratings...................................................... 3.1.2 Transition Matrices............................. 3.1.3 Default Probabilities............................................................ 3.2 Systemic Factors................................................................................ 3.2.1 Factor Choice...................................................................... 3.2.2 Systemic-Factor Correlations ..... ....................................... 3.2.3 Distinguishing Systemic Weights and Factor Loadings.............................................................................. 3.2.4 Systemic-Factor Loadings................................................... 3.2.5 Systemic Weights......................................... 3.3 A Portfolio Perspective..................................................................... 3.3.1 Systemic Proportions.......................................................... 3.3.2 Factor-, Asset-, and Default-Correlation.......................... 3.3.3 Tail Dependence.................................................................. 3.4 Recovery Rates............. ..................................................................... 3.5 Credit Migration...................................... 3.5.1 Spread Duration................................................................. 3.5.2 Credit
Spreads...................................................... 3.6 Wrapping Up...................................................................................... References................................................................................... 129 131 131 134 139 141 141 143 153 155 160 176 177 181 187 187 201 201 204 217 218 Implementing the Model............................................................................. 4.1 Managing Expectations..................................................................... 4.2 A System Architecture....................................................................... 4.3 The Data Layer. . ................................................................................ 4.3.1 Key Data Inputs............................................................... 221 222 224 226 229
xxvii Contents The Application Layer....................................... 4.4.1 Purchase or Build Application Software?.......................... 4.4.2 Which Programming Environment?................................... 4.4.3 The Application Environment............................................. 4.4.4 A High-Level Code Overview............................................ 4.4.5 Book-Keeping and Parameter Assignment........................ 4.4.6 The Simulation Engine........................................................ 4.5 Convergence....................................................................................... 4.5.1 Constructing Confidence Bands ......................................... 4.5.2 Portfolio-Level Convergence............................................... 4.5.3 Obligor-Level Convergence................................................ 4.5.4 Computational Expense....................................................... 4.5.5 Choosing Μ............................................................................ 4.6 Wrapping Up....................................... References..................................................................................................... 4.4 Part II 234 235 237 241 245 248 251 259 261 265 266 269 273 276 277 Loan Pricing 5 Approximating Economic Capital........................................................... 5.1 Framing the Problem.......................................................................... 5.2 Approximating Default Economic Capital...................................... 5.2.1 Exploiting Existing
Knowledge......................................... 5.2.2 Borrowing from Regulatory Guidance............................. 5.2.3 A First Default Approximation Model..................... 5.2.4 Incorporating Concentration............................................. 5.2.5 The Full Default Model......................... 5.3 Approximating Migration Economic Capital................................. 5.3.1 Conditional Migration Loss............................................... 5.3.2 A First Migration Model............................................. 5.3.3 The Full Migration Model ................................................. 5.4 Approximation Model Due Diligence............................................. 5.5 The Full Picture................................................................................ 5.5.1 A Word on Implementation................... 5.5.2 An Immediate Application.................................... ........... 5.6 Wrapping Up..................... References..................................................................................................... 281 282 286 286 291 296 300 307 312 312 320 322 325 331 332 333 338 339 6 Loan Pricing............................................................................................... 6.1 Some Fundamentals...... ·................................................................... 6.2 A Holistic Perspective....................................................................... 6.2.1 The Balance-Sheet Perspective ................................ ........ 6.2.2 Building the
Foundation............................... 6.3 Estimating Marginal Asset Income.................................................. 6.3.1 Weighting Financing Sources............................................ 6.3.2 Other Income and Expenses............................................... 341 343 354 355 359 362 367 369
Contents xxviii Risk-Adjusted Returns....................................................................... The Hurdle Rate.................................................................................. Allocating Economic Capital............................................................. Getting More Practical....................................................................... 6.7.1 Immediate Disbursement.................................................... 6.7.2 Payment Frequency............................................................. 6.7.3 The Lending Margin............................................................ 6.7.4 Existing Loan Exposure...................................................... 6.7.5 Forward-Starting Disbursements........................................ 6.7.6 Selecting Commitment Fees............................................... 6.8 Wrapping Up....................................................................................... References..................... 6.4 6.5 6.6 6.7 Partin 371 375 378 380 381 385 386 388 389 396 397 398 Modelling Expected Credit Loss 7 Default-Probability Fundamentals........................................................... 7.1 The Basics.......................................................................................... 7.1.1 The Limiting Case............................................................... 7.1.2 An Extended Aside................................ 7.2 A Thomy Problem............................................................................ 7.2.1 Set-
Up................................................................................... 7.2.2 Some Theory............................... ....... ................................. 7.2.3 Regularization............................ ........................................ 7.2.4 Going to the Data................................................................. 7.3 Building Default-Probability Surfaces................................. 7.3.1 A Low-DimensionalMarkov Chain................................... 7.3.2 A Borrowed Model.............................................................. 7.3.3 Time Homogeneity......................................................... 7.3.4 A Final Decisive Factor...................................................... 7.4 Mapping to One’s Master Scale....................................................... 7.4.1 Building an InternalDefault Probability Surface.............. 7.4.2 Building an InternalTransition Matrix............................... 7.5 Wrapping Up...................................................................................... References...................................................................................................... 403 404 409 412 415 415 416 420 421 429 430 436 441 444 447 448 452 458 459 8 Building Stress Scenarios........................................................................... 8.1 Our Response Variables........................ 8.1.1 Simplifying Matters............................................................ 8.1.2 Introducing the Default Curve.......................... 8.1.3 Fitting Default
Curves................................... 8.2 Our Explanatory Variables................................................................ 8.2.1 Data Issues............................................................................ 8.3 An Empirically Motivated Approach................................................ 8.3.1 A Linear Model.................................................................... 8.3.2 An Indirect Approach......................................................... 8.3.3 An Alternative Formulation........................................... 463 465 467 469 472 485 488 488 490 495 502
xxix Contents 9 8.3.4 A Short Aside.................................... 8.3.5 Building a Point-in-Time Transition Matrix...................... 8.4 A Theoretically Motivated Approach............................................... 8.4.1 Familiar Terrain................................................................... 8.4.2 Yang [49]’s Contribution.................................................... 8.4.3 Adding Time........................................................................ 8.4.4 Parameter Estimation.......................................................... 8.4.5 The Second Step.................................................................. 8.4.6 To a Point-in-Time Transition Matrix............................... 8.5 Constructing Default-Stress Scenarios............................................. 8.6 Wrapping Up...................................................................................... References..................................................................................................... 506 508 514 515 516 522 524 528 530 531 538 539 Computing Loan Impairments................................................................. 9.1 The Calculation................................... 9.1.1 Defining Credit Loss .......................................................... 9.1.2 Selecting a Probability Measure........................................ 9.1.3 Managing the Time Horizon.............................................. 9.1.4 The Simplest Example...................................................... 9.1.5 A More Realistic
Example................................................. 9.1.6 Coupon and Discount Rates................................................ 9.1.7 Impact of Credit Rating.............. ....................................... 9.1.8 Adding Macro-Financial Uncertainty.............................. 9.1.9 Tying It All Together........................................... 9.2 Introducing Stages.............................................................................. 9.2.1 Stage-Allocation Consequences........................................ 9.2.2 Stage-Allocation Logic....................................................... 9.3 Managing Portfolio Composition..................................................... 9.3.1 Motivating Our Adjustment......................................... 9.3.2 Building an Adjustment...................................................... 9.3.3 Retiring Our Concrete Example............................... 9.4 Wrapping Up...................................................................................... References...... ................................................................... 543 546 546 549 552 556 564 572 575 579 584 587 588 590 595 595 597 601 607 608 Part IV 10 Other Practical Topics Measuring Derivative Exposure.............................................................. 10.1 The Big Picture........................ 10.2 Some Important Definitions ............................................................. 10.3 An Important Choice............... ......................................................... 10.4 A General, But Simplified
Structure ............................................... 10.4.1 Expected Exposure............................................................ 10.4.2 Expected Positive Exposure.............................................. 10.4.3 Potential Future Exposure................................................. 613 614 617 621 623 625 627 629
xxx Contents 10.5 The Regulatory Approach................................................................ 10.5.1 Replacement Cost.............................................................. 10.5.2 The Add-On.................... 10.5.3 The Trade Level.................................................................. 10.5.4 The Multiplier..................................................................... 10.5.5 Bringing It All Together...................................................... 10.6 The Asset-Class Perspective............................................................. 10.6.1 Interest Rates........................................................................ 10.6.2 Currencies............................................................................. 10.7 A Pair of Practical Applications....................................................... 10.7.1 Normalized Derivative Exposures..................................... 10.7.2 Defining and Measuring Leverage..................................... 10.8 Wrapping Up..................................................................................... References.................................... ?.............................................................. 634 635 637 642 646 652 653 654 657 658 659 662 664 664 11 Seeking External Comparison................................................................. 11.1 Pillar 1.................................................................................................. 11.1.1 The Standardized Regulatory Approach.......................... 11.1.2 The Internal Ratings-
Based Approach............................. 11.1.3 S P’s Approach to Risk-Weighting................................ 11.1.4 Risk-Weighted Assets....................................................... 11.2 Pillarli................................................................................................ 11.2.1 Geographic and Industrial Diversification....................... 11.2.2 Preferred-Creditor Treatment........................................... 11.2.3 Single-Name Concentration................................ 11.2.4 Working with Partial Information..................................... 11.2.5 A Multi-Factor Adjustment.............................................. 11.2.6 Practical Granularity-Adjustment Results.............. . ....... 11.3 Wrapping Up...................................................................................... References...................................................................................................... 667 669 669 672 677 682 683 685 692 693 716 720 752 754 756 12 Thoughts on Stress Testing........................................................................ 12.1 Organizing Stress-Testing................................................................. 12.1.1 The Main Risk Pathway...................................................... 12.1.2 Competing Approaches...................................................... 12.1.3 Managing Time.................................................................... 12.1.4 Remaining Gameplan......................................................... 12.2 The Top-Down, or Macro,
Approach............................................... 12.2.1 Introducing the Vector Auto-Regressive Model................ 12.2.2 The Basic Idea........................................... ,........................ 12.2.3 An Important Link............................................................... 12.2.4 The Impulse-Response Function........................................ 12.2.5 A Base Sample Portfolio..................................................... 12.2.6 From Macro Shock to Our Portfolio.................................. 12.2.7 The Portfolio Consequences............................................... 759 761 762 764 768 770 770 773 773 778 780 785 788 791
Contents The Bottom-Up, or Micro, Approach............ ;............... 12.3.1 The Limits of Brute Force.................................................. 12.3.2 The Extreme Cases............................................................. 12.3.3 Traditional Bottom-Up Cases............................................. 12.3.4 Randomization..................................................................... 12.3.5 Collecting Our Bottom-Up Alternatives............................ 12.4 Wrapping Up..................................................................................... References............................................................................. 12.3 Index..................... xxxi 794 795 797 801 805 811 812 813 815 Author Index......................................................................................................... 819
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| adam_txt |
Contents 1 Introducing Economie Capital. 1.1 Presenting the Nordic Investment Bank. 1.2 Defining Capital. 1.2.1 The Risk Perspective. 1.2.2 Capital Supply and Demand. 1.3 An Enormous Simplification . 1.4 Categorizing Risk. 1.5 Risk Fundamentals. 1.5.1 Two Silly Games. 1.5.2 A Fundamental Characterization. 1.5.3 Introducing Concentration. 1.5.4 Modelling 101 . 1.6 Managing Models. 1.7 NIB’s Portfolio. 1.8 Looking Forward. 1.9 Wrapping Up. References. Part I 2 1 2 4 6 8 11 16 20 21 26 29 33 39 41 44 47 48 Modelling Credit-Risk Economic Capital
Constructing a Practical Model. 2.1 A Naive, but Informative, Start. 2.2 Mixture and Threshold Models. 2.2.1 The Mixture Model. 2.2.2 The Threshold Model. 2.3 Asset-Return Dynamics. . 2.3.1 Time Discretization. 2.3.2 Normalization. 2.3.3 A Matrix Formulation. 2.3.4 Orthogonalization. 53 54 57 58 60. 62 66 68 75 78 XXV
Contents xxvi 3 4 2.4 The Legacy Model. 2.4.1 Introducing Default. 2.4.2 Stochastic Recovery. 2.4.3 Risk Metrics . 2.5 Extending the Legacy Model. 2.5.1 Changing the Copula . 2.5.2 Constructing the t Copula. 2.5.3 Default Correlation. 2.5.4 Modelling Credit Migration. 2.5.5 The Nuts and Bolts of Credit Migration. 2.6 Risk Attribution. 2.6.1 The Simplest Case. 2.6.2 An Important Relationship. 2.6.3 The Computational Path. 2.6.4 A Clever Trick. 2.7 Wrapping Up. References. 80 80 83 87 90 91 93 97 102 110 116 117 119 121 123 125 126 Finding Model
Parameters. 3.1 Credit States. 3.1.1 Defining Credit Ratings. 3.1.2 Transition Matrices. 3.1.3 Default Probabilities. 3.2 Systemic Factors. 3.2.1 Factor Choice. 3.2.2 Systemic-Factor Correlations . . 3.2.3 Distinguishing Systemic Weights and Factor Loadings. 3.2.4 Systemic-Factor Loadings. 3.2.5 Systemic Weights. 3.3 A Portfolio Perspective. 3.3.1 Systemic Proportions. 3.3.2 Factor-, Asset-, and Default-Correlation. 3.3.3 Tail Dependence. 3.4 Recovery Rates. . 3.5 Credit Migration. 3.5.1 Spread Duration. 3.5.2 Credit
Spreads. 3.6 Wrapping Up. References. 129 131 131 134 139 141 141 143 153 155 160 176 177 181 187 187 201 201 204 217 218 Implementing the Model. 4.1 Managing Expectations. 4.2 A System Architecture. 4.3 The Data Layer. . . 4.3.1 Key Data Inputs. 221 222 224 226 229
xxvii Contents The Application Layer. 4.4.1 Purchase or Build Application Software?. 4.4.2 Which Programming Environment?. 4.4.3 The Application Environment. 4.4.4 A High-Level Code Overview. 4.4.5 Book-Keeping and Parameter Assignment. 4.4.6 The Simulation Engine. 4.5 Convergence. 4.5.1 Constructing Confidence Bands . 4.5.2 Portfolio-Level Convergence. 4.5.3 Obligor-Level Convergence. 4.5.4 Computational Expense. 4.5.5 Choosing Μ. 4.6 Wrapping Up. References. 4.4 Part II 234 235 237 241 245 248 251 259 261 265 266 269 273 276 277 Loan Pricing 5 Approximating Economic Capital. 5.1 Framing the Problem. 5.2 Approximating Default Economic Capital. 5.2.1 Exploiting Existing
Knowledge. 5.2.2 Borrowing from Regulatory Guidance. 5.2.3 A First Default Approximation Model. 5.2.4 Incorporating Concentration. 5.2.5 The Full Default Model. 5.3 Approximating Migration Economic Capital. 5.3.1 Conditional Migration Loss. 5.3.2 A First Migration Model. 5.3.3 The Full Migration Model . 5.4 Approximation Model Due Diligence. 5.5 The Full Picture. 5.5.1 A Word on Implementation. 5.5.2 An Immediate Application. . 5.6 Wrapping Up. References. 281 282 286 286 291 296 300 307 312 312 320 322 325 331 332 333 338 339 6 Loan Pricing. 6.1 Some Fundamentals. ·. 6.2 A Holistic Perspective. 6.2.1 The Balance-Sheet Perspective . . 6.2.2 Building the
Foundation. 6.3 Estimating Marginal Asset Income. 6.3.1 Weighting Financing Sources. 6.3.2 Other Income and Expenses. 341 343 354 355 359 362 367 369
Contents xxviii Risk-Adjusted Returns. The Hurdle Rate. Allocating Economic Capital. Getting More Practical. 6.7.1 Immediate Disbursement. 6.7.2 Payment Frequency. 6.7.3 The Lending Margin. 6.7.4 Existing Loan Exposure. 6.7.5 Forward-Starting Disbursements. 6.7.6 Selecting Commitment Fees. 6.8 Wrapping Up. References. 6.4 6.5 6.6 6.7 Partin 371 375 378 380 381 385 386 388 389 396 397 398 Modelling Expected Credit Loss 7 Default-Probability Fundamentals. 7.1 The Basics. 7.1.1 The Limiting Case. 7.1.2 An Extended Aside. 7.2 A Thomy Problem. 7.2.1 Set-
Up. 7.2.2 Some Theory. . . 7.2.3 Regularization. . 7.2.4 Going to the Data. 7.3 Building Default-Probability Surfaces. 7.3.1 A Low-DimensionalMarkov Chain. 7.3.2 A Borrowed Model. 7.3.3 Time Homogeneity. 7.3.4 A Final Decisive Factor. 7.4 Mapping to One’s Master Scale. 7.4.1 Building an InternalDefault Probability Surface. 7.4.2 Building an InternalTransition Matrix. 7.5 Wrapping Up. References. 403 404 409 412 415 415 416 420 421 429 430 436 441 444 447 448 452 458 459 8 Building Stress Scenarios. 8.1 Our Response Variables. 8.1.1 Simplifying Matters. 8.1.2 Introducing the Default Curve. 8.1.3 Fitting Default
Curves. 8.2 Our Explanatory Variables. 8.2.1 Data Issues. 8.3 An Empirically Motivated Approach. 8.3.1 A Linear Model. 8.3.2 An Indirect Approach. 8.3.3 An Alternative Formulation. 463 465 467 469 472 485 488 488 490 495 502
xxix Contents 9 8.3.4 A Short Aside. 8.3.5 Building a Point-in-Time Transition Matrix. 8.4 A Theoretically Motivated Approach. 8.4.1 Familiar Terrain. 8.4.2 Yang [49]’s Contribution. 8.4.3 Adding Time. 8.4.4 Parameter Estimation. 8.4.5 The Second Step. 8.4.6 To a Point-in-Time Transition Matrix. 8.5 Constructing Default-Stress Scenarios. 8.6 Wrapping Up. References. 506 508 514 515 516 522 524 528 530 531 538 539 Computing Loan Impairments. 9.1 The Calculation. 9.1.1 Defining Credit Loss . 9.1.2 Selecting a Probability Measure. 9.1.3 Managing the Time Horizon. 9.1.4 The Simplest Example. 9.1.5 A More Realistic
Example. 9.1.6 Coupon and Discount Rates. 9.1.7 Impact of Credit Rating. . 9.1.8 Adding Macro-Financial Uncertainty. 9.1.9 Tying It All Together. 9.2 Introducing Stages. 9.2.1 Stage-Allocation Consequences. 9.2.2 Stage-Allocation Logic. 9.3 Managing Portfolio Composition. 9.3.1 Motivating Our Adjustment. 9.3.2 Building an Adjustment. 9.3.3 Retiring Our Concrete Example. 9.4 Wrapping Up. References. . 543 546 546 549 552 556 564 572 575 579 584 587 588 590 595 595 597 601 607 608 Part IV 10 Other Practical Topics Measuring Derivative Exposure. 10.1 The Big Picture. 10.2 Some Important Definitions . 10.3 An Important Choice. . 10.4 A General, But Simplified
Structure . 10.4.1 Expected Exposure. 10.4.2 Expected Positive Exposure. 10.4.3 Potential Future Exposure. 613 614 617 621 623 625 627 629
xxx Contents 10.5 The Regulatory Approach. 10.5.1 Replacement Cost. 10.5.2 The Add-On. 10.5.3 The Trade Level. 10.5.4 The Multiplier. 10.5.5 Bringing It All Together. 10.6 The Asset-Class Perspective. 10.6.1 Interest Rates. 10.6.2 Currencies. 10.7 A Pair of Practical Applications. 10.7.1 Normalized Derivative Exposures. 10.7.2 Defining and Measuring Leverage. 10.8 Wrapping Up. References. ?. 634 635 637 642 646 652 653 654 657 658 659 662 664 664 11 Seeking External Comparison. 11.1 Pillar 1. 11.1.1 The Standardized Regulatory Approach. 11.1.2 The Internal Ratings-
Based Approach. 11.1.3 S P’s Approach to Risk-Weighting. 11.1.4 Risk-Weighted Assets. 11.2 Pillarli. 11.2.1 Geographic and Industrial Diversification. 11.2.2 Preferred-Creditor Treatment. 11.2.3 Single-Name Concentration. 11.2.4 Working with Partial Information. 11.2.5 A Multi-Factor Adjustment. 11.2.6 Practical Granularity-Adjustment Results. . . 11.3 Wrapping Up. References. 667 669 669 672 677 682 683 685 692 693 716 720 752 754 756 12 Thoughts on Stress Testing. 12.1 Organizing Stress-Testing. 12.1.1 The Main Risk Pathway. 12.1.2 Competing Approaches. 12.1.3 Managing Time. 12.1.4 Remaining Gameplan. 12.2 The Top-Down, or Macro,
Approach. 12.2.1 Introducing the Vector Auto-Regressive Model. 12.2.2 The Basic Idea. ,. 12.2.3 An Important Link. 12.2.4 The Impulse-Response Function. 12.2.5 A Base Sample Portfolio. 12.2.6 From Macro Shock to Our Portfolio. 12.2.7 The Portfolio Consequences. 759 761 762 764 768 770 770 773 773 778 780 785 788 791
Contents The Bottom-Up, or Micro, Approach. ;. 12.3.1 The Limits of Brute Force. 12.3.2 The Extreme Cases. 12.3.3 Traditional Bottom-Up Cases. 12.3.4 Randomization. 12.3.5 Collecting Our Bottom-Up Alternatives. 12.4 Wrapping Up. References. 12.3 Index. xxxi 794 795 797 801 805 811 812 813 815 Author Index. 819 |
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| id | DE-604.BV048255434 |
| illustrated | Illustrated |
| index_date | 2024-07-03T19:58:16Z |
| indexdate | 2024-07-10T09:33:15Z |
| institution | BVB |
| isbn | 9783030950958 |
| issn | 2730-6046 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033635681 |
| oclc_num | 1335401199 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xxxi, 823 Seiten Illustrationen |
| publishDate | 2022 |
| publishDateSearch | 2022 |
| publishDateSort | 2022 |
| publisher | Springer |
| record_format | marc |
| series2 | Contributions to finance and accounting |
| spelling | Bolder, David Jamieson Verfasser (DE-588)17174697X aut Modelling economic capital practical credit-risk methodologies, applications, and implementation details David Jamieson Bolder Cham Springer [2022] xxxi, 823 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Contributions to finance and accounting 2730-6046 Risk Management Econometrics Business Mathematics Capital Markets Financial Services Corporate Finance Financial risk management Business mathematics Capital market Financial services industry Business enterprises—Finance Erscheint auch als Online-Ausgabe 978-3-030-95096-5 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033635681&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bolder, David Jamieson Modelling economic capital practical credit-risk methodologies, applications, and implementation details Risk Management Econometrics Business Mathematics Capital Markets Financial Services Corporate Finance Financial risk management Business mathematics Capital market Financial services industry Business enterprises—Finance |
| title | Modelling economic capital practical credit-risk methodologies, applications, and implementation details |
| title_auth | Modelling economic capital practical credit-risk methodologies, applications, and implementation details |
| title_exact_search | Modelling economic capital practical credit-risk methodologies, applications, and implementation details |
| title_exact_search_txtP | Modelling economic capital practical credit-risk methodologies, applications, and implementation details |
| title_full | Modelling economic capital practical credit-risk methodologies, applications, and implementation details David Jamieson Bolder |
| title_fullStr | Modelling economic capital practical credit-risk methodologies, applications, and implementation details David Jamieson Bolder |
| title_full_unstemmed | Modelling economic capital practical credit-risk methodologies, applications, and implementation details David Jamieson Bolder |
| title_short | Modelling economic capital |
| title_sort | modelling economic capital practical credit risk methodologies applications and implementation details |
| title_sub | practical credit-risk methodologies, applications, and implementation details |
| topic | Risk Management Econometrics Business Mathematics Capital Markets Financial Services Corporate Finance Financial risk management Business mathematics Capital market Financial services industry Business enterprises—Finance |
| topic_facet | Risk Management Econometrics Business Mathematics Capital Markets Financial Services Corporate Finance Financial risk management Business mathematics Capital market Financial services industry Business enterprises—Finance |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033635681&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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