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Cover: 9783030950958 | Modelling Economic Capital | David Jamieson Bolder | Buch | Englisch
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Modelling Economic Capital
Practical Credit-Risk Methodologies, Applications, and Implementation Details
Buch von David Jamieson Bolder
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor
David Jamieson Bolder is currently Director of Model Development and Economic Capital at the Nordic Investment Bank in Helsinki (Finland). Prior to this appointment, he was in charge of the World Bank Group's model-risk function. Previously he held quantitative analytic roles at the Bank for International Settlements, the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored numerous papers, articles, and chapters in books on risk-management, financial modelling, stochastic simulation, and optimization. Two other comprehensive books--on the topics of fixed-income portfolio analytics and credit-risk modelling--round out his list of publications. His 25-year career, by way of high-level summary, has focused on the application of mathematical techniques towards informing decision-making in the areas of sovereign-debt, pension-fund, portfolio-risk, and foreign-reserve management.
Zusammenfassung

Illustrates the practical implementation of credit-risk economic capital concepts and applications

Contains numerous examples, 175+ graphics and accessible and common applications

Includes 150 commentary boxes to navigate technical discussions and provide pragmatic advice

Inhaltsverzeichnis
Chapter 1. Introducing Economic Capital.- Part 1. Modelling Credit-Risk Economic Capital.- Chapter 2. Constructing a Practical Model.- Chapter 3. Finding Model Parameters.- Chapter 4. Implementing The Model.- Part 2. Loan Pricing.- Chapter 5. Approximating Economic Capital.- Chapter 6. Loan Pricing.- Part 3. Modelling Expected Credit Loss.- Chapter 7. Default-Probability Fundamentals.- Chapter 8. Building Stress Scenarios.- Chapter 9. Computing Loan Impairments.- Part 4. Other Practical Topics.- Chapter 10. Measuring Derivative Exposure.- Chapter 11. Seeking External Comparison.- Chapter 12. Thoughts on Stress Testing.
Details
Erscheinungsjahr: 2022
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 856
Reihe: Contributions to Finance and Accounting
Inhalt: xxxi
823 S.
17 s/w Illustr.
166 farbige Illustr.
823 p. 183 illus.
166 illus. in color.
ISBN-13: 9783030950958
ISBN-10: 3030950956
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Bolder, David Jamieson
Auflage: 1st ed. 2022
Hersteller: Springer International Publishing
Springer International Publishing AG
Contributions to Finance and Accounting
Maße: 241 x 160 x 51 mm
Von/Mit: David Jamieson Bolder
Erscheinungsdatum: 07.05.2022
Gewicht: 1,431 kg
preigu-id: 120931792
Über den Autor
David Jamieson Bolder is currently Director of Model Development and Economic Capital at the Nordic Investment Bank in Helsinki (Finland). Prior to this appointment, he was in charge of the World Bank Group's model-risk function. Previously he held quantitative analytic roles at the Bank for International Settlements, the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored numerous papers, articles, and chapters in books on risk-management, financial modelling, stochastic simulation, and optimization. Two other comprehensive books--on the topics of fixed-income portfolio analytics and credit-risk modelling--round out his list of publications. His 25-year career, by way of high-level summary, has focused on the application of mathematical techniques towards informing decision-making in the areas of sovereign-debt, pension-fund, portfolio-risk, and foreign-reserve management.
Zusammenfassung

Illustrates the practical implementation of credit-risk economic capital concepts and applications

Contains numerous examples, 175+ graphics and accessible and common applications

Includes 150 commentary boxes to navigate technical discussions and provide pragmatic advice

Inhaltsverzeichnis
Chapter 1. Introducing Economic Capital.- Part 1. Modelling Credit-Risk Economic Capital.- Chapter 2. Constructing a Practical Model.- Chapter 3. Finding Model Parameters.- Chapter 4. Implementing The Model.- Part 2. Loan Pricing.- Chapter 5. Approximating Economic Capital.- Chapter 6. Loan Pricing.- Part 3. Modelling Expected Credit Loss.- Chapter 7. Default-Probability Fundamentals.- Chapter 8. Building Stress Scenarios.- Chapter 9. Computing Loan Impairments.- Part 4. Other Practical Topics.- Chapter 10. Measuring Derivative Exposure.- Chapter 11. Seeking External Comparison.- Chapter 12. Thoughts on Stress Testing.
Details
Erscheinungsjahr: 2022
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 856
Reihe: Contributions to Finance and Accounting
Inhalt: xxxi
823 S.
17 s/w Illustr.
166 farbige Illustr.
823 p. 183 illus.
166 illus. in color.
ISBN-13: 9783030950958
ISBN-10: 3030950956
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Bolder, David Jamieson
Auflage: 1st ed. 2022
Hersteller: Springer International Publishing
Springer International Publishing AG
Contributions to Finance and Accounting
Maße: 241 x 160 x 51 mm
Von/Mit: David Jamieson Bolder
Erscheinungsdatum: 07.05.2022
Gewicht: 1,431 kg
preigu-id: 120931792
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