Abstract: Table of contents Introduction Ashish Dev (KeyCorp) Section 1: ECONOMIC CAPITAL: CONCEPTS AND APPLICATIONS 1. Background on Economic Capital John Walter (Bank of America) 2. Volatility and Capital: Measures of Risk Gary Wilhite (Wachovia) 3. Conceptual Framework for Economic Capital Models and Required Inputs Michel Araten (JPMorgan Chase) 4. Recovery Risk and Economic Capital Jon Frye (Federal Reserve Bank of Chicago) 5. The Significance of Economic Capital to Financial Institutions Vandana Rao (Indiana University East) Section 2: ECONOMIC CAPITAL FOR SPECIFIC RISKS 6. Economic Capital for Retail Credit Card Portfolios Geoff Rubin (Capital One) 7. Economic Capital for Counterparty Credit Risk Evan Picoult David Lamb (Citigroup, Morgan Stanley) 8. Economic Capital for Securitisations Michael Pykhtin (KeyCorp) 9. Economic Capital for Market Risk David R. Koenig (PRMIA) 10. Measuring and Calculating Economic Operational Risk Capital Anthony Peccia (RCM Risk Management) Section 3: ECONOMIC CAPITAL METHODOLOGIES: MATHEMATICAL TREATMENT 11. A Fundamental Look at Economic Capital and Risk-Based Profitability Measures Sebastian Fritz, Michael Kalkbrener and Wilfried Paus (Deutsche Bank AG) 12. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules Michael B. Gordy (Board of Governors of the Division of Research and Statistics and Federal Reserve System) 13. Allocating Portfolio Economic Capital to Sub-Portfolios Dirk Tasche (Deutche Bundesbank) 14. Spectral Capital Allocation Ludger Overbeck (University of Giessen) 15. Evaluating Design Choices in Economic Capital Modelling: A Loss Function Approach Nick Keifer Eric Larson (Cornell University Office of the Controller of the Currency)
Publication Year: 2004
Publication Date: 2004-09-01
Language: en
Type: book
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Cited By Count: 48
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