Modelling Economic Capital

Practical Credit-Risk Methodologies, Applications, and Implementation Details

By:

David Jamieson Bolder

Format:

Paperback / softback

Series:

Contributions to Finance and Accounting

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Description

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.

Author Biography:

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.

Release date Australia

May 7th, 2023

Author

David Jamieson Bolder

Series

Contributions to Finance and Accounting

Pages

823

Edition

1st ed. 2022

Audience

Professional & Vocational

Illustrations

166 Illustrations, color; 17 Illustrations, black and white; XXXI, 823 p. 183 illus., 166 illus. in color.

ISBN-13

9783030950989

Product ID

36811073

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