Aims to help the reader better analyse and evaluate economic capital in order to implement more effective risk management strategies within their business.
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Editorial Reviews
Review
Economic Capital is destined to be the gold standard reference book in this arena. I highly and unreservedly recommend it. -- John Mingo, Managing Director, Mingo & Co., Formerly, Senior Advisor, Board of Governors, Federal Reserve System
The methodologies for implementing economic capital will further improve with time, making Economic Capital a standard tool for risk management. -- Hubert Mueller, Principal, Towers Perrin
The methodologies for implementing economic capital will further improve with time, making Economic Capital a standard tool for risk management. -- Hubert Mueller, Principal, Towers Perrin
About the Author
Ashish Dev is executive vice president of risk management, at KeyCorp. He is group head of Enterprise Risk Management, which includes economic capital allocations, Basel II coordination, data warehousing, credit underwriting models, strategic analytics and credit portfolio management along with operational risk. As a member of all the three high-level risk committees of KeyCorp viz. ALCO, CREDCO and ORCO, he is involved in decision making in all areas of risk in the bank. Ashish has been the prime mover in establishing enterprise-wide risk-adjusted product pricing and performance measurement and in creating a new credit portfolio management function in the bank. Prior to joining KeyCorp, Ashish was head of quantitative research and analysis in Bank One. Ashish has a PhD in economics and holds the CFA professional designation.
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Most Helpful Customer Reviews
5 of 5 people found the following review helpful:
4.0 out of 5 stars
Great selection of articles,
By Jaime Noda (Melbourne, Australia) - See all my reviews
This review is from: Economic Capital: A Practitioner Guide (Hardcover)
There are very few books around that deal with Economic Capital. This is an expensive item, however worth it. My notions on EC were limited before reading this book, but once you start reading you have the sensation that you are learning.
The first part "Concepts and applications" is well written and the sequence of articles is presented in a logical fashion. The second part "EC for specific risks" gives you a good flavor of what people are doing (and how they are doing it) on the different risk types. The articles are good and not too technical, although I wish there were more examples. The third part "EC Methodologies" is very technical, and recommended to experts on the matter.
4 of 4 people found the following review helpful:
4.0 out of 5 stars
Helpful resource for banking professionals struggling with Economic Capital,
By SF Native "SF Native" (San Francisco, Ca) - See all my reviews
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This review is from: Economic Capital: A Practitioner Guide (Hardcover)
As another reviewer notes, this book is a collection of articles about Economic Capital. It provides a good selection of articles, enabling the reader to get a sense of what other financial institutions are doing about selected elements of economic capital calculation (e.g., AVC calculations or diversification benefit calculation.) However, since it is not a text book on economic capital there is no over-arching framework for how to manage or calculate economic capital. Instead, it will give the reader ideas about how to think about different elements without providing a higher level thesis or framework.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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loss prioritisation, spectral risk measure, economic capital methodologies, key risk drivers, economic capital methodology, expected exposure profile, transaction exposure method, securitisation tranches, potential loss distribution, active credit portfolio management, economic capital model, single systematic risk factor, operational risk management framework, ultimate cashflows, single systematic factor, volatility allocation, coherent risk measures, capital risk weight, pool notional, allocating economic capital, tranche notional, heterogeneous portfolio, capital multiplier, comparable portfolio, homogeneous portfolio Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Basel Committee, Bank of America, Working Paper, Basel Accord, Journal of Risk, Banking Finance, Banking Supervision, Deutsche Bank, New York, Technical Document, Bank Supervision, Revised Framework, Continuation of Example, Credit Suisse Financial Products, Risk Contr, Analytical Model, Asset Securitisations, Coherent Allocation of Risk Capital, Lecture Notes, Random Tranches New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
loss prioritisation, spectral risk measure, economic capital methodologies, key risk drivers, economic capital methodology, expected exposure profile, transaction exposure method, securitisation tranches, potential loss distribution, active credit portfolio management, economic capital model, single systematic risk factor, operational risk management framework, ultimate cashflows, single systematic factor, volatility allocation, coherent risk measures, capital risk weight, pool notional, allocating economic capital, tranche notional, heterogeneous portfolio, capital multiplier, comparable portfolio, homogeneous portfolio Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Basel Committee, Bank of America, Working Paper, Basel Accord, Journal of Risk, Banking Finance, Banking Supervision, Deutsche Bank, New York, Technical Document, Bank Supervision, Revised Framework, Continuation of Example, Credit Suisse Financial Products, Risk Contr, Analytical Model, Asset Securitisations, Coherent Allocation of Risk Capital, Lecture Notes, Random Tranches New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 18
books:
See all 18 books this book cites
2
books
cite this book:
- An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) by Christian Bluhm on page 166, and page 312
- Probability and Measure, 3rd Edition by Patrick Billingsley on page 273
- Probability: Theory and Examples (Probability: Theory & Examples) by Richard Durrett on page 300
- Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann by Klaus Sandmann on page 228
- Principles of Corporate Finance (McGraw-Hill/Irwin Series in Finance, Insurance, and Real Est) by Richard A. Brealey on page 85
See all 18 books this book cites
- Performance Measurement in Financial Institutions in an ERM framework (Bloomberg) by Ashish Dev on page 123
- The Advanced Measurement Approach to Operational Risk by Ellen Davis on page 294
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