Customer Reviews

Economic Capital: A Practitioner Guide

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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.

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.