Год выпуска: 2005 Автор: Bruce Porteous, Pradip Tapadar Издательство: Страниц: 300 ISBN: 1403936080
Описание
The authors present a comprehensive and timely discussion of economic capital and financial risk management for financial services firms and conglomerates. Topics covered include: *the different types of risks that firms collect; *risk governance issues;*how stress testing can be used to measure risk; *the provision of a clear and precise definition of economic capital; *the different types of capital that are eligible to back regulatory capital, and; *the development of models that can be used to estimate a firms economic capital requirements. A unique feature of the book is that, for the first time, the economic capital requirements of financial services firms across the entire risk spectrum, from the short end to the long end, are considered in one book. The authors develop models to estimate the economic capital requirements of banks, asset management firms, life and non-life insurance firms, pension funds, and the financial services conglomerates that comprise these firms....
