Economic Capital
How It Works, and What Every Manager Needs to Know
- 1st Edition - June 23, 2009
- Latest edition
- Authors: Pieter Klaassen, Idzard van Eeghen
- Language: English
Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations. Economic Capital: How It Works and Wh… Read more
Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations. Economic Capital: How It Works and What Every Manager Needs to Know presents new ways to define, measure, and implement management strategies by using recent examples, many from the sub-prime crisis. The authors also discuss the role of economic capital within the broader context of management responsibilities and activities as well as its relation to other risk management tools that are available to the modern risk manager.
- Explains ways to use economic capital in balancing risk and return
- Evaluates solutions to problems encountered in establishing an economic capital framework
- Emphasizes intuition
- Draws special attention to embedding risk modelling approaches within economic capital frameworks
Senior managers in banks, insurers, supervisors and regulators, risk professionals, and analysts
1. Measuring the Unexpected: Understanding Economic Capital2. Show Me the Money: The Purpose of Economic Capital3. You Manage What You Measure: Defining Economic Capital4. Running the Numbers: Measuring Economic Capital5. Facing Reality: Implementing Economic Capital6. Team play: Economic Capital and its Context7. What’s Next? The Future of Economic Capital
- Edition: 1
- Latest edition
- Published: June 23, 2009
- Language: English
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Pieter Klaassen
By Pieter Klaassen, Managing Director of Firmwide Risk Aggregation at UBS A.G. He holds a PhD in operations research from the MIT Sloan School of Management. He has global responsibility for development and refinement of economic capital models for credit, country, market, operational, interest-rate and business risk. In this position he has close interaction with business, finance, ALM and other risk management departments concerning the application of these models for performance, risk, portfolio and capital management. He is also responsible for quantification of EC for additional risks, and establishment of internal capital adequacy assessment and global responsibility for development and refinement of the bank’s counterparty exposure methodologies for derivatives.
Affiliations and expertise
Managing Director of Firmwide Risk Aggregation at UBS A.G. He holds a PhD in operations research from the MIT Sloan School of Management.Iv
Idzard van Eeghen
Idzard van Eeghen is Group Senior Vice President of Integrated Risk Management at ABNAMRO Bank N.V. Mr. Eeghen holds two degrees: masters in economics and masters in financial economics. In his current position he is responsible for managing the Group’s country risk exposure; policies and use of economic capital including stress testing and loan pricing tools; risk disclosure; development and introduction of Enterprise Risk Management (ERM).
Affiliations and expertise
Group Senior Vice President of Integrated Risk Management at ABNAMRO Bank N.V. Mr. Eeghen holds two degrees: masters in economics and masters in financial economics.Read Economic Capital on ScienceDirect