Economic Capital
How It Works, and What Every Manager Needs to Know
- 1st Edition - May 28, 2009
- Imprint: Elsevier Science
- Authors: Pieter Klaassen, Idzard van Eeghen
- Language: English
- Hardback ISBN:9 7 8 - 0 - 1 2 - 3 7 4 9 0 1 - 7
- eBook ISBN:9 7 8 - 0 - 0 8 - 0 9 5 6 8 0 - 0
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
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Request a sales quoteManagers 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
- Edition: 1
- Published: May 28, 2009
- Imprint: Elsevier Science
- No. of pages: 304
- Language: English
- Hardback ISBN: 9780123749017
- eBook ISBN: 9780080956800
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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