Economic Capital

Pieter Klaassen

ISBN 10: 0123749018 / ISBN 13: 9780123749017

Published by Elsevier Science Jul 2009, 2009

About this Item

This item is printed on demand - it takes 3-4 days longer - Neuware -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. 304 pp. Englisch.

Seller Inventory # 9780123749017

Bibliographic Details

• Title: Economic Capital
• Publisher: Elsevier Science Jul 2009
• Publication Date: 2009
• Language: English
• ISBN 10: 0123749018
• ISBN 13: 9780123749017
• Binding: Buch
• Condition: Neu
• Dimensions: 238W x 162H x 29D millimeters 238 millimeters width by 162 millimeters height by 29 millimeters depth
• Weight: 604 grams

About this title

Synopsis

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

About the Authors

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.

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).