An Introduction to Economic Capital

Mohan Bhatia

Published by Risk Books, 2009
ISBN 10: 190634809X / ISBN 13: 9781906348090
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Synopsis: With the Basel II and Solvency II framework in place, all types of financial intermediaries are preparing to implement economic capital measurement at some level of granularity.
This new addition to the Risk Books Introductory Series identifies the basic building blocks for economic capital measurement. It familiarises and trains a newcomer to the economic capital building blocks, computation approaches and taxonomy, risk measures, risk aggregation, distribution, correlation and dependency structures, risk mitigation, simulation and basic modelling techniques necessary for an institution to invent their own techniques and parameters for modelling economic capital for various types of risks.
The primer format will enable new entrants to quickly grasp the fundamental concepts, and covers:


  • Economic capital: the purpose and objectives
  • Credit risk
  • Insurance risk
  • Market risk
  • Operational risk
  • Liquidity risk
  • Correlations and approximations

Recommended for risk managers, compliance officers, information technology planners and implementers, front and middle office personnel and students of Financial Engineering and Financial Risk Management courses.

About the Author: Mohan Bhatia MS, FRM is Managing Principal heading Risk, Performance and Compliance Practice at Oracle Financial Services Consulting spearheading consulting for Basel II, Solvency II, Risk quantification and Compliance for BFSI. Mohan has provided consulting to tens of institutions in Americas, Europe, Middle East, Africa and Asia Pacific enabling them to measure and manage risk, performance and compliance. Mohan is co-editor of Journal of Risk Model Validation.

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Bibliographic Details

Title: An Introduction to Economic Capital
Publisher: Risk Books
Publication Date: 2009
Book Condition: very good

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