Economic Capital: How It Works, and What Every Manager Needs to Know - Tapa dura

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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).

De la contraportada

"Finally, a book that goes beyond an academic explanation of economic capital, but one that actually explains how to use it."

--Terry Bulger, EVP, Risk Analytics & Portfolio Management, Bank of Montreal

I recommend this book to anyone interested in implementing or just studying economic capital."

--Chris Matten, Partner, PricewaterhouseCoopers LLP

"While there is growing criticism of internal models due to the turbulent times, Pieter Klaassen and Idzard van Eeghen help to bring a fair and balanced perspective to the debate, putting economic capital models in the proper context."

--Thomas Wilson, Chief Risk Officer, Allianz SE, Germany

Economic capital has been widely adopted by financial institutions and by their regulators as comprehensive measure of risk. In many institutions, it fulfills a central role in capital adequacy assessment, risk management, and performance management. Economic Capital: How It Works and What Every Manager Needs to Know clarifies how economic capital can be defined, measured, and implemented in a manner that adds value to an organization. It does so in a way that is accessible to a broad audience, including senior managers of financial institutions, supervisors, analysts, and risk modelers. The book illustrates main concepts and choices with many examples and actual events in financial markets, including those in the recent sub-prime crisis. The authors also discuss the role of economic capital within the broader context of management responsibilities and activities, and its relation to other risk management tools that are available to the modern risk manager.

Pieter Klaassen is Managing Director of Firmwide Risk Aggregation at UBS A.G.. He holds a PhD in operations research from the MIT Sloan School of Management.

Idzard van Eeghen is Group Senior Vice President of Integrated Risk Management at ABNAMRO Bank N.V. He holds two degrees: masters in economics and masters in financial economics.