- 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
Chapter 2: Show Me the Money: The Purpose of Economic Capital
Chapter 3: You Manage What You Measure: Defining Economic Capital
Chapter 4: Running the Numbers: Measuring Economic Capital
Chapter 5: Facing Reality: Implementing Economic Capital
Chapter 6: Team play: Economic Capital and its Context
Chapter 7: What's Next? The Future of Economic Capital
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.
van Eeghen, Idzard
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).