Economic Capital Modeling

This book contains papers that developed out of a Working Group on Economic Capital Models that was formed by three Dutch banking or insurance associations. The book seeks to assess the state of economic capital modeling in conglomerates that combine financial and insurance business lines.

The book is largely non-technical, which means it is an easy read but not particularly sophisticated. The focus is Dutch companies, but practice is similar in other countries. A shortcoming of the book is its repetitiveness. Topics are covered over and over, in much the same way, in different chapters. With editing, the content could have been boiled down to a medium-length journal article.

Contents

Economic capital: an overview

Risk measurement within financial conglomerates

Appropriate risk measures: Time horizon and valuation principles in economic capital models

Diversification and aggregation of risks in financial conglomerates

A survey of economic capital implementation

A supervisory view on economic capital models

There are better books on economic capital, but this one might make nice supplementary reading. Readers with an interest in insurance economic capital modeling may find the book especially relevant. [November 18, 2006]

 

For related books, see sections:

Risk Management - Market Risk

Risk Management - Credit Risk

Risk Management - Operational Risk

Risk Management - Asset-Liability Management

Risk Management - Capital Allocation

 

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