Range of Practices and Issues in Economic Capital Frameworks contains 31 pages covering the following learning objectives:
** Within the economic capital implementation framework, describe challenges that appear in:
* Defining and calculating risk measures
* Risk aggregation
* Validation of models
* Dependency modeling in credit risk
* Evaluating counterparty credit risk
* Assessing interest rate risk in the banking book
** Describe the BIS recommendations that supervisors should consider to make effective use of internal risk measures, such as economic capital, not
designed for regulatory purposes.
** Explain benefits and impacts of using an economic capital framework within the following areas:
* Credit portfolio management
* Risk based pricing
* Customer profitability analysis
* Management incentives.
**Describe best practices and assess key concerns for the governance of an economic capital framework.
After reviewing the notes you will be able to apply what you learned with practice questions.Shop Courses