labfans
2010-04-23, 02:43
Economic capital (EC), the amount of capital that an organization must set aside to offset potential losses, is a key metric for many European banks and financial institutions. It is also a central requirement of Pillar 2 of the Basel II regulatory framework. While Capgemini and many of its clients view EC as the best measure of risk inherent in a portfolio, calculating EC is not a straightforward analytical exercise. Portfolios heavily weighted in a particular sector, for example, carry a significant amount of concentration risk, complicating EC analysis.
更多... (http://www.mathworks.com/company/newsletters/digest/2010/mar/calculating-economic-capital.html)
更多... (http://www.mathworks.com/company/newsletters/digest/2010/mar/calculating-economic-capital.html)