Basel II Compliance and Risk Management Analysis: Calculating Economic Capital - MATLAB爱好者论坛-LabFans.com

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.

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2010-04-23, 02:43	#1
labfans 论坛管理员注册日期: 2007-04-03 帖子: 784 声望力: 5	Basel II Compliance and Risk Management Analysis: Calculating Economic Capital 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...