Challenges in economic capital modeling

Jose Lopez

FRBSF Economic Letter, 2010, issue jun21

Abstract: Financial institutions are increasingly using economic capital models to help determine the amount of capital they need to absorb unexpected losses. These models typically aggregate capital based on business-level analysis. However, important challenges surround this aggregation as well as other aspects of these models. Supervisors could use these capital calculations when they assess capital adequacy, but they need to be aware of these modeling issues.

Keywords: Capital; Risk management (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.frbsf.org/research-and-insights/public ... ic-capital-modeling/ (text/html)
https://www.frbsf.org/wp-content/uploads/el2010-19.pdf (application/pdf)
https://fraser.stlouisfed.org/title/economic-lette ... ital-modeling-633474

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfel:y:2010:i:jun21:n:2010-19

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in FRBSF Economic Letter from Federal Reserve Bank of San Francisco Contact information at EDIRC.
Bibliographic data for series maintained by Federal Reserve Bank of San Francisco Research Library ().