Economic Capital

Pieter Klaassen and Idzard van Eeghen
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Pieter Klaassen: Managing Director of Firmwide Risk Aggregation at UBS A.G. He holds a PhD in operations research from the MIT Sloan School of Management.
Idzard van Eeghen: Group Senior Vice President of Integrated Risk Management at ABNAMRO Bank N.V. Mr. Eeghen holds two degrees: masters in economics and masters in financial economics.

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations. Economic Capital: How It Works and What Every Manager Needs to Know presents new ways to define, measure, and implement management strategies by using recent examples, many from the sub-prime crisis. The authors also discuss the role of economic capital within the broader context of management responsibilities and activities as well as its relation to other risk management tools that are available to the modern risk manager. Explains ways to use economic capital in balancing risk and return Evaluates solutions to problems encountered in establishing an economic capital framework Emphasizes intuition Draws special attention to embedding risk modelling approaches within economic capital frameworks

Date: 2009 Originally published 2009-06-23.
Edition: 1
ISBN: 978-0-12-374901-7
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