Capital Management and Risk Weighted Asset

Colin Chen
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Colin Chen: Data Science and Analytics Consultants

Chapter 5 in Practical Credit Risk and Capital Modeling, and Validation, 2024, pp 203-253 from Springer

Abstract: Abstract This chapter is a continuation of Sect. 1.3 on capital management by focusing on the credit products. Following the framework introduced in Sect. 1.3 , we cover both regulatory capital and economic capital. For both areas, we will go deeper into the modeling techniques introduced in Chap. 3 and show how those techniques are implemented in capital calculation.

Date: 2024
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DOI: 10.1007/978-3-031-52542-1_5

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