金融機関と金融コングロマリットにとっての経済資本<br>Economic Capital and Financial Risk Management for Financial Servicees Firms and Conglomerates (Finance and Capital Markets)

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金融機関と金融コングロマリットにとっての経済資本
Economic Capital and Financial Risk Management for Financial Servicees Firms and Conglomerates (Finance and Capital Markets)

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  • 製本 Hardcover:ハードカバー版／ページ数 319 p.
  • 言語 ENG
  • 商品コード 9781403936080
  • DDC分類 332.10681

基本説明

A unique feature of the book is that, for the first time, the economic capital requirements of financial services firms across the entire risk spectrum, from the short end to the long end, are considered in one book.

Full Description

The authors present a comprehensive and timely discussion of economic capital and financial risk management for financial services firms and conglomerates. Topics covered include: the different types of risks that firms collect; risk governance issues; how stress testing can be used to measure risk; the provision of a clear and precise definition of economic capital; the different types of capital that are eligible to back regulatory capital, and; the development of models that can be used to estimate a firm's economic capital requirements. A unique feature of the book is that, for the first time, the economic capital requirements of financial services firms across the entire risk spectrum, from the short end to the long end, are considered in one book. The authors develop models to estimate the economic capital requirements of banks, asset management firms, life and non-life insurance firms, pension funds, and the financial services conglomerates that comprise these firms. Economic capital is compared to regulatory capital and regulatory capital arbitrage is discussed. The diversification benefit present in financial services conglomerates is quantified and the practical management of this diversification benefit is dealt with. The authors give new insights into capital management and performance measurement for financial services conglomerates and provide detailed descriptions of the main financial services firm regulatory capital changes that are ongoing at the time of writing. This superb and original book charts new ground in the practical application of economic capital for financial services firms and conglomerates. It is required reading for all capital allocation and risk professionals.

Contents

Preface. Introduction Risk Types, Collection and Mitigation Risk Governance Stress Testing to Measure Risk Economic Capital Types of Capital The Stochastic Model Economic Capital for Banks Economic Capital for Non Profit Life Insurance Firms and General Insurance Firms Economic Capital for Asset Management Firms Economic Capital for With Profits Life Insurance and Pension Funds Financial Services Conglomerates Capital Management and Performance Measurement in Practice Regulatory Change Summary and Conclusions References Appendices