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- DescriptionDiscusses 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. This book explains ways to use economic capital in balancing risk and return; and emphasizes intuition.
- Author BiographyBy 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. He has global responsibility for development and refinement of economic capital models for credit, country, market, operational, interest-rate and business risk. In this position he has close interaction with business, finance, ALM and other risk management departments concerning the application of these models for performance, risk, portfolio and capital management. He is also responsible for quantification of EC for additional risks, and establishment of internal capital adequacy assessment and global responsibility for development and refinement of the bank's counterparty exposure methodologies for derivatives. Idzard van Eeghen is 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 his current position he is responsible for managing the Group's country risk exposure; policies and use of economic capital including stress testing and loan pricing tools; risk disclosure; development and introduction of Enterprise Risk Management (ERM).
- Author(s)Idzard van Eeghen,Pieter Klaassen
- PublisherElsevier Science Publishing Co Inc
- Date of Publication23/06/2009
- GenreFinance & Accounting
- Country of PublicationUnited States
- ImprintElsevier Science Publishing Co Inc
- Weight540 g
- Width152 mm
- Height229 mm
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