economic-capital

Learning Objectives: Describe and apply the Vasicek model to estimate default rate and credit risk capital for a bank. Describe the CreditMetrics model and explain how it is applied in estimating economic capital. Describe and use the Euler’s theorem to determine the contribution of a loan to...

Learning Objectives: Explain the distinctions between economic capital and regulatory capital and describe how economic capital is derived. Describe the degree of dependence typically observed among the loan defaults in a bank’s loan portfolio and explain the implications for the portfolio’s...

Learning outcomes: Identify the major risks faced by banks and explain ways in which these risks can arise. Distinguish between economic capital and regulatory capital. Summarize the Basel Committee regulations for regulatory capital and their motivations. Explain how deposit insurance gives...

1.31 Could you please explain the purpose of economic capital, why isn't is to absorb unexpected loss and tail loss?

Learning objectives: Describe how economic capital is derived. Explain how the credit loss distribution is modeled. Describe challenges to quantifying credit risk. Questions: 922.1. Consider a credit portfolio that contains three positions. The exposure (EAD) of each position is $10.0 million...

I apologize in advance if this is not the right post. A quick question about EVA (Economic Value Added). Study notes Crouhy, Page 17 - it is defined as : EVA (economic value added), or NIACC (net income after capital charge), is the after-tax adjusted net income less a capital charge equal to...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...