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ECONOMIC CAPITAL. AN ALTERNATE COPULA FREE APPROACH.

ECONOMIC CAPITAL. AN ALTERNATE COPULA FREE APPROACH. Economic capital models are getting increasingly complex. An alternate copula free approach is presented which uses accounting data and an ...
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Description: Economic capital models are getting increasingly complex. An alternate copula free approach is presented which uses accounting data and an implicit correlation model to simplify economic capital calculations. Model simplification leads to robust and stable models. A banking case study is used to showcase how the model can be deployed using publicly available accounting data, capital adequacy, leverage ratios and shortfall tools.
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- Authors: Jawwad Farid
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Economic capital

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ECONOMIC CAPITAL. AN ALTERNATE COPULA FREE APPROACH.