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Market Risk Economic Capital
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2020
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- Economic capital, market risk, VaR, unexpected loss, time horizon scaling, confidence level scaling
- Permanent URL:
- http://dx.doi.org/10.17613/fe9g-cd34
- Abstract:
- Financial business is exposed to many types of risks due to the nature of business. To guard against the risk, financial institutions must hold capital in proportion to the potential risk. Market risk economic capital is intended to capture the value change due to changes in market risk factors. It is an internal capital reserve to cover unexpected loss due to market movement.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
mrec-11.pdf