"Unifying risk and regulation" series :
Economic Capital

Date : This event took place on 9th September 2010

event summary

The “Unifying risk and regulatory reporting” webinar series is designed to explain the issues associated with the ‘new’ regulatory environment that requires a significant amount of risk information as part of the standard regulatory reports.

During this webinar session FRSGlobal CoR²Experts focused on the topic of economic capital.

Banks as well as regulators have been increasingly interested in the topic of economic capital as an advanced and integrated measure combining all major risk types.

Economic capital is one of the most important aspects of Pillar II requirements as well as the key component to assessing banks risk internally.

Learn about how to achieve a sound economic capital figure by understanding the building blocks it is based on and how it can be measured and aggregated.

The webinar’s key elements included:

  • What is Economic capital (EC)?
  • EC measurement:
    • Risk Components
    • Risk Measures, Horizon, Valuation
    • VaR Analysis
    • Aggregation versus Integration
  • Risk Components
  • Credit Portfolio Risk (CPR) Models
  • Risk Adjusted Models: RAPM, RAROC

Economic Capital
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Details

Economic Capital

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Full details of the FRSGlobal Riskpro Economic Capital solution

Note

Attendees automatically receive a summary of the webinar, complete with results of on-line polls and questions submitted during the Q&A session, the PowerPoint slides used during the presentation, and a link to a recording of the webinar.

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