Table of contents Introduction Ashish Dev (KeyCorp) Section 1: ECONOMIC CAPITAL: CONCEPTS AND APPLICATIONS 1. Background on Economic Capital John Walter (Bank of America) 2. Volatility and Capital: Measures of Risk Gary Wilhite (Wachovia) 3. Conceptual Framework for Economic Capital Models and Required Inputs Michel Araten (JPMorgan Chase) 4. Recovery Risk and Economic Capital Jon Frye (Federal Reserve Bank of Chicago) 5. The Significance of Economic Capital to Financial Institutions Vandana Rao (Indiana University East) Section 2: ECONOMIC CAPITAL FOR SPECIFIC RISKS 6. Economic Capital for Retail Credit Card Portfolios Geoff Rubin (Capital One) 7. Economic Capital for Counterparty Credit Risk Evan Picoult; David Lamb (Citigroup, Morgan Stanley) 8. Economic Capital for Securitisations Michael Pykhtin (KeyCorp) 9. Economic Capital for Market Risk David R. Koenig (PRMIA) 10. Measuring and Calculating Economic Operational Risk Capital Anthony Peccia (RCM Risk Management) Section 3: ECONOMIC CAPITAL METHODOLOGIES: MATHEMATICAL TREATMENT 11. A Fundamental Look at Economic Capital and Risk-Based Profitability Measures Sebastian Fritz, Michael Kalkbrener and Wilfried Paus (Deutsche Bank AG) 12. A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules Michael B. Gordy (Board of Governors of the Division of Research and Statistics and Federal Reserve System) 13. Allocating Portfolio Economic Capital to Sub-Portfolios Dirk Tasche (Deutche Bundesbank) 14. Spectral Capital Allocation Ludger Overbeck (University of Giessen) 15. Evaluating Design Choices in Economic Capital Modelling: A Loss Function Approach Nick Keifer; Eric Larson (Cornell University; Office of the Controller of the Currency)
Ashish Dev is executive vice president of risk management, at KeyCorp. He is group head of Enterprise Risk Management, which includes economic capital allocations, Basel II coordination, data warehousing, credit underwriting models, strategic analytics and credit portfolio management along with operational risk. As a member of all the three high-level risk committees of KeyCorp viz. ALCO, CREDCO and ORCO, he is involved in decision making in all areas of risk in the bank. Ashish has been the prime mover in establishing enterprise-wide risk-adjusted product pricing and performance measurement and in creating a new credit portfolio management function in the bank. Prior to joining KeyCorp, Ashish was head of quantitative research and analysis in Bank One. Ashish has a PhD in economics and holds the CFA professional designation.
"The book should be required reading for anyone who is in a decision-making position at financial institutions... Economic Capital A Practitioner Guide is destined to be the gold standard reference book in this arena. I highly and unreservedly recommend it." John Mingo, Managing Director, Mingo & Co., Formerly, Senior Advisor, Board of Governors, Federal Reserve System "The methodologies for developing and implementing economic capital will be further improved over time, making Economic Capital a standard tool for risk and capital management." Hubert Mueller, Principal, Towers Perrin
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