Economic Capital For Market Risk

A survey of market trends

The financial crisis has focused institutions’ minds on how they measure risk. In this survey we examine the methodologies used by major banks to quantify their economic capital for market risk and what changes they are planning to make.

The use of Economic Capital (“EC”) as a key risk and performance management tool is becoming increasingly pervasive. Alongside developments in EC, the measurement of regulatory capital is becoming more quantitatively based and in

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