Economic Capital: An Alternate Copula-Free Approach

Economic capital models are getting increasingly complex. An alternate copula-free approach is presented that 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.

Source
Society of Actuaries (US)
Length of Resource
50 pages
Author
Jawwad Ahmed Farid
Date Published
Publication Type
paper
Resource Type
academic

ResourceID: 142262

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