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  • © 2006

Economic Capital and Financial Risk Management for Financial Services Firms and Conglomerates

Palgrave Macmillan

Part of the book series: Finance and Capital Markets Series (FCMS)

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eBook USD 259.00
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  • ISBN: 978-0-230-51270-2
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  • Tax calculation will be finalised during checkout
Softcover Book USD 379.99
Price excludes VAT (USA)
Hardcover Book USD 335.00
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Table of contents (15 chapters)

  1. Front Matter

    Pages i-xxi
  2. Introduction

    • Bruce T. Porteous, Pradip Tapadar
    Pages 1-4
  3. Risk Types, Collection and Mitigation

    • Bruce T. Porteous, Pradip Tapadar
    Pages 5-20
  4. Risk Governance

    • Bruce T. Porteous, Pradip Tapadar
    Pages 21-33
  5. Stress Testing to Measure Risk

    • Bruce T. Porteous, Pradip Tapadar
    Pages 34-41
  6. Economic Capital

    • Bruce T. Porteous, Pradip Tapadar
    Pages 42-51
  7. Types of Capital

    • Bruce T. Porteous, Pradip Tapadar
    Pages 52-57
  8. The Stochastic Model

    • Bruce T. Porteous, Pradip Tapadar
    Pages 58-92
  9. Banks

    • Bruce T. Porteous, Pradip Tapadar
    Pages 93-130
  10. Non Profit Life and General Insurance Firms

    • Bruce T. Porteous, Pradip Tapadar
    Pages 131-162
  11. Asset Management Firms

    • Bruce T. Porteous, Pradip Tapadar
    Pages 163-165
  12. With Profits Life Insurance and Pension Funds

    • Bruce T. Porteous, Pradip Tapadar
    Pages 166-219
  13. Financial Services Conglomerates

    • Bruce T. Porteous, Pradip Tapadar
    Pages 220-236
  14. Capital Management and Performance Measures

    • Bruce T. Porteous, Pradip Tapadar
    Pages 237-261
  15. Regulatory Change

    • Bruce T. Porteous, Pradip Tapadar
    Pages 262-288
  16. Summary and Conclusions

    • Bruce T. Porteous, Pradip Tapadar
    Pages 289-289
  17. Back Matter

    Pages 290-321

About this book

The authors present a comprehensive and timely discussion of economic capital and financial risk management for financial services firms and conglomerates. Topics covered include: the different types of risks that firms collect; risk governance issues; how stress testing can be used to measure risk; the provision of a clear and precise definition of economic capital; the different types of capital that are eligible to back regulatory capital, and; the development of models that can be used to estimate a firm's economic capital requirements. A unique feature of the book is that, for the first time, the economic capital requirements of financial services firms across the entire risk spectrum, from the short end to the long end, are considered in one book. The authors develop models to estimate the economic capital requirements of banks, asset management firms, life and non-life insurance firms, pension funds, and the financial services conglomerates that comprise these firms. Economic capital is compared to regulatory capital and regulatory capital arbitrage is discussed. The diversification benefit present in financial services conglomerates is quantified and the practical management of this diversification benefit is dealt with. The authors give new insights into capital management and performance measurement for financial services conglomerates and provide detailed descriptions of the main financial services firm regulatory capital changes that are ongoing at the time of writing. This superb and original book charts new ground in the practical application of economic capital for financial services firms and conglomerates. It is required reading for all capital allocation and risk professionals.

Keywords

  • asset management
  • financial risk management
  • Pension Funds
  • Risk Management
  • investments and securities

About the authors

BRUCE PORTEOUS is currently Head of Financial Risk with Standard Life Bank in Edinburgh, Scotland. He has a degree in Mathematical Statistics from Edinburgh University, Scotland, and postgraduate degrees, including a PhD, in Mathematical Statistics from Cambridge University, England. He is a Fellow of the Faculty of Actuaries in Scotland and a Fellow of the Actuarial Society of India. His business exposure includes Marketing, Corporate Finance, Corporate Development, International Development and Risk Management experience with Standard Life in the life insurance, retail banking, health insurance and asset management financial services sectors. He has also gained international M & A, corporate restructuring and market entry experience with Tillinghast Towers Perrin in London.

PRADIP TAPADAR is a Research Associate at the Genetics and Insurance Research Centre at Heriot Watt University in Edinburgh, Scotland. He is currently pursuing a PhD in Genetics and Insurance and has a degree, and a postgraduate degree, in Mathematical Statistics from the Indian Statistical Institute, Calcutta, India. He also has a post graduate degree in Actuarial Mathematics from Heriot Watt University. He is a Fellow of the Faculty of Actuaries in Scotland and a Fellow of the Actuarial Society of India. His business exposure includes life insurance Marketing and Corporate Finance experience with HDFC Standard Life Insurance Company, a joint venture life insurance firm formed by Standard Life and HDFC, based in Mumbai, India. He has similar UK experience gained with Standard Life in Edinburgh, Scotland.

Bibliographic Information

Buying options

eBook USD 259.00
Price excludes VAT (USA)
  • ISBN: 978-0-230-51270-2
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 379.99
Price excludes VAT (USA)
Hardcover Book USD 335.00
Price excludes VAT (USA)