| Description: |
Economic capital management ranks as one of the key risk management techniques used in financial institutions to limit exposure to loss. However, as demonstrated by the current global economic turmoil, many financial institutions (such as AIG or Lehman Brothers) failed to either implement or properly monitor risk management procedures. The focus of this project is to investigate the economic capital modelling of financial institutions during and after the latest global financial crisis. This project will primarily concentrate on the significant role of liquidity and operational risks that serve as the pivot point on which the financial crisis rests. In terms of economic capital and risk modelling, standard methodologies such as value-at-risk, copula functions, coherent risk measures and stress testing will be applied. Consequently, this project will present risk management recommendations relevant to academics, financial institutions and financial market regulators in the field of economic capital modelling with primary focus on the impact of extreme events. |
