Home  Journals  Finance and Credit  3(435) - 2011 January

Conceptual approach to making models of economic capital evaluation

Available online: 24 January 2011

Subject Heading: Banking

JEL Classification: 

The author suggests a conceptual approach to making models of economic capital evaluation in a commercial bank considering the demands of Basel Agreement II. The approach is based on modern risk concept, concept of capital risk value (VaR), stress-testing, stimulating response, etc. Classification of models for economic capital estimation is given, demands to abovementioned models are stated, the most acceptable models for Russian conditions based. As a result it is concluded that a regulative component of capital efficiency evaluation system is supplemented with an economic one that meets the requirements of international regulator and will increase the stability of national bank system.

Keywords: economic capital, the concept of economic capital, Basel’s Committee on bank supervision, Bazel Agreement II, models of economic capital, probabilistic model, logical-and-probabilistic model, concept of capital risk value, unexpected losses, stress-testing

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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