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  1. Nicole Seaman

    P1.T4.922. Quantifying the credit loss distribution (Schroeck)

    Learning objectives: Describe how economic capital is derived. Explain how the credit loss distribution is modeled. Describe challenges to quantifying credit risk. Questions: 922.1. Consider a credit portfolio that contains three positions. The exposure (EAD) of each position is $10.0 million...
  2. N

    Economic Value Added (EVA)

    I apologize in advance if this is not the right post. A quick question about EVA (Economic Value Added). Study notes Crouhy, Page 17 - it is defined as : EVA (economic value added), or NIACC (net income after capital charge), is the after-tax adjusted net income less a capital charge equal to...
  3. Nicole Seaman

    P2.T7.706. Economic capital
