Unexpected loss, expected profit, and economic capital: A note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target
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DOI: 10.1016/j.frl.2020.101481
Abstract: Abstract We compare the traditional calculation of economic capital for credit default losses with a more comprehensive one based on the bank's (net) profit from credit business as accounted for in the bank's P&L statement.… read more here.
Keywords: capital; economic capital; profit; roe target ... See more keywords