On the computation of the capital multiplier in the Fortis Credit Economic Capital model

Authors
  • R. Koch
Publication date 2003
Journal Belgian Actuarial Bulletin
Volume | Issue number 3 | 1
Pages (from-to) 50-57
Number of pages 7
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract One of the key parameters in the computation of Credit Economic Capital is the so called capital multiplier. In the light of an existing variance-covariance framework we propose a methodology rather than using a benchmark number. The paper provides an algorithm in doing so.
Document type Article
Language English
Published at http://www.belgianactuarialbulletin.be/articles/vol03/06-Dhaene.pdf
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