Hi @David Harper CFA FRM
I am currently reading the Risk Capital Attribution and RAPM part.
On the Risk Capital, how do we calculate the risk capital for credit risk , market risk and Operational Risk.
I recall that for Op. Risk , we are using the loss distribution approach to obtain the loss distribution ( the economic capital is the difference between the EL and the X% VaR).
How do we process for Market and Credit Risk ? Which model enables us to calculate the economic capital.
How banks calculate their economic capital ? Do they proceed by business unit and then sum up ?
I am currently reading the Risk Capital Attribution and RAPM part.
On the Risk Capital, how do we calculate the risk capital for credit risk , market risk and Operational Risk.
I recall that for Op. Risk , we are using the loss distribution approach to obtain the loss distribution ( the economic capital is the difference between the EL and the X% VaR).
How do we process for Market and Credit Risk ? Which model enables us to calculate the economic capital.
How banks calculate their economic capital ? Do they proceed by business unit and then sum up ?
