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Nematrian Reference Library

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Summary (partial) "This Specialty Guide is designed to be a source of information for practitioners interested in: (a) Learning more about the subject of Economic Capital (EC), (b) Finding out about current market practices in this area, and (c) Getting acquainted with available literature on this topic. The Specialty Guide has been put together by members of the Economic Capital subgroup of the Risk Management Task Force, using the results of a 2002 Survey on Economic Capital conducted by the subgroup, and their experiences with Economic Capital. We would like to point out that this Specialty Guide is not intended to represent only Best Practices in the marketplace, but rather to outline current practices commonly in use. Best Practices will be described in a subsequent paper on this topic (yet to be developed). The Specialty Guide addresses the following topics: (1) Definition of Economic Capital, (2) Uses of Economic Capital in the current marketplace, (3) Tie-in of Economic Capital to Regulatory / Rating Agency Capital, (4) Current approaches to calculating Economic Capital, and (5) Current approaches to allocating Economic Capital. A summary of the answers obtained from the industry survey, as well as a review and discussion of available literature is provided in two separate Appendices."

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