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Economic Capital Model Interview
- Thread starter snowwoman
- Start date
- Joined
- 1/27/10
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I could be wrong, but I'd be ready to talk about
a) risk metrics (VaR, stress)
b) return-on-capital measures
c) EVA
d) portfolio strategies (QP, possibly)
e) extreme value theory (remember, places look at the 99.99 tail)
f) regulatory capital
i) T1C, AT1, T2
ii) RWA
iii) leverage
a) risk metrics (VaR, stress)
b) return-on-capital measures
c) EVA
d) portfolio strategies (QP, possibly)
e) extreme value theory (remember, places look at the 99.99 tail)
f) regulatory capital
i) T1C, AT1, T2
ii) RWA
iii) leverage
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