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Economic Capital
book

Economic Capital

by Pieter Klaassen, Idzard van Eeghen
May 2009
Intermediate to advanced
304 pages
11h 58m
English
Elsevier Science
Content preview from Economic Capital

Endnotes

1 M. Thomas, R. McManus, Rallying value February 2008 www.financialworld.co.uk

2 Cummins et al. find that the drop in market value within a time window around the disclosure of an operational loss is around four times as large as the operational loss itself for US banks, and around 2.5 times as large for US insurers J.D. Cummins, C.M. Lewis, R. Wei, The market value impact of operational loss events for US banks and insurers Journal of Banking & Finance 30 20062605-2634

Using longer time windows after a loss disclosure, Dunnett et al. find that losses in market value of banks exceed 10 times the size of the disclosed operational loss R.S. Dunnett C.B. Levy A.P. Simoes Managing operational risk in banking The McKinsey Quarterly 1 ...

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Publisher Resources

ISBN: 9780123749017