title: Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage
metadata.name: dc.contributor.author
metadata.value: Berezinets, Irina V.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Loginova, Anastasiya S.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2021-11-25T20:37:14Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2021-11-25T20:37:14Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2021-10
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Berezinets I. V., Loginova A. S. Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage. Contributions to Game Theory and Management, XIV, 20-37.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: https://doi.org/10.21638/11701/spbu31.2021.02
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/33670
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Both the estimation of economic capital for bank's credit risk
  coverage, and the allocation of economic capital by sources in order to determine
  the contribution of individual elements to total credit risk play an
  important role in the area of risk management of a bank. The estimation of
  a bank's economic capital for credit risk coverage serves as a starting point
  in the management of a bank's credit risk, while the allocation of economic
  capital to cover credit risk among individual elements allows to answer the
  question of how individual elements contribute to the total credit risk of a
  bank, which makes it possible to take certain decisions on credit risk management
  based on the obtained results of allocation. Nowadays, there are
  various theoretical methods and approaches to solve this nontrivial issue.
  The authors of the article attempted to implement them in practice, to estimate
  economic capital for credit risk coverage of a commercial bank and
  to allocate it among elements. This problem was solved applying the Euler
  allocation method and kernel regression.
metadata.lang: en_GB
metadata.name: dc.description.sponsorship
metadata.value: This work was supported by Saint Petersburg State University under grants No 60419633
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: en
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Contributions to Game Theory and Management;Volume 14
metadata.lang: -
metadata.name: dc.subject
metadata.value: economic capital
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: allocation
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: credit risk
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: corporate borrowers
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 20-37.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/33670/1/20-37.pdf
resources.format: Adobe PDF
resources.size: 529,89 kB