Download or read book Integrated Risk Management Framework & Basel-Ii written by Subramanian Venkataraman and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper aimed at developing a conceptual framework for extending the Basel-II compliance initiatives by banks to achieve core enterprise objectives through practice of integrated risk management. Major coverage included the essential components of such integrated risk management system and the challenges of transition from regulatory capital to economic capital based system. An empirical analysis of copula based risk aggregation and its comparison with traditional correlation revealed appreciable differences calling for focused attention on the latest developments in this front. The conceptual problems associated with current practice by large banks of using bank-wide cost of capital as target to be achieved by business units and its potential side-effects of subsidizing highly risky businesses at the cost of less risky businesses leading to perverse outcome were highlighted.