Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements Follows an integrated bottom-up approach central in the most advanced risk modelling practice Provides numerous sample codes in Matlab and R

Produk Detail:

  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Pages : 316 pages
  • ISBN : 0128036117
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKStress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release : 26 November 2016
GET THIS BOOKStress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit,

Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release : 01 November 2016
GET THIS BOOKStress Testing and Risk Integration in Banks

"Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)" provides a comprehensive view of risk management that emphasizes the stress testing process. Using a bottom-up risk integration strategy, the book presents a multi-country bank prototype to assess bank solvency in periods both long (economic capital) and short (liquidity mismatching). Following the perspective of commercial banks, it concentrates on information available in the risk management practice to propose an easy-to-implement statistical framework

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release : 08 February 2019
GET THIS BOOKIFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical

Macrofinancial Stress Testing - Principles and Practices—Background Material

Macrofinancial Stress Testing - Principles and Practices—Background Material
  • Author : International Monetary Fund. Monetary and Capital Markets Department
  • Publisher : International Monetary Fund
  • Release : 29 August 2012
GET THIS BOOKMacrofinancial Stress Testing - Principles and Practices—Background Material

Staff conducted a survey of stress testing practices among selected national central banks and supervisory authorities. The online survey was undertaken in November 2011 as part of the preparatory work for the paper on ?Macrofinancial Stress Testing: Principles and Practices. The survey focused on stress testing for banks, which is more widespread and better established—and practices are therefore easier to compare across countries—but also included questions on stress testing for nonbank financial institutions.

Reverse Stress Testing in Banking

Reverse Stress Testing in Banking
  • Author : Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release : 10 May 2021
GET THIS BOOKReverse Stress Testing in Banking

Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents

Stress Testing at the IMF

Stress Testing at the IMF
  • Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
  • Publisher : International Monetary Fund
  • Release : 05 February 2020
GET THIS BOOKStress Testing at the IMF

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in

Stress-testing the Banking System

Stress-testing the Banking System
  • Author : Mario Quagliariello
  • Publisher : Cambridge University Press
  • Release : 15 October 2009
GET THIS BOOKStress-testing the Banking System

Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
  • Author : Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto
  • Publisher : International Monetary Fund
  • Release : 11 September 2018
GET THIS BOOKMacroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including

Stress Testing in Sub-Saharan Africa

Stress Testing in Sub-Saharan Africa
  • Author : Mindaugas Leika,Hector Perez-Saiz,Ms.Olga Ilinichna Stankova,Torsten Wezel
  • Publisher : International Monetary Fund
  • Release : 11 May 2020
GET THIS BOOKStress Testing in Sub-Saharan Africa

The paper finds that supervisory stress tests are conducted in more than half of sub-Saharan African countries, particularly in western and southern Africa, and that the number of individual stress tests has grown exponentially since the early 2010s. By contrast, few central banks publish assessments of macro-financial linkages; the focus leans more toward discussing trends and weaknesses within the financial sector than on outside risks that may negatively affect its performance.

Macroprudential Solvency Stress Testing of the Insurance Sector

Macroprudential Solvency Stress Testing of the Insurance Sector
  • Author : Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
  • Publisher : International Monetary Fund
  • Release : 22 July 2014
GET THIS BOOKMacroprudential Solvency Stress Testing of the Insurance Sector

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such

Financial Risk Management

Financial Risk Management
  • Author : Jimmy Skoglund,Wei Chen
  • Publisher : John Wiley & Sons
  • Release : 04 September 2015
GET THIS BOOKFinancial Risk Management

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing

CCAR and Beyond

CCAR and Beyond
  • Author : Zhang Jin
  • Publisher : Unknown Publisher
  • Release : 24 January 2022
GET THIS BOOKCCAR and Beyond

This book explores the modelling techniques key to Comprehensive capital analysis and review (CCAR) and the business implications of the programme. Contributions from those directly involved in the implementation and regulation of these assessments provide a unique source of information and insight into the assessment practices. The author brings together industry experts in stress testing and capital assessment to examine the central issues surrounding CCAR including: 1) The design and severity of the macroeconomic scenarios; 2) Commercial and industrial (C&I) and

Designing Effective Macroprudential Stress Tests

Designing Effective Macroprudential Stress Tests
  • Author : Mr. Dimitri G. Demekas
  • Publisher : International Monetary Fund
  • Release : 30 June 2015
GET THIS BOOKDesigning Effective Macroprudential Stress Tests

Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate

Liquidity Stress Tests for Investment Funds: A Practical Guide

Liquidity Stress Tests for Investment Funds: A Practical Guide
  • Author : Antoine Bouveret
  • Publisher : International Monetary Fund
  • Release : 31 October 2017
GET THIS BOOKLiquidity Stress Tests for Investment Funds: A Practical Guide

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.