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

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  • 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

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

Retail Credit Risk Management

Retail Credit Risk Management
  • Author : M. Anolli,E. Beccalli,T. Giordani
  • Publisher : Springer
  • Release : 29 January 2013
GET THIS BOOKRetail Credit Risk Management

Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

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

CCAR and Beyond

CCAR and Beyond
  • Author : Zhang Jin
  • Publisher : Unknown Publisher
  • Release : 18 September 2021
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

Next Generation Balance Sheet Stress Testing

Next Generation Balance Sheet Stress Testing
  • Author : Mr.Christian Schmieder,Mr.Claus Puhr,Maher Hasan
  • Publisher : International Monetary Fund
  • Release : 01 April 2011
GET THIS BOOKNext Generation Balance Sheet Stress Testing

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to

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

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

Sovereign Risk in Macroprudential Solvency Stress Testing

Sovereign Risk in Macroprudential Solvency Stress Testing
  • Author : Mr.Andreas A. Jobst,Ms.Hiroko Oura
  • Publisher : International Monetary Fund
  • Release : 06 December 2019
GET THIS BOOKSovereign Risk in Macroprudential Solvency Stress Testing

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the experiences in the Financial Sector Assessment Program (FSAP). We discuss four essential steps in assessing the system-wide impact of sovereign risk: scope, loss estimation, shock calibration, and capital impact calculation. Most importantly, a market-consistent valuation approach lies at the heart of assessing the resilience of the financial sector in a tail risk scenario with sovereign distress. We present a flexible, closed-form approach to calibrating

Principles of Financial Engineering

Principles of Financial Engineering
  • Author : Robert Kosowski,Salih N. Neftci
  • Publisher : Academic Press
  • Release : 26 November 2014
GET THIS BOOKPrinciples of Financial Engineering

Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial

The Basel II Risk Parameters

The Basel II Risk Parameters
  • Author : Bernd Engelmann,Robert Rauhmeier
  • Publisher : Springer Science & Business Media
  • Release : 31 March 2011
GET THIS BOOKThe Basel II Risk Parameters

The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents