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

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.

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

Stress Testing for Risk Control Under Basel II

Stress Testing for Risk Control Under Basel II
  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release : 08 April 2011
GET THIS BOOKStress Testing for Risk Control Under Basel II

The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document: * "Banks should take into consideration potential future changes in economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions." * "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under

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

A Guide to IMF Stress Testing: Methods and Models

A Guide to IMF Stress Testing: Methods and Models
  • Author : Ms. Li L. Ong
  • Publisher : International Monetary Fund
  • Release : 23 December 2014
GET THIS BOOKA Guide to IMF Stress Testing: Methods and Models

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion toolkit, which makes available some of the macros and program codes used in the models.

A Framework for Macroprudential Bank Solvency Stress Testing

A Framework for Macroprudential Bank Solvency Stress Testing
  • Author : Mr. Andreas A. Jobst,Ms. Li L. Ong,Mr. Christian Schmieder
  • Publisher : International Monetary Fund
  • Release : 13 March 2013
GET THIS BOOKA Framework for Macroprudential Bank Solvency Stress Testing

The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking

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 : 15 January 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

Financial Risk Management

Financial Risk Management
  • Author : Jimmy Skoglund,Wei Chen
  • Publisher : John Wiley & Sons
  • Release : 08 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

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 : 24 January 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

Commercial Banking Risk Management

Commercial Banking Risk Management
  • Author : Weidong Tian
  • Publisher : Springer
  • Release : 08 December 2016
GET THIS BOOKCommercial Banking Risk Management

This edited collection comprehensively addresses the widespread regulatory challenges uncovered and changes introduced in financial markets following the 2007-2008 crisis, suggesting strategies by which financial institutions can comply with stringent new regulations and adapt to the pressures of close supervision while responsibly managing risk. It covers all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk, operational risk, fair lending risk, model risk, stress test, and CCAR from practical aspects. It also covers major components

Credibility and Crisis Stress Testing

Credibility and Crisis Stress Testing
  • Author : Ms. Li L. Ong,Ceyla Pazarbasioglu
  • Publisher : International Monetary Fund
  • Release : 09 August 2013
GET THIS BOOKCredibility and Crisis Stress Testing

Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective