Stress 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 stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses." * "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk." Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II. * Written in clear, straightforward style with numerous practical examples * Based on five years of development and research * Focuses on stress probability of default, stress loss given default, stsress exposure at default

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  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Pages : 360 pages
  • ISBN : 9780080467054
  • Rating : 1/5 from 1 reviews
CLICK HERE TO GET THIS BOOKStress Testing for Risk Control Under Basel II

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

The Basel II Risk Parameters

The Basel II Risk Parameters
  • Author : Bernd Engelmann,Robert Rauhmeier
  • Publisher : Springer Science & Business Media
  • Release : 25 August 2006
GET THIS BOOKThe Basel II Risk Parameters

A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.

Risk Management Technology in Financial Services

Risk Management Technology in Financial Services
  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release : 08 April 2011
GET THIS BOOKRisk Management Technology in Financial Services

Written for professionals in financial services with responsibility for IT and risk management, Dimitris Chorafas surveys the methodology required and IT systems and structures to support it according to Basel II. The book is consistent with the risk management certification process of GARP, as well as the accounting rules of IFRS, based on research the author conducted with IASB. The author provices an in-depth discussion of the types of risk, stress analysis and the use of scenarios, mathematical models, and

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

Financial Risk Management

Financial Risk Management
  • Author : Jimmy Skoglund,Wei Chen
  • Publisher : John Wiley & Sons
  • Release : 12 October 2015
GET THIS BOOKFinancial Risk Management

Presenting 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, this guide offers the most up-to-date information and expert insight into real risk management, based on the authors' experience in developing and implementing risk analytics in banks around the globe. --

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

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.

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 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.

A Guide to IMF Stress Testing

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

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 CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).

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

Basel III, the Devil and Global Banking

Basel III, the Devil and Global Banking
  • Author : D. Chorafas
  • Publisher : Springer
  • Release : 22 November 2011
GET THIS BOOKBasel III, the Devil and Global Banking

The banking industry extensively lobbied against Basel III and governments have been keen to delay its full implementation. Chorafas' latest book takes a well-rounded approach on Basel III's strengths and weaknesses and explains how, without deep restructuring of the global banking industry, (like Basel II) Basel III will fail.

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