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

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  • 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

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  • 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.

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

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  • Author : D. Chorafas
  • Publisher : Springer
  • Release : 13 June 2011
GET THIS BOOKSovereign Debt Crisis

Restructuring the balance sheets of Western governments, banks and households is an important issue in the recovery after the recent crisis. Chorafas' latest book focuses on sovereign debt, sovereign risk and the developing economic and financial business climate and explains why the year of the big crisis may fall in the middle of this decade.

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  • Publisher : Springer
  • Release : 30 April 2016
GET THIS BOOKFinancial Cycles

As financial positions expand, the economy becomes more vulnerable to adverse and unexpected developments taking place outside the six to seven year business cycle. Over 50 years ago Nikolai Kondratieff developed the theory of "The Long Waves in Economic Life", which incorporated an extended cycle of innovation and upward thrust, and changed our understanding of business cycles in financial settings. Financial Cycles concentrates on two areas that have thus far been omitted from mainstream economics. The first is the impact of

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Business Efficiency and Ethics
  • Author : D. Chorafas
  • Publisher : Springer
  • Release : 17 December 2014
GET THIS BOOKBusiness Efficiency and Ethics

Business Efficiency and Ethics presents both the theory of business efficiency and ethics, and a wealth of case studies based on practical experience. This unique perspective offers a framework for identifying this behaviour and reestablishing appropriate business behavior standards.

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  • Author : D. Chorafas
  • Publisher : Springer
  • Release : 04 September 2013
GET THIS BOOKThe Changing Role of Central Banks

The Changing Role of Central Banks derives lessons from current economic and financial challenges as well as failures in confronting them. Through this approach, it brings under perspective political and social reactions to major economic problems of the last ten years, particularly those pertaining to money and initiatives taken by central banks.

Globalization's Limits

Globalization's Limits
  • Author : Prof Dr Dimitris N Chorafas
  • Publisher : Gower Publishing, Ltd.
  • Release : 28 August 2012
GET THIS BOOKGlobalization's Limits

So far there has been only praise for globalization. However, the export wave of China’s manufacturing machine and, more recently, the Global financial crisis show that globalization has limits. Globalization, the internationalization of trade, and financial integration are having enormous implications for businesses as well as for the whole economies of countries or blocks of countries. In this book Dr Chorafas argues that research is now producing evidence that there are limits to such globalization and amalgamation and that

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  • Author : Management Association, Information Resources
  • Publisher : IGI Global
  • Release : 31 August 2012
GET THIS BOOKIndustrial Engineering: Concepts, Methodologies, Tools, and Applications

Industrial engineering affects all levels of society, with innovations in manufacturing and other forms of engineering oftentimes spawning cultural or educational shifts along with new technologies. Industrial Engineering: Concepts, Methodologies, Tools, and Applications serves as a vital compendium of research, detailing the latest research, theories, and case studies on industrial engineering. Bringing together contributions from authors around the world, this three-volume collection represents the most sophisticated research and developments from the field of industrial engineering and will prove a valuable

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  • Author : Dimitris N. Chorafas
  • Publisher : Springer
  • Release : 12 September 2014
GET THIS BOOKScience and Technology

The aim of this book is to explore science and technology from the viewpoint of creating new knowledge, as opposed to the reinterpretation of existing knowledge in ever greater but uncertain detail. Scientists and technologists make progress by distinguishing between what they regard as meaningful and what they consider as secondary or unimportant. The meaningful is dynamic; typically, the less important is static. Science and technology have made a major contribution to the culture and to the standard of living

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Breaking Up the Euro
  • Author : D. Chorafas
  • Publisher : Springer
  • Release : 31 July 2013
GET THIS BOOKBreaking Up the Euro

The drama of the common currency is a hot topic. The Euro was planned for the European Union's member states, bringing economically strong nations like Germany and Holland and weaker nations like Greece, Spain and Italy under one set of currency rules. A dozen years of its implementation has shown that the planning was incomplete at best. Add to this the weight of a deepening debt crisis among western nations, which continues unabated, and Europe has a very deep financial

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  • Author : D. Chorafas
  • Publisher : Springer
  • Release : 26 March 2009
GET THIS BOOKFinancial Boom and Gloom

The credit and banking crisis which hit the western world in 2007/2008 has and will continue to have far-reaching after-effects. At their core are Collateralized Debt Obligations (CDOs) and Credit Default Swaos (CDSs), the main themes of this book.