Stress Testing and Risk Integration in Banks

Written By Tiziano Bellini
Stress Testing and Risk Integration in Banks
  • Publsiher : Academic Press
  • Release : 26 November 2016
  • ISBN : 0128036117
  • Pages : 316 pages
  • Rating : 4/5 from 21 reviews
GET THIS BOOKStress Testing and Risk Integration in Banks


Read or download book entitled Stress Testing and Risk Integration in Banks written by Tiziano Bellini which was release on 26 November 2016, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: 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

Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2016-11-26
  • Total pages : 316
  • ISBN : 0128036117
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Summary : 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 ...

An Introduction to Stress Testing and Risk Integration in Banks Academic Press an Imprint of Elsevier

An Introduction to Stress Testing and Risk Integration in Banks Academic Press  an Imprint of Elsevier
  • Author : Tiziano Bellini
  • Publisher : Unknown
  • Release Date : 2017
  • Total pages : 25
  • ISBN : 0128036117
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Summary : Since the 2007-09 crisis, increasing attention has been devoted to capital adequacy and balance sheet integrity. Banks have been required to improve the quality of their own funds, strengthen their liquidity structure, and enforce their risk management processes. This paper serves the purpose of introducing the book Stress testing and ...

People s Republic of China Hong Kong Special Administrative Region Financial Sector Assessment Program Stress Testing the Banking Sector Technical Note

People   s Republic of China   Hong Kong Special Administrative Region  Financial Sector Assessment Program Stress Testing the Banking Sector Technical Note
  • Author : International Monetary Fund. Monetary and Capital Markets Department
  • Publisher : International Monetary Fund
  • Release Date : 2014-07-17
  • Total pages : 127
  • ISBN : 0128036117
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Summary : In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country....

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 Date : 2021-05-10
  • Total pages : 583
  • ISBN : 0128036117
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Summary : 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 ...

Ethical Discourse in Finance

Ethical Discourse in Finance
  • Author : Marizah Minhat
  • Publisher : Springer Nature
  • Release Date : 2022-06-27
  • Total pages : 212
  • ISBN : 0128036117
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Summary : Download or read online Ethical Discourse in Finance written by Marizah Minhat, published by Springer Nature which was released on . Get Ethical Discourse in Finance Books now! Available in PDF, ePub and Kindle....

France

France
  • Author : International Monetary Fund
  • Publisher : International Monetary Fund
  • Release Date : 2005-06-08
  • Total pages : 121
  • ISBN : 0128036117
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Summary : These Technical Notes on France explain integration of global financial markets. The stress tests for the France Financial Sector Assessment Program (FSAP) were designed to yield as comprehensive and detailed a picture as possible within the constraints of the approach. Retail activity by foreign banks in France is small, but ...

Handbook of Financial Stress Testing

Handbook of Financial Stress Testing
  • Author : J. Doyne Farmer,Alissa M. Kleinnijenhuis,Til Schuermann,Thom Wetzer
  • Publisher : Cambridge University Press
  • Release Date : 2022-03-31
  • Total pages : 212
  • ISBN : 0128036117
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Summary : Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take ...

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 Date : 2019-02-08
  • Total pages : 316
  • ISBN : 0128036117
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Summary : 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 ...

Modelling Economic Capital

Modelling Economic Capital
  • Author : David Jamieson Bolder
  • Publisher : Springer Nature
  • Release Date : 2022-06-27
  • Total pages : 212
  • ISBN : 0128036117
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Summary : Download or read online Modelling Economic Capital written by David Jamieson Bolder, published by Springer Nature which was released on . Get Modelling Economic Capital Books now! Available in PDF, ePub and Kindle....

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 Date : 2019-01-15
  • Total pages : 316
  • ISBN : 0128036117
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Summary : 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 ...

Risk Management

Risk Management
  • Author : Thomas Wolke
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2017-09-25
  • Total pages : 378
  • ISBN : 0128036117
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Summary : This book is the English edition of the German third edition, which has proven to be a standard work on the subject of risk management. The English edition extends the scope of use to the English-language bachelor's and master's degree courses in economics and for potential use (especially as a ...

Stress testing the Banking System

Stress testing the Banking System
  • Author : Mario Quagliariello
  • Publisher : Cambridge University Press
  • Release Date : 2009-10-15
  • Total pages : 212
  • ISBN : 0128036117
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Summary : 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 ...

Systemic Risk and Macroprudential Regulations

Systemic Risk and Macroprudential Regulations
  • Author : Rabi N. Mishra
  • Publisher : SAGE Publications India
  • Release Date : 2019-09-01
  • Total pages : 508
  • ISBN : 0128036117
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Summary : The Global Financial Crisis is undoubtedly the most severe financial crisis the world witnessed since the Great Depression of 1929. The crisis has been analysed by a number of experts offering distinct narratives and counter-narratives. Systemic Risk and Macroprudential Regulations examines causes and consequences of the global financial crisis and proposes ...

Wiley FRM Exam Review Study Guide 2016 Part I Volume 2

Wiley FRM Exam Review Study Guide 2016 Part I Volume 2
  • Author : Wiley
  • Publisher : John Wiley & Sons
  • Release Date : 2016-01-19
  • Total pages : 240
  • ISBN : 0128036117
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Summary : Download or read online Wiley FRM Exam Review Study Guide 2016 Part I Volume 2 written by Wiley, published by John Wiley & Sons which was released on 2016-01-19. Get Wiley FRM Exam Review Study Guide 2016 Part I Volume 2 Books now! Available in PDF, ePub and Kindle....

Finance Growth and Inequality

Finance  Growth and Inequality
  • Author : Louis-Philippe Rochon,Virginie Monvoisin
  • Publisher : Edward Elgar Publishing
  • Release Date : 2019
  • Total pages : 328
  • ISBN : 0128036117
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Summary : This book brings together some leading and emerging scholars who bring an alternative view on some of the most pressing issues of today. In addition to key concepts in post-Keynesian and heterodox economics, the authors also explore financialization, debt, income distribution, and policies, and the emerging threat of dualism. Policy ...