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Stress Testing The Banking System


Author : Mario Quagliariello
language : en
Publisher: Cambridge University Press
Release Date : 2009-10-15


PDF Download Stress Testing The Banking System Books For free written by Mario Quagliariello and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-15 with Business & Economics categories.


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 its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.

Stress Testing Approaches Methods And Applications


Author : Akhtar Siddique
language : en
Publisher:
Release Date : 2013-05-29


PDF Download Stress Testing Approaches Methods And Applications Books For free written by Akhtar Siddique and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-29 with Bank failures categories.




Market Based Structural Top Down Stress Tests Of The Banking System


Author : Mr. Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2013-04-10


PDF Download Market Based Structural Top Down Stress Tests Of The Banking System Books For free written by Mr. Jorge A. Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-10 with Business & Economics categories.


Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.

Preparing For The Next Financial Crisis


Author : Esa Jokivuolle
language : en
Publisher: Cambridge University Press
Release Date : 2017-10-31


PDF Download Preparing For The Next Financial Crisis Books For free written by Esa Jokivuolle and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-31 with Business & Economics categories.


This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.

Stress Testing And Risk Integration In Banks


Author : Tiziano Bellini
language : en
Publisher: Academic Press
Release Date : 2016-11-26


PDF Download Stress Testing And Risk Integration In Banks Books For free written by Tiziano Bellini and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-26 with Business & Economics categories.


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

Financial Risk Management


Author : Jimmy Skoglund
language : en
Publisher: John Wiley & Sons
Release Date : 2015-10-12


PDF Download Financial Risk Management Books For free written by Jimmy Skoglund and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-12 with Business & Economics categories.


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. --

A Framework For Macroprudential Bank Solvency Stress Testing


Author : Mr. Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2013-03-13


PDF Download A Framework For Macroprudential Bank Solvency Stress Testing Books For free written by Mr. Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-13 with Business & Economics categories.


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 systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.