April 13, 2021

Download Ebook Free Stress 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 Date : 2011-04-08
Category : Business & Economics
Total pages :360
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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

The Basel II Risk Parameters

The Basel II Risk Parameters
Author : Bernd Engelmann,Robert Rauhmeier
Publisher : Springer Science & Business Media
Release Date : 2011-03-31
Category : Business & Economics
Total pages :426
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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 techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.

Retail Credit Risk Management

Retail Credit Risk Management
Author : M. Anolli,E. Beccalli,T. Giordani
Publisher : Springer
Release Date : 2013-01-29
Category : Business & Economics
Total pages :236
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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.

Risk Management Technology in Financial Services

Risk Management Technology in Financial Services
Author : Dimitris N. Chorafas
Publisher : Elsevier
Release Date : 2011-04-08
Category : Business & Economics
Total pages :352
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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 IT systems and infrastructure requirements. * Written in clear, straightforward style for financial industry executives to provide necessary information for risk control decisionmaking * Consistent with GARP, IFRS and IASB risk management processes and procedures * Explains stress testing and its place in risk control

International Convergence of Capital Measurement and Capital Standards

International Convergence of Capital Measurement and Capital Standards
Author : Anonim
Publisher : Lulu.com
Release Date : 2004
Category : Bank capital
Total pages :239
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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
Category : Business & Economics
Total pages :316
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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

Operational Risk Control with Basel II

Operational Risk Control with Basel II
Author : Dimitris N. Chorafas
Publisher : Elsevier
Release Date : 2003-10-06
Category : Business & Economics
Total pages :400
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Operational Risk Control with Basel II, provides a sound methodology for operational risk control and focuses on management risk and ways to avoid it. The book explains why and how information technology is a major operational risk and shows how to integrate cost control in the operational risk perspective. It aslo details analytical approaches to operational risk control, to help with scorecard developments, explains the distinction between High Frequency Low Risk and Low Frequency High Risk events and provides many case studeies from banking and insurance to demonstrate the attention operational risks deserve. Assists risk professionals in preparing their institution to comply with the New Capital Adequacy Framework issued by the Basel Committee on Banking Supervision, which becomes mandatory from January 1, 2006 Readers benefit from a significantly broader viewpoint on types of operational risks, operational risks controls, and results to be expected from operational risk management - compared to what the reader may gain from books previously published on this same topic

Commercial Banking Risk Management

Commercial Banking Risk Management
Author : Weidong Tian
Publisher : Springer
Release Date : 2016-12-08
Category : Business & Economics
Total pages :429
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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 of enterprise risk management, a modern capital requirement framework, and the data technology used to help manage risk. Each chapter is written by an authority who is actively engaged with large commercial banks, consulting firms, auditing firms, regulatory agencies, and universities. This collection will be a trusted resource for anyone working in or studying the commercial banking industry.

Internal Capital Adequacy Assessment Process (ICAAP) - Overview & Core Concepts

Internal Capital Adequacy Assessment Process (ICAAP) - Overview & Core Concepts
Author : Anonim
Publisher : Alchemy Technologies
Release Date : 2021
Category :
Total pages :129
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Financial Risk Management

Financial Risk Management
Author : Jimmy Skoglund,Wei Chen
Publisher : John Wiley & Sons
Release Date : 2015-10-12
Category : Business & Economics
Total pages :576
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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. --

Enhancing Safety and Soundness

Enhancing Safety and Soundness
Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Financial Institutions and Consumer Protection
Publisher : Unknown
Release Date : 2012
Category : Bank examination
Total pages :73
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Stress-testing the Banking System

Stress-testing the Banking System
Author : Mario Quagliariello
Publisher : Cambridge University Press
Release Date : 2009-10-15
Category : Business & Economics
Total pages :129
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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.

XVA Desks - A New Era for Risk Management

XVA Desks - A New Era for Risk Management
Author : I. Ruiz
Publisher : Springer
Release Date : 2015-04-27
Category : Business & Economics
Total pages :407
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Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.

Credibility and Crisis Stress Testing

Credibility and Crisis Stress Testing
Author : Ms.Li L. Ong,Ceyla Pazarbasioglu
Publisher : International Monetary Fund
Release Date : 2013-08-09
Category : Business & Economics
Total pages :63
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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 crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.

Frontiers of Risk Management

Frontiers of Risk Management
Author : Dennis W. Cox
Publisher : Euromoney Books
Release Date : 2007
Category : Basel II
Total pages :287
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Looking at the entire spectrum of financial services risk management, this practical guide identifies the key current issues and the solutions adopted by firms.