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Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks
  • Author : Tiziano Bellini
  • Publisher :Unknown
  • Release Date :2016-11-26
  • Total pages :316
  • ISBN : 9780128036112
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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 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 :Unknown
  • Release Date :2016-11-01
  • Total pages :250
  • ISBN : 0128035900
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Summary : "Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)" provides a comprehensive view of risk management that emphasizes the stress testing process. Using a bottom-up risk integration strategy, the book presents a multi-country bank prototype to assess bank solvency in periods both long (economic capital) and short (liquidity mismatching). Following the perspective of commercial banks, it concentrates on information available in the risk management practice to propose an easy-to-implement statistical framework that is the natural basis for stress testing analysis. To help readers, users will find a formal statistical setting enriched with examples, business cases, and exercises worked in Matlab and R that facilitate an easy application of the methodology in daily risk management practices. 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

Retail Credit Risk Management

Retail Credit Risk Management
  • Author : M. Anolli,E. Beccalli,T. Giordani
  • Publisher :Unknown
  • Release Date :2013-01-29
  • Total pages :236
  • ISBN : 9781137006769
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Summary : 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.

Stress-testing the Banking System

Stress-testing the Banking System
  • Author : Mario Quagliariello
  • Publisher :Unknown
  • Release Date :2009-10-15
  • Total pages :229
  • ISBN : 9781139482837
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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 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 for Risk Control Under Basel II

Stress Testing for Risk Control Under Basel II
  • Author : Dimitris N. Chorafas
  • Publisher :Unknown
  • Release Date :2011-04-08
  • Total pages :360
  • ISBN : 0080467059
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Summary : 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

Stress Testing in Banking

Stress Testing in Banking
  • Author : Michael Eichhorn,Tiziano Bellini
  • Publisher :Unknown
  • Release Date :2019-10
  • Total pages :350
  • ISBN : 3110644827
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Summary :

The Basel II Risk Parameters

The Basel II Risk Parameters
  • Author : Bernd Engelmann,Robert Rauhmeier
  • Publisher :Unknown
  • Release Date :2011-03-31
  • Total pages :426
  • ISBN : 3642161146
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Summary : 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.

A Framework for Macroprudential Bank Solvency Stress Testing

A Framework for Macroprudential Bank Solvency Stress Testing
  • Author : Mr. Andreas A. Jobst,Ms. Li L. Ong,Mr. Christian Schmieder
  • Publisher :Unknown
  • Release Date :2013-03-13
  • Total pages :55
  • ISBN : 9781475573923
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Summary : 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.

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
  • Author : Tiziano Bellini
  • Publisher :Unknown
  • Release Date :2019-01-15
  • Total pages :316
  • ISBN : 9780128149416
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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 pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

Financial Risk Management

Financial Risk Management
  • Author : Jimmy Skoglund,Wei Chen
  • Publisher :Unknown
  • Release Date :2015-09-08
  • Total pages :576
  • ISBN : 9781119157243
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Summary : A global banking risk management guide geared toward the practitioner Financial Risk Management presents 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. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

A Guide to IMF Stress Testing: Methods and Models

A Guide to IMF Stress Testing: Methods and Models
  • Author : Ms. Li L. Ong
  • Publisher :Unknown
  • Release Date :2014-12-23
  • Total pages :222
  • ISBN : 9781498370417
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Summary : 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 toolkit, which makes available some of the macros and program codes used in the models.

CCAR and Beyond

CCAR and Beyond
  • Author : Zhang Jin
  • Publisher :Unknown
  • Release Date :2013
  • Total pages :404
  • ISBN : 1782720820
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Summary : This book explores the modelling techniques key to Comprehensive capital analysis and review (CCAR) and the business implications of the programme. Contributions from those directly involved in the implementation and regulation of these assessments provide a unique source of information and insight into the assessment practices. The author brings together industry experts in stress testing and capital assessment to examine the central issues surrounding CCAR including: 1) The design and severity of the macroeconomic scenarios; 2) Commercial and industrial (C&I) and Corporate, commercial real estate (CRE) portfolio stress testing; 3) Market, counterparty and operational risks; 4) Pre-provision net revenue modelling; 5) Governance; 6) Capital management." - - Extracted from BusinessWire.

Macroprudential Solvency Stress Testing of the Insurance Sector

Macroprudential Solvency Stress Testing of the Insurance Sector
  • Author : Mr. Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
  • Publisher :Unknown
  • Release Date :2014-07-22
  • Total pages :84
  • ISBN : 9781498324557
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Summary : Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

Commercial Banking Risk Management

Commercial Banking Risk Management
  • Author : Weidong Tian
  • Publisher :Unknown
  • Release Date :2016-12-08
  • Total pages :429
  • ISBN : 9781137594426
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Summary : 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.

Dodd-Frank Wall Street Reform and Consumer Protection Act

Dodd-Frank Wall Street Reform and Consumer Protection Act
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2021
  • Total pages :229
  • ISBN : 0160861101
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Summary :

Liquidity Risk Management

Liquidity Risk Management
  • Author : Shyam Venkat,Stephen Baird
  • Publisher :Unknown
  • Release Date :2016-03-28
  • Total pages :304
  • ISBN : 9781118881927
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Summary : The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.

The Flexible System of Global Models – FSGM

The Flexible System of Global Models – FSGM
  • Author : Michal Andrle,Patrick Blagrave,Pedro Espaillat,Ms. Keiko Honjo,Mr. Ben Hunt,Mika Kortelainen,René Lalonde,Mr. Douglas Laxton,Eleonara Mavroeidi,Dirk Muir,Susanna Mursula,Stephen Snudden
  • Publisher :Unknown
  • Release Date :2015-03-20
  • Total pages :66
  • ISBN : 9781475547498
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Summary : The Flexible System of Global Models (FSGM) is a group of models developed by the Economic Modeling Division of the IMF for policy analysis. A typical module of FSGM is a multi-region, forward-looking semi-structural global model consisting of 24 regions. Using the three core modules focused on the G-20, the euro area, and emerging market economies, this paper outlines the theory under-pinning the model, and illustrates its macroeconomic properties by presenting its responses under a wide range of experiments, including monetary, financial, demand, supply, fiscal and international shocks.

Liquidity Stress Tests for Investment Funds: A Practical Guide

Liquidity Stress Tests for Investment Funds: A Practical Guide
  • Author : Antoine Bouveret
  • Publisher :Unknown
  • Release Date :2017-10-31
  • Total pages :34
  • ISBN : 9781484326688
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Summary : This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.

Introduction to Applied Stress Testing

Introduction to Applied Stress Testing
  • Author : Martin Cihák
  • Publisher :Unknown
  • Release Date :2007-03
  • Total pages :74
  • ISBN : UCSD:31822036089365
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Summary : Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.

Next Generation Balance Sheet Stress Testing

Next Generation Balance Sheet Stress Testing
  • Author : Mr. Christian Schmieder,Maher Hasan,Mr. Claus Puhr
  • Publisher :Unknown
  • Release Date :2011-04-01
  • Total pages :42
  • ISBN : 9781455224005
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Summary : 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 define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.

International Convergence of Capital Measurement and Capital Standards

International Convergence of Capital Measurement and Capital Standards
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2004
  • Total pages :239
  • ISBN : 9789291316694
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Summary :