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Stress Testing and Risk Integration in Banks
A Statistical Framework and Practical Software Guide (in Matlab and R)
Through practical applications of stress testing, this informative book covers risk integration and the influence of shocks on both assets and liabilities
Tiziano Bellini (Author)
9780128035900
Hardback, published 2 November 2016
316 pages
22.9 x 15.1 x 2.4 cm, 0.59 kg
"Stress Testing and Risk Integration in Banks is a book that both finance academics and risk management experts have long sought. It bridges a substantial gap between risk theory and banking practice by paving the way for sound quantitative approaches in the area." --Niklas F Wagner, University of Passau "This book is highly practical and rigorous in its clear and refreshing coverage of current risk issues faced by global banks. Combining Matlab/R code, relevant exercises and business cases, it is comprehensive in scope and operationally highly relevant." --Gary van Vuuren, Aviva Investors, London and North West University, South Africa "Stress Testing and Risk Integration in Banks reveals the important connections between risk management and stress testing in the banking industry. These days, in which the industry is in the verge of its deepest change in decades, this book provides a much-needed framework to apply stress testing in practical terms." --Juan Ignacio Peña, Universidad Carlos III
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.
Chapter 1: Introduction to Stress Testing and Risk Integration Chapter 2: Macroeconomic Scenario Analysis from a Bank Perspective Chapter 3: Asset and Liability Management, and Value at Risk Chapter 4: Portfolio Credit Risk Modeling Chapter 5: Balance Sheet, and Profit and Loss Stress Testing Projections Chapter 6: Regulatory Capital, RWA, Leverage, and Liquidity Requirements Under Stress Chapter 7: Risk Integration Chapter 8: Reverse Stress Testing
Subject Areas: Game theory [PBUD], Banking [KFFK], Finance [KFF]
