Stress Testing for Risk Control Under Basel II Book
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Stress Testing for Risk Control Under Basel II


  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Genre: Business & Economics
  • Pages : 360
  • ISBN 10 : 0080467059

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Stress Testing for Risk Control Under Basel II Book Description :

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 Book

The Basel II Risk Parameters


  • Author : Bernd Engelmann
  • Publisher : Springer Science & Business Media
  • Release Date : 2011-03-31
  • Genre: Business & Economics
  • Pages : 426
  • ISBN 10 : 3642161146

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The Basel II Risk Parameters Book Description :

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.

The Basel II Risk Parameters Book

The Basel II Risk Parameters


  • Author : Bernd Engelmann
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-08-25
  • Genre: Business & Economics
  • Pages : 376
  • ISBN 10 : 9783540330875

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The Basel II Risk Parameters Book Description :

A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.

Risk Management Technology in Financial Services Book

Risk Management Technology in Financial Services


  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 0080498094

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Risk Management Technology in Financial Services Book Description :

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

Retail Credit Risk Management Book

Retail Credit Risk Management


  • Author : M. Anolli
  • Publisher : Springer
  • Release Date : 2013-01-29
  • Genre: Business & Economics
  • Pages : 236
  • ISBN 10 : 9781137006769

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Retail Credit Risk Management Book Description :

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.

Emerging Trends in Smart Banking  Risk Management Under Basel II and III Book

Emerging Trends in Smart Banking Risk Management Under Basel II and III


  • Author : Li, Siqiwen
  • Publisher : IGI Global
  • Release Date : 2014-04-30
  • Genre: Business & Economics
  • Pages : 290
  • ISBN 10 : 9781466659513

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Emerging Trends in Smart Banking Risk Management Under Basel II and III Book Description :

The 2008 global financial crisis has illustrated the need for tighter regulations and management of banking institutions, approaching banking and money lending in a more intelligent, directed fashion. Emerging Trends in Smart Banking: Risk Management Under Basel II and III discusses some of the latest developments in banking regulations and safeguards to ensure the mitigation of risk and economic collapse. This book is a critical reference in the exploration of business frameworks to identify areas of strength and potential weaknesses, insight that will be of use to business leaders, professionals in the banking industry, and researchers and scholars in all aspects of business and accounting.

Risk Accounting and Risk Management for Accountants Book

Risk Accounting and Risk Management for Accountants


  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2007-08-29
  • Genre: Business & Economics
  • Pages : 312
  • ISBN 10 : 0080550460

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Risk Accounting and Risk Management for Accountants Book Description :

Both Accountants and Auditors are confronted daily with challenges associated with the evaluation of credit risk, market risk, and other exposures. The book provides up-to-date information on the most significant developments in risk management policies and practices. Accountants whose work under International Financial Reporting Standards increasingly involves risk control in their job will find this book of practical value with the inclusion of material on "how to" successfully design, implementation and use risk control measures. Designed specifically for accountants the book starts with the fundamental factors underpinning risk: volatility and uncertainty, and then shows how and why accounting, auditing, and risk control correlate. The themes covered in the book include: credit risk, market risk, liquidity risk, investment risk, and event risk. * This practical handbook, complete with case studies is specifically aimed at accountants. * comprehensive information on how to develop, implement and use a risk management system * Covers credit risk, market risk, liquidity risk, investment risk, event risk.

Stress Testing and Risk Integration in Banks Book

Stress Testing and Risk Integration in Banks


  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2016-11-26
  • Genre: Business & Economics
  • Pages : 316
  • ISBN 10 : 9780128036112

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Stress Testing and Risk Integration in Banks Book Description :

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

Guide to Optimal Operational Risk and BASEL II Book

Guide to Optimal Operational Risk and BASEL II


  • Author : Ioannis S. Akkizidis
  • Publisher : CRC Press
  • Release Date : 2005-11-01
  • Genre: Business & Economics
  • Pages : 440
  • ISBN 10 : 9781420031140

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Guide to Optimal Operational Risk and BASEL II Book Description :

Guide to Optimal Operational Risk and Basel II presents the key aspects of operational risk management that are also aligned with the Basel II requirements. This volume provides detailed guidance for the design and implementation of an efficient operational risk management system. It contains all elements of assessment, including operational risk i

Economic Capital Allocation with Basel II Book

Economic Capital Allocation with Basel II


  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2004-02-09
  • Genre: Business & Economics
  • Pages : 448
  • ISBN 10 : 0080472567

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Economic Capital Allocation with Basel II Book Description :

This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords. The book provides: * comprehensive coverage of the evolution of the banking industry with Basel II in mind * extensive information on the capital requirements for bank liquidity and solvency * coverage of the new rules as laid down by the supervisory authorities of the Group of Ten industrialized nations * key information on the technical requirements for credit institutions such as: new credit rating scales, modeling of credit risk, control of operational risks, and, novel ways and means for the management of exposure to Credit Risk * Basel II accords must be implemented by 2006 and require 2 years preparation for proper implementation * Author at the forefront in the development of the Basel II Capital Adequacy Accord * Based on intensive research in the US, UK and continental Europe

XVA Desks   A New Era for Risk Management Book

XVA Desks A New Era for Risk Management


  • Author : I. Ruiz
  • Publisher : Springer
  • Release Date : 2015-04-27
  • Genre: Business & Economics
  • Pages : 407
  • ISBN 10 : 9781137448200

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XVA Desks A New Era for Risk Management Book Description :

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.

Financial Risk Management Book

Financial Risk Management


  • Author : Jimmy Skoglund
  • Publisher : John Wiley & Sons
  • Release Date : 2015-10-12
  • Genre: Business & Economics
  • Pages : 576
  • ISBN 10 : 9781119135517

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Financial Risk Management Book Description :

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. --

Frontiers of Risk Management Book

Frontiers of Risk Management


  • Author : Dennis W. Cox
  • Publisher : Euromoney Books
  • Release Date : 2007
  • Genre: Basel II
  • Pages : 287
  • ISBN 10 : 1843742721

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Frontiers of Risk Management Book Description :

Looking at the entire spectrum of financial services risk management, this practical guide identifies the key current issues and the solutions adopted by firms.

Commercial Banking Risk Management Book

Commercial Banking Risk Management


  • Author : Weidong Tian
  • Publisher : Springer
  • Release Date : 2016-12-08
  • Genre: Business & Economics
  • Pages : 429
  • ISBN 10 : 9781137594426

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Commercial Banking Risk Management Book Description :

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.

RISK MANAGEMENT IN BANKS Book

RISK MANAGEMENT IN BANKS


  • Author : Dr. Mustari Hanmanth. N.
  • Publisher : Lulu.com
  • Release Date :
  • Genre:
  • Pages :
  • ISBN 10 : 9781304923622

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RISK MANAGEMENT IN BANKS Book Description :

The Management of Bond Investments and Trading of Debt Book

The Management of Bond Investments and Trading of Debt


  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2005-06-07
  • Genre: Business & Economics
  • Pages : 448
  • ISBN 10 : 9780080497280

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The Management of Bond Investments and Trading of Debt Book Description :

Written for managers and professionals in business and industry, and using a minimum of mathematical language, The Management of Bond Investments and the Trading of Debt addresses three key issues: Bondholder’s options, risks and rewards in making investments in debt instruments; The dynamics of inflation, and how they affect both trading in the bond market, and investment decisions; and The democratization of lending, socialization of risk, and effect of the global economy on the bond market. Financial expert Dimitris Chorafas discusses these issues in straightforward language for managers and professionals in commercial banks, securities houses, financial services companies, merchandising firms, manufacturing companies, and consulting firms, placing the mathematical treatment of the issues in the appendices, available for study but not necessary for understanding the business issues addressed in the book. Focuses on new issues of central importance in bond and debt trading today Uses clear, straightforward language for managers and professionals in business and industry, with mathematical treatment provided in appendices Thorough treatment of operational risk new to books on this topic

A Framework for Macroprudential Bank Solvency Stress Testing Book

A Framework for Macroprudential Bank Solvency Stress Testing


  • Author : Mr. Andreas A. Jobst
  • Publisher : International Monetary Fund
  • Release Date : 2013-03-13
  • Genre: Business & Economics
  • Pages : 55
  • ISBN 10 : 9781475573923

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A Framework for Macroprudential Bank Solvency Stress Testing Book Description :

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.