Stress Testing And Risk Integration In Banks: A Statistical Framework And Practical Software Guide…

Hardcover | November 8, 2016

byTiziano Bellini

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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

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From the Publisher

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 ...

From the Jacket

Stress Testing and Risk Integration in Banksprovides 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 a...

Tiziano Bellini received his Ph.D. in Statistics from the Università degli Studi di Milano after being visiting Ph.D. student at the London School of Economics. He gained a wide risk management experience across Europe, in London and New York.He currently holds a Senior Management position at EY Financial Advisory Services in London. P...
Format:HardcoverDimensions:316 pages, 9.41 × 7.24 × 0.98 inPublished:November 8, 2016Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0128035900

ISBN - 13:9780128035900

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Extra Content

Table of Contents

1. Introduction to Stress Testing and Risk Integration

2. Macroeconomic Scenario Analysis from a Bank Perspective

3. Asset and Liability Management, and Value at Risk

4. Portfolio Credit Risk Modelling

5. Balance Sheet, Profit and Loss Stress Testing Projections

6. RWAs and Capital Requirements

7. Risk Integration

8. Reverse Stress Testing