Name: Stress Testing and Risk Integration in Banks (en Inglés)
SKU: 51828402
Price: 111.99 USD
Availability: InStock
Author: Tiziano Bellini
ISBN: 9780128035900

portada Stress Testing and Risk Integration in Banks (en Inglés)

Stress Testing and Risk Integration in Banks (en Inglés)

Formato

Libro Físico

Editorial

Academic Press

Autor

Tiziano Bellini

Año

2016

Idioma

Inglés

N° páginas

316

Encuadernación

Tapa Dura

ISBN13

9780128035900

N° edición

Categorías

Banca

Stress Testing and Risk Integration in Banks (en Inglés)

Tiziano Bellini (Autor) · Academic Press · Tapa Dura

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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 requirementsFollows an integrated bottom-up approach central in the most advanced risk modelling practiceProvides numerous sample codes in Matlab and R