An Introduction To Stress Testing And Risk Integration In Banks Academic Press An Imprint Of Elsevier
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Stress Testing And Risk Integration In Banks
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Author : Tiziano Bellini
language : en
Publisher: Academic Press
Release Date : 2016-11-26
Stress Testing And Risk Integration In Banks written by Tiziano Bellini and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-26 with Mathematics categories.
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
An Introduction To Stress Testing And Risk Integration In Banks Academic Press An Imprint Of Elsevier
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Author : Tiziano Bellini
language : en
Publisher:
Release Date : 2017
An Introduction To Stress Testing And Risk Integration In Banks Academic Press An Imprint Of Elsevier written by Tiziano Bellini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Since the 2007-09 crisis, increasing attention has been devoted to capital adequacy and balance sheet integrity. Banks have been required to improve the quality of their own funds, strengthen their liquidity structure, and enforce their risk management processes. This paper serves the purpose of introducing the book Stress testing and risk integration in banks. The latter outlines the regulatory response to the recent financial crunch. On this subject, stress tests and risk integration are useful tools to enhance bank resilience against adverse conditions. The illustrative example of Bank Alpha points out how an international bank runs its business. It is used throughout the book to point out all complex challenges one needs to face when modelling risks. As in an executive summary, this introduction highlights some of Bank Alphas main stress testing and risk integration results. Finally, a practical guide to explore the text is provided. It serves as a map for the reader looking for orientation during the deep-dive journey.
Portfolio Diversification
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Author : Francois-Serge Lhabitant
language : en
Publisher: Elsevier
Release Date : 2017-09-26
Portfolio Diversification written by Francois-Serge Lhabitant and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-26 with Mathematics categories.
Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification
Ifrs 9 And Cecl Credit Risk Modelling And Validation
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Author : Tiziano Bellini
language : en
Publisher: Academic Press
Release Date : 2019-01-31
Ifrs 9 And Cecl Credit Risk Modelling And Validation written by Tiziano Bellini and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-31 with Business & Economics categories.
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.
An Introduction To Stochastic Modeling
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Author : Howard M. Taylor
language : en
Publisher: Academic Press
Release Date : 2014-05-10
An Introduction To Stochastic Modeling written by Howard M. Taylor and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Mathematics categories.
An Introduction to Stochastic Modeling, Revised Edition provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
The Evidence And Impact Of Financial Globalization
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Author : Gerard Caprio
language : en
Publisher: Academic Press
Release Date : 2012-11-27
The Evidence And Impact Of Financial Globalization written by Gerard Caprio and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-27 with Business & Economics categories.
The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. Substantial articles by top scholars sets this volume apart from other information sources Rapidly developing subjects will interest readers well into the future Reader demand and lack of competitors underline the high value of these reference works
Chemical Engineering Design
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Author : Gavin Towler
language : en
Publisher: Elsevier
Release Date : 2012-01-13
Chemical Engineering Design written by Gavin Towler and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-13 with Technology & Engineering categories.
'Bottom line: For a holistic view of chemical engineering design, this book provides as much, if not more, than any other book available on the topic.' Extract from Chemical Engineering Resources review. Chemical Engineering Design is a complete course text for students of chemical engineering. Written for the Senior Design Course, and also suitable for introduction to chemical engineering courses, it covers the basics of unit operations and the latest aspects of process design, equipment selection, plant and operating economics, safety and loss prevention. It is a textbook that students will want to keep through their undergraduate education and on into their professional lives.
Biomaterials Science
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Author : Buddy D. Ratner
language : en
Publisher: Elsevier
Release Date : 2004-08-18
Biomaterials Science written by Buddy D. Ratner and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-08-18 with Technology & Engineering categories.
The second edition of this bestselling title provides the most up-to-date comprehensive review of all aspects of biomaterials science by providing a balanced, insightful approach to learning biomaterials. This reference integrates a historical perspective of materials engineering principles with biological interactions of biomaterials. Also provided within are regulatory and ethical issues in addition to future directions of the field, and a state-of-the-art update of medical and biotechnological applications. All aspects of biomaterials science are thoroughly addressed, from tissue engineering to cochlear prostheses and drug delivery systems. Over 80 contributors from academia, government and industry detail the principles of cell biology, immunology, and pathology. Focus within pertains to the clinical uses of biomaterials as components in implants, devices, and artificial organs. This reference also touches upon their uses in biotechnology as well as the characterization of the physical, chemical, biochemical and surface properties of these materials. - Provides comprehensive coverage of principles and applications of all classes of biomaterials - Integrates concepts of biomaterials science and biological interactions with clinical science and societal issues including law, regulation, and ethics - Discusses successes and failures of biomaterials applications in clinical medicine and the future directions of the field - Cover the broad spectrum of biomaterial compositions including polymers, metals, ceramics, glasses, carbons, natural materials, and composites - Endorsed by the Society for Biomaterials
Waste Management For The Food Industries
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Author : Ioannis S. Arvanitoyannis
language : en
Publisher: Academic Press
Release Date : 2010-07-28
Waste Management For The Food Industries written by Ioannis S. Arvanitoyannis and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-28 with Technology & Engineering categories.
The continuously increasing human population, has resulted in a huge demand for processed and packaged foods. As a result of this demand, large amounts of water, air, electricity and fuel are consumed on a daily basis for food processing, transportation and preservation purposes. Although not one of the most heavily polluting, the food industry does contribute to the increase in volume of waste produced as well as to the energy expended to do so. For the first time, nine separate food industry categories are thoroughly investigated in Waste Management for the Food Industries in an effort to help combat this already acute problem. The current state of environmental management systems is described, offering comparisons of global legislation rarely found in other resources. An extensive review of commercial equipment, including advantages and disadvantages per employed waste management technique, offers a unique perspective for any academic, student, professional, and/or consultant in the food, agriculture and environmental industries. - Thoroughly examines the most prevalent and most polluting industries such as Meat, Fish, Dairy, Olive Oil, Juice and Wine industries - Includes synoptical tables [methods employed, physicochemical or microbiological parameters altered after treatment etc] and comparative figures of the effectiveness of various waste management methods - Contains nearly 2500 of the most up-to-date references available
An Introduction To Predictive Maintenance
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Author : R. Keith Mobley
language : en
Publisher: Elsevier
Release Date : 2002-10-24
An Introduction To Predictive Maintenance written by R. Keith Mobley and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-10-24 with Technology & Engineering categories.
This second edition of An Introduction to Predictive Maintenance helps plant, process, maintenance and reliability managers and engineers to develop and implement a comprehensive maintenance management program, providing proven strategies for regularly monitoring critical process equipment and systems, predicting machine failures, and scheduling maintenance accordingly. Since the publication of the first edition in 1990, there have been many changes in both technology and methodology, including financial implications, the role of a maintenance organization, predictive maintenance techniques, various analyses, and maintenance of the program itself. This revision includes a complete update of the applicable chapters from the first edition as well as six additional chapters outlining the most recent information available. Having already been implemented and maintained successfully in hundreds of manufacturing and process plants worldwide, the practices detailed in this second edition of An Introduction to Predictive Maintenance will save plants and corporations, as well as U.S. industry as a whole, billions of dollars by minimizing unexpected equipment failures and its resultant high maintenance cost while increasing productivity. - A comprehensive introduction to a system of monitoring critical industrial equipment - Optimize the availability of process machinery and greatly reduce the cost of maintenance - Provides the means to improve product quality, productivity and profitability of manufacturing and production plants