Banking Systems Simulation
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Banking Systems Simulation
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Author : Stefano Zedda
language : en
Publisher: John Wiley & Sons
Release Date : 2017-03-16
Banking Systems Simulation written by Stefano Zedda and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-16 with Mathematics categories.
Presents information sources and methodologies for modeling and simulating banking system stability Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model. In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models. In addition, this book: • Provides a comprehensive overview of methods for analyzing models and simulating risk for banking and financial systems • Provides a clear presentation of the technical and legal concepts used in banking regulation • Presents unique insights from an expert’s perspective, with specific coverage of assessing risks and developing what-if analyses at the systems level • Concludes with a discussion of applications, including banking systems regulation what-if tests, cost-benefit analysis, evaluations of banking systems stability effects on public finances, dimensioning, and risk-based contributions for Deposit Guarantee Schemes (DGS) and Resolution Funds Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion is ideal for banking researchers focusing on computational methods of analysis as well as an appropriate reference for graduate-level students in banking, finance, and computational methods. Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zedda’s research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.
Modeling Banking Sovereign And Macro Risk In A Cca Global Var
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Author : Mr.Dale F. Gray
language : en
Publisher: International Monetary Fund
Release Date : 2013-10-23
Modeling Banking Sovereign And Macro Risk In A Cca Global Var written by Mr.Dale F. Gray and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-23 with Business & Economics categories.
The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk—policies including bank capital increases, purchase of sovereign debt, and guarantees.
Liquidity Risks And Speed In Payment And Settlement Systems
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Author : Harry Leinonen
language : en
Publisher:
Release Date : 2005
Liquidity Risks And Speed In Payment And Settlement Systems written by Harry Leinonen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Bank liquidity categories.
Tiivistelmä.
Banking Systems Simulation
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Author : Stefano Zedda
language : en
Publisher: John Wiley & Sons
Release Date : 2017-04-03
Banking Systems Simulation written by Stefano Zedda and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-03 with Mathematics categories.
Presents information sources and methodologies for modeling and simulating banking system stability Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model. In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models. In addition, this book: • Provides a comprehensive overview of methods for analyzing models and simulating risk for banking and financial systems • Provides a clear presentation of the technical and legal concepts used in banking regulation • Presents unique insights from an expert’s perspective, with specific coverage of assessing risks and developing what-if analyses at the systems level • Concludes with a discussion of applications, including banking systems regulation what-if tests, cost-benefit analysis, evaluations of banking systems stability effects on public finances, dimensioning, and risk-based contributions for Deposit Guarantee Schemes (DGS) and Resolution Funds Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion is ideal for banking researchers focusing on computational methods of analysis as well as an appropriate reference for graduate-level students in banking, finance, and computational methods. Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zedda’s research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.
Modeling Correlated Systemic Liquidity And Solvency Risks In A Financial Environment With Incomplete Information
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Author : MissLiliana Schumacher
language : en
Publisher: International Monetary Fund
Release Date : 2011-11-01
Modeling Correlated Systemic Liquidity And Solvency Risks In A Financial Environment With Incomplete Information written by MissLiliana Schumacher and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-01 with Business & Economics categories.
This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze correlated market and credit risk and estimate the probability that multiple banks will fail or experience liquidity runs simultaneously. Significant systemic risk factors are shown to include financial and economic environment regime shifts to stressful conditions, poor initial loan credit quality, loan portfolio sector and regional concentrations, bank creditors' sensitivity to and uncertainties regarding solvency risk, and inadequate capital. Systemic banking system solvency risk is driven by the correlated defaults of many borrowers, other market risks, and inter-bank defaults. Liquidity runs are modeled as a response to elevated solvency risk and uncertainties and are shown to increase correlated bank failures. Potential bank funding outflows and contractions in lending with significant real economic impacts are estimated. Increases in equity capital levels needed to reduce bank solvency and liquidity risk levels to a target confidence level are also estimated to range from 3 percent to 20 percent of assets. For a future environment that replicates the 1987-2006 volatilities and correlations, we find only a small risk of U.S. bank failures focused on thinly capitalized and regionally concentrated smaller banks. For the 2007-2010 financial environment calibration we find substantially elevated solvency and liquidity risks for all banks and the banking system.
Banking System Risk Management
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Author : Vladimir B. Zhivetin
language : en
Publisher:
Release Date : 2012
Banking System Risk Management written by Vladimir B. Zhivetin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Risk management categories.
Cooperative Sourcing
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Author : Daniel Beimborn
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-08-04
Cooperative Sourcing written by Daniel Beimborn and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-04 with Business & Economics categories.
Daniel Beimborn develops a formal model in order to explore cooperative sourcing activities in the banking industry. Together with survey data from the German banking industry, the model is used in simulation studies which allow for compound analyses of causes and effects of cooperative sourcing.
Cross Border Financial Surveillance
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Author : Marco A Espinosa-Vega
language : en
Publisher: International Monetary Fund
Release Date : 2010-04-01
Cross Border Financial Surveillance written by Marco A Espinosa-Vega and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-01 with Business & Economics categories.
Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
Credit Engineering For Bankers
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Author : Morton Glantz
language : en
Publisher: Academic Press
Release Date : 2010-11-25
Credit Engineering For Bankers written by Morton Glantz and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-25 with Business & Economics categories.
More efficient credit portfolio engineering can increase the decision-making power of bankers and boost the market value of their banks. By implementing robust risk management procedures, bankers can develop comprehensive views of obligors by integrating fundamental and market data into a portfolio framework that treats all instruments similarly. Banks that can implement strategies for uncovering credit risk investments with the highest return per unit of risk can confidently build their businesses. Through chapters on fundamental analysis and credit administration, authors Morton Glantz and Johnathan Mun teach readers how to improve their credit skills and develop logical decision-making processes. As readers acquire new abilities to calculate risks and evaluate portfolios, they learn how credit risk strategies and policies can affect and be affected by credit ratings and global exposure tracking systems. The result is a book that facilitates the discipline of market-oriented portfolio management in the face of unending changes in the financial industry. Concentrates on the practical implementation of credit engineering strategies and tools Demonstrates how bankers can use portfolio analytics to increase their insights about different groups of obligors Investigates ways to improve a portfolio’s return on risk while minimizing probability of insolvency
Intraday Liquidity Needs In A Modern Interbank Payment System
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Author : Risto Koponen
language : en
Publisher:
Release Date : 1998
Intraday Liquidity Needs In A Modern Interbank Payment System written by Risto Koponen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Banks and banking categories.
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