Bellini T 2017 Stress Testing And Risk Integration In Banks Free Pdf Download
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Author by : Tiziano Bellini Languange Used : en Release Date : 2016-11-26 Publisher by : Academic Press ISBN : 9780128036112 File Size : 40,7 Mb Total Download : 537
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 st
Author by : Massimo Morini Languange Used : en Release Date : 2011-10-20 Publisher by : John Wiley & Sons ISBN : 9780470977743 File Size : 54,7 Mb Total Download : 807
A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative i
Author by : Tiziano Bellini Languange Used : en Release Date : 2019-01-15 Publisher by : Academic Press ISBN : 9780128149416 File Size : 51,7 Mb Total Download : 955
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 theo
Author by : Morris Goldstein Languange Used : en Release Date : 2017-04-25 Publisher by : Policy Analyses in Internation ISBN : 0881327050 File Size : 47,9 Mb Total Download : 508
Introduction -- Why didn't the EU-wide stress tests receive a better reaction? -- Operational features and evolution of the US and EU-wide tests -- Criticisms of stress-testing methodology and of the measurement of bank capital -- Criticism of the height of the target capital ratio in stress tests -- Lessons and a plan -- References