Stress Testing Credit Risk
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Expected Credit Loss Modeling From A Top Down Stress Testing Perspective
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Author : Mr.Marco Gross
language : en
Publisher: International Monetary Fund
Release Date : 2020-07-03
Expected Credit Loss Modeling From A Top Down Stress Testing Perspective written by Mr.Marco Gross 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 2020-07-03 with Business & Economics categories.
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests.
Stress Testing Credit Risk
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Author : Antonella Foglia
language : en
Publisher:
Release Date : 2015-02-16
Stress Testing Credit Risk written by Antonella Foglia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-16 with categories.
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Stress Testing Credit Risk A Survey Of Authorities Approaches
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Author : Antonella Foglia
language : it
Publisher:
Release Date : 2008
Stress Testing Credit Risk A Survey Of Authorities Approaches written by Antonella Foglia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
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
Introduction To Applied Stress Testing
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Author : Martin Cihák
language : en
Publisher: International Monetary Fund
Release Date : 2007-03
Introduction To Applied Stress Testing written by Martin Cihák 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 2007-03 with Business & Economics categories.
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.
Identifying Threshold Effects In Credit Risk Stress Testing
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Author : Jose Giancarlo Gasha
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2004-08-01
Identifying Threshold Effects In Credit Risk Stress Testing written by Jose Giancarlo Gasha 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 2004-08-01 with Business & Economics categories.
Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded self-correcting adjustment when NPLs exceed a minimum threshold. For financial systems in emerging markets in Latin America showing higher NPLs, there is instead a magnifying effect once NPLs cross a (higher) threshold. GDP growth apparently affects NPLs only below a certain threshold, which is consistent with observed lower elasticity of credit risk to changes in economic activity in boom periods.
The Role Of Stress Testing In Credit Risk Management
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Author : Roger Stein
language : en
Publisher:
Release Date : 2013
The Role Of Stress Testing In Credit Risk Management written by Roger Stein and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In this article, we outline some concepts relating to the use of stress testing in credit risk management. We begin by providing a simple taxonomy of stress scenarios and discussing the trade-offs that different approaches require for implementation. Our taxonomy is modeled after one that is common in the credit literature and involves con-cepts related to reduced-form and structural approaches to credit modeling. Recently, some have expressed the view that the use of distribution-based measures such as VaR and expected shortfall (ES) for credit risk management should be deemphasized in favor of stress-testing and scenario analysis. We consider this question in the main portion of this article. We discuss the benefits of stress testing and scenario analysis as well as describing some limitations of using scenario-based approaches as a sole mechanism for assessing portfolio risk. We provide a number of examples to illustrate these limitations. In particular, except in special cases, it is difficult to use stress scenarios alone, ex ante, for allocating capital across disparate portfolios. However, stress testing and scenario analysis are integral to prudent credit risk management and can complement measures such as VaR and ES, thereby better informing both risk assessment and business strategy development. While neither stress testing nor VaR type measures, in and of themselves, provide complete descriptions of credit portfolio risk, combining both approaches results in more robust risk analysis. This permits risk managers to integrate quantitative measures with managerial intuition and judgment to arrive at more comprehensive assessments of both portfolio risk and overall firm strategy.
Credit Risk Management In And Out Of The Financial Crisis
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Author : Anthony Saunders
language : en
Publisher: John Wiley & Sons
Release Date : 2010-04-16
Credit Risk Management In And Out Of The Financial Crisis written by Anthony Saunders 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 2010-04-16 with Business & Economics categories.
A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
Portfolio Credit Risk And Macroeconomic Shocks
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Author : Miguel A. Segoviano Basurto
language : en
Publisher: International Monetary Fund
Release Date : 2006-12
Portfolio Credit Risk And Macroeconomic Shocks written by Miguel A. Segoviano Basurto 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 2006-12 with Business & Economics categories.
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD) methodology and the consistent information multivariate density optimizing (CIMDO) methodology. CoPoD incorporates the effects of macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only partial information about borrowers is available. Implementation is straightforward and can be very useful in stress testing exercises (STEs), as illustrated by the STE carried out within the Danish Financial Sector Assessment Program.
Stress Testing For Risk Control Under Basel Ii
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Author : Dimitris N. Chorafas
language : en
Publisher: Elsevier
Release Date : 2011-04-08
Stress Testing For Risk Control Under Basel Ii written by Dimitris N. Chorafas and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-08 with Business & Economics categories.
The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document: * "Banks should take into consideration potential future changes in economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions." * "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses." * "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk." Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II. * Written in clear, straightforward style with numerous practical examples * Based on five years of development and research * Focuses on stress probability of default, stress loss given default, stsress exposure at default