Stress Testing Credit Risk A Survey Of Authorities Approaches
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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 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.
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.
Macrofinancial Stress Testing Principles And Practices Background Material
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-29
Macrofinancial Stress Testing Principles And Practices Background Material written by International Monetary Fund. Monetary and Capital Markets Department 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 2012-08-29 with Business & Economics categories.
Staff conducted a survey of stress testing practices among selected national central banks and supervisory authorities. The online survey was undertaken in November 2011 as part of the preparatory work for the paper on ?Macrofinancial Stress Testing: Principles and Practices. The survey focused on stress testing for banks, which is more widespread and better established—and practices are therefore easier to compare across countries—but also included questions on stress testing for nonbank financial institutions.
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
Reverse Stress Testing In Banking
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Author : Michael Eichhorn
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2021-05-10
Reverse Stress Testing In Banking written by Michael Eichhorn and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-10 with Business & Economics categories.
Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.
Preparing For The Next Financial Crisis
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Author : Esa Jokivuolle
language : en
Publisher: Cambridge University Press
Release Date : 2017-11-16
Preparing For The Next Financial Crisis written by Esa Jokivuolle and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-16 with Business & Economics categories.
This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.
Stress Tests Of Credit Risks
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Author : Kilian Plank
language : en
Publisher:
Release Date : 2014
Stress Tests Of Credit Risks written by Kilian Plank and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The last credit and financial crisis has rendered credit risk stress tests a major risk management topic for financial authorities and banks. However, implementing a reasonable stress test with useful results is still considered as difficult and this in turn implies problems of acceptance in the financial industry. One reason for these difficulties seems to be the many degrees of freedom associated with the selection of scenarios. Another reason may be that no “best practice” guidelines do exist. This article gives a survey on credit risk stress tests. We want to clarify important terms and set a formal foundation. Furthermore, we want to distinguish different types of stress tests, their objectives, strengths and weaknesses and explain different methodologies.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian 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 2020-02-05 with Business & Economics categories.
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Stress Testing The Banking System
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Author : Mario Quagliariello
language : en
Publisher: Cambridge University Press
Release Date : 2009-10-15
Stress Testing The Banking System written by Mario Quagliariello and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-15 with Business & Economics categories.
Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.