Stress Testing and Risk Integration in Banks

A Statistical Framework and Practical Software Guide (in Matlab and R)

Nonfiction, Science & Nature, Mathematics, Game Theory, Business & Finance, Finance & Investing, Banks & Banking
Cover of the book Stress Testing and Risk Integration in Banks by Tiziano Bellini, Elsevier Science
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Tiziano Bellini ISBN: 9780128036112
Publisher: Elsevier Science Publication: November 26, 2016
Imprint: Academic Press Language: English
Author: Tiziano Bellini
ISBN: 9780128036112
Publisher: Elsevier Science
Publication: November 26, 2016
Imprint: Academic Press
Language: English

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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Elsevier Science

Cover of the book Haematology Case Studies with Blood Cell Morphology and Pathophysiology by Tiziano Bellini
Cover of the book East Asian Business in the New World by Tiziano Bellini
Cover of the book Pattern Recognition and Signal Analysis in Medical Imaging by Tiziano Bellini
Cover of the book Materials Selection in Mechanical Design by Tiziano Bellini
Cover of the book The Neuroscience of Cocaine by Tiziano Bellini
Cover of the book Food Protected Designation of Origin by Tiziano Bellini
Cover of the book The Tribology Handbook by Tiziano Bellini
Cover of the book The Political Economy of Business Ethics in East Asia by Tiziano Bellini
Cover of the book COSMO-RS by Tiziano Bellini
Cover of the book Advances in Wind Turbine Blade Design and Materials by Tiziano Bellini
Cover of the book Human Genes and Genomes by Tiziano Bellini
Cover of the book Convex Functions, Partial Orderings, and Statistical Applications by Tiziano Bellini
Cover of the book Aquaculture Virology by Tiziano Bellini
Cover of the book Offshore Wind Farms by Tiziano Bellini
Cover of the book Landslide Hazards, Risks, and Disasters by Tiziano Bellini
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy