Stress testing for financial institutions: applications, regulations and techniques
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Riskbooks
2008
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes index |
| Beschreibung: | XXXIX, 457 S. graph. Darst. |
| ISBN: | 9781906348113 1906348111 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804148505165430784 |
|---|---|
| adam_text | Titel: Stress testing for financial institutions
Autor: Rösch, Daniel
Jahr: 2008
Contents
List of Figures ix
List of Tables xv
About the Editors xix
About the Authors xxi
Foreword xxxv
Introduction xxxvii
Daniel Rösch; Harald Scheule
Leibniz Universität Hannover; Hong Kong Institute
for Monetary Research, University of Melbourne
SECTION 1: STRESS-TESTING FRAMEWORKS 1
1 Integrating Stress-Testing Frameworks 3
Daniel Rösch; Harald Scheule
Leibniz Universität Hannover; Hong Kong Institute
for Monetary Research, University of Melbourne
2 Stress Tests, Market Risk Measures and Extremes: Bringing
Stress Tests to the Forefront of Market Risk Management 17
Jose Aragones; Carlos Blanco; Kevin Dowd
Universidad Complutense; Black Swan Risk Advisors, LLC;
Nottingham University Business School
SECTION 2: STRESS TESTING FOR CORPORATE
CREDIT RISK 35
3 Credit Cycle Stress Testing Using a Point-in-Time
Rating System 37
Sean Keenan, David Li and Stefano Santilli; Andrew Barnes,
Kete Chalermkraivuth and Radu Neagu
GE Capital; GE Global Research Center
4 Stress-Testing Credit Value-at-Risk: a Multiyear
Approach 67
Alfred Hamerle, Rainer Jobst; Michael Knapp,
Matthias Lerner
University of Regensburg; Risk Research Prof. Hamerle
GmbH Co. KG
5 Stress Testing the Impact of Group Dependence
on Credit Portfolio Risk 93
Steven Vanduffel; Bostjan Aver; Andrew Chernih;
Luc Henrard; Carmen Ribas
Vrije Universiteit Brüssels (VUB); Vzajemna, Nova
Gorica; X-Act Consulting; Catholic University of Louvain;
University of Barcelona
6 Hedge the Stress: Using Stress Tests to Design
Hedges for Foreign Currency Loans 111
Thomas Breuer, Martin Jandacka and Klaus Rheinberger;
Martin Summer
FH Vorarlberg; Oesterreichische Nationalbank
SECTION 3: STRESS TESTING FOR RETAIL CREDIT RISK 127
7 Survey of Retail Loan Portfolio Stress Testing 129
Joseph L. Breeden
Strategie Analytics Inc.
8 Stress Tests for Retail Loan Portfolios 159
Bernd Engelmann; Evelyn Hayden
Quanteam AG; Oesterreichische Nationalbank
9 Stress-Testing Banks Credit Risk Using Mixture
Vector Autogressive Models 173
Tom Pak-Wing Fang; Chun-Shan Wong
Hong Kong Monetary Authority; The Chinese
University of Hong Kong
SECTION 4: STRESS TESTING FOR ECONOMIC CAPITAL 195
10 Uncertainty, Credit Migration, Stressed Scenarios
and Portfolio Losses 197
Jorge Sobehart
Citigroup Risk Architecture
11 Worst-Case and Stressed Correlations in
the Asymptotic Single Risk Factor Model 237
Steffi Hose, Stefan Huschens
Technische Universität Dresden
12 Risk Aggregation, Dependence Structure
and Diversification Benefit 265
Roland Bürgi, Michel Dacorogna and Roger lies
SCOR Switzerland
13 Stress-Testing Credit Distributions of Banks
Portfolios: Risk Structure and Concentration Issues 307
Adolfo Rodriguez, Carlos Trucharte
Bank of Spain
14 Time-Varying Correlations for Credit Risk: Modelling,
Estimating and Stress Testing 349
Oleg Burd
KfW IPEX-Bank GmbH
SECTION 5: STRESS TESTING FOR REGULATORY CAPITAL 377
15 Macro Model-Based Stress Testing of Basel II
Capital Requirements 379
Esa Jokivuolle, Kimmo Virolainen and Oskari Vähämaa
Bank of Finland
16 Risk Tolerance Concepts and Scenario Analysis
of Bank Capital 399
Hakan Andersson and Andreas Lindeil
Stockholm University and Swedbank
17 Basel II-Type Stress Testing of Credit Portfolios 423
Ferdinand Mager; Christian Schmieder
Queensland University of Technology; Deutsche
Bundesbank, European Investment Bank
Epüogue: Fishing for Complements 443
Christopher C. Finger
RiskMetrics Group
Index 453
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| id | DE-604.BV039647409 |
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| indexdate | 2024-07-10T00:08:12Z |
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| isbn | 9781906348113 1906348111 |
| language | English |
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| spelling | Stress testing for financial institutions applications, regulations and techniques ed. by Daniel Rösch ... London Riskbooks 2008 XXXIX, 457 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes index Financial risk management. Rösch, Daniel 1968- Sonstige (DE-588)171503228 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024497174&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stress testing for financial institutions applications, regulations and techniques |
| title | Stress testing for financial institutions applications, regulations and techniques |
| title_auth | Stress testing for financial institutions applications, regulations and techniques |
| title_exact_search | Stress testing for financial institutions applications, regulations and techniques |
| title_full | Stress testing for financial institutions applications, regulations and techniques ed. by Daniel Rösch ... |
| title_fullStr | Stress testing for financial institutions applications, regulations and techniques ed. by Daniel Rösch ... |
| title_full_unstemmed | Stress testing for financial institutions applications, regulations and techniques ed. by Daniel Rösch ... |
| title_short | Stress testing for financial institutions |
| title_sort | stress testing for financial institutions applications regulations and techniques |
| title_sub | applications, regulations and techniques |
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