Stress testing for risk control under Basel II:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford
Butterworth-Heinemann
2007
|
| Schriftenreihe: | Elsevier finance
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource (xxiii, 330 p.) |
| ISBN: | 9780750683050 0750683058 9780080467054 0080467059 |
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| 500 | |a 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 | ||
| 500 | |a Includes bibliographical references and index | ||
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Datensatz im Suchindex
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| any_adam_object | |
| author | Chorafas, Dimitris N. |
| author_facet | Chorafas, Dimitris N. |
| author_role | aut |
| author_sort | Chorafas, Dimitris N. |
| author_variant | d n c dn dnc |
| building | Verbundindex |
| bvnumber | BV042309696 |
| collection | ZDB-33-ESD ZDB-33-EBS |
| ctrlnum | (ZDB-33-EBS)ocn213298560 (OCoLC)213298560 (DE-599)BVBBV042309696 |
| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042309696 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:18:01Z |
| institution | BVB |
| isbn | 9780750683050 0750683058 9780080467054 0080467059 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027746688 |
| oclc_num | 213298560 |
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| physical | 1 Online-Ressource (xxiii, 330 p.) |
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| publishDate | 2007 |
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| publisher | Butterworth-Heinemann |
| record_format | marc |
| series2 | Elsevier finance |
| spelling | Chorafas, Dimitris N. Verfasser aut Stress testing for risk control under Basel II Dimitris N. Chorafas Oxford Butterworth-Heinemann 2007 1 Online-Ressource (xxiii, 330 p.) txt rdacontent c rdamedia cr rdacarrier Elsevier finance 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 Includes bibliographical references and index BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Financial risk management fast Wirtschaft Financial risk management http://www.sciencedirect.com/science/book/9780750683050 Verlag Volltext |
| spellingShingle | Chorafas, Dimitris N. Stress testing for risk control under Basel II BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Financial risk management fast Wirtschaft Financial risk management |
| title | Stress testing for risk control under Basel II |
| title_auth | Stress testing for risk control under Basel II |
| title_exact_search | Stress testing for risk control under Basel II |
| title_full | Stress testing for risk control under Basel II Dimitris N. Chorafas |
| title_fullStr | Stress testing for risk control under Basel II Dimitris N. Chorafas |
| title_full_unstemmed | Stress testing for risk control under Basel II Dimitris N. Chorafas |
| title_short | Stress testing for risk control under Basel II |
| title_sort | stress testing for risk control under basel ii |
| topic | BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Financial risk management fast Wirtschaft Financial risk management |
| topic_facet | BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management Financial risk management Wirtschaft |
| url | http://www.sciencedirect.com/science/book/9780750683050 |
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