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: | FAW01 FAW02 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 Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; -- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; -- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource (xxiii, 330 p.) |
| ISBN: | 0080467059 0750683058 9780080467054 9780750683050 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV043044096 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151123s2007 |||| o||u| ||||||eng d | ||
| 020 | |a 0080467059 |c electronic bk. |9 0-08-046705-9 | ||
| 020 | |a 0750683058 |9 0-7506-8305-8 | ||
| 020 | |a 9780080467054 |c electronic bk. |9 978-0-08-046705-4 | ||
| 020 | |a 9780750683050 |9 978-0-7506-8305-0 | ||
| 035 | |a (OCoLC)213298560 | ||
| 035 | |a (DE-599)BVBBV043044096 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1046 |a DE-1047 | ||
| 082 | 0 | |a 658.155 |2 22 | |
| 100 | 1 | |a Chorafas, Dimitris N. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Stress testing for risk control under Basel II |c Dimitris N. Chorafas |
| 264 | 1 | |a Oxford |b Butterworth-Heinemann |c 2007 | |
| 300 | |a 1 Online-Ressource (xxiii, 330 p.) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Elsevier finance | |
| 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 Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; -- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; -- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management |2 bisacsh | |
| 650 | 7 | |a Financial risk management |2 fast | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Financial risk management | |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBA | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028468632 | ||
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357 |l FAW01 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357 |l FAW02 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804175409534730240 |
|---|---|
| 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 | BV043044096 |
| collection | ZDB-4-EBA |
| ctrlnum | (OCoLC)213298560 (DE-599)BVBBV043044096 |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04540nmm a2200445zc 4500</leader><controlfield tag="001">BV043044096</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151123s2007 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0080467059</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">0-08-046705-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0750683058</subfield><subfield code="9">0-7506-8305-8</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780080467054</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-0-08-046705-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780750683050</subfield><subfield code="9">978-0-7506-8305-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)213298560</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043044096</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">658.155</subfield><subfield code="2">22</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Chorafas, Dimitris N.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Stress testing for risk control under Basel II</subfield><subfield code="c">Dimitris N. Chorafas</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford</subfield><subfield code="b">Butterworth-Heinemann</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (xxiii, 330 p.)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Elsevier finance</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; -- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; -- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Financial risk management</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial risk management</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028468632</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357</subfield><subfield code="l">FAW01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357</subfield><subfield code="l">FAW02</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043044096 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:15:50Z |
| institution | BVB |
| isbn | 0080467059 0750683058 9780080467054 9780750683050 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028468632 |
| oclc_num | 213298560 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 |
| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xxiii, 330 p.) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| 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 Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; -- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; -- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index Includes bibliographical references and index BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Financial risk management fast Wirtschaft Financial risk management http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357 Aggregator 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://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187357 |
| work_keys_str_mv | AT chorafasdimitrisn stresstestingforriskcontrolunderbaselii |