Stress testing and risk integration in banks: a statistical framework and practical software guide (in Matlab and R)
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Amsterdam
Elsevier
[2017]
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xvii, 297 Seiten Illustrationen |
| ISBN: | 9780128035900 0128035900 |
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MARC
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Record in the Search Index
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| adam_text | Contents
Tizlano Bellini s Biography xiii
Preface xv
Acknowledgments xvii
1. Introduction to Stress Testing and Risk Integration 1
1.1 Antidote to the Crisis 1
1.1.1 What Went Wrong 2
1.1.2 Regulatory Responses 4
1.2 Stress Testing, Risk Integration, and Reverse Stress Testing 7
1.2.1 Stress Testing 7
1.2.2 Risk Integration and Reverse Stress Testing 12
1.3 Book Structure at a Glance 15
1.3.1 Organization of the Book 17
1.4 Summary 22
References 23
2. Macroeconomic Scenario Analysis from a Bank
Perspective 25
Key Abbreviations and Symbols 26
2.1 Introduction 26
2.2 Autoregression and Moving-Average Modeling 27
2.2.1 AR(p) Analysis 28
2.2.2 MA(q) Analysis 28
2.2.3 ARMA(p,#) Analysis 29
2.2.4 Box-Jenkins Time Series Analysis 31
2.3 Vector Autoregression and Vector Error-Correction Modeling 34
2.3.1 Vector Autoregression and Vector Error-Correction Analysis 34
2.3.2 Vector Autoregression and Vector Error-Correction Forecast 42
2.3.3 Impulse Response Analysis 46
2.4 Global Vector Autoregression Modeling 47
2.4.1 Introduction to the Global Vector Autoregression Model 47
2.4.2 Global Vector Autoregression Analysis 48
2.4.3 Global Vector Autoregression Forecast 51
2.4.4 Generalized Impulse Response Analysis 52
2.5 Stress Testing Scenario 53
2.5.1 Scenario Design 54
2.5.2 Conditional Forecasting 55
• *
VII
viii Contents
2.5.3 Bank Alpha s Stress Testing Scenario 57
2.5.4 Macroeconomic Modeling and Satellite Frameworks 58
2.6 Summary 60
Suggestions for Further Reading 60
Appendix. Robust Vector Error Correction Model: A Forward
Search Approach 61
Exercises 69
References 70
3. Asset and Liability Management, and Value at Risk 73
Key Abbreviations and Symbols 74
3.1 Introduction 75
3.2 Margin at Risk 77
3.2.1 Margin at Risk Estimation 81
3.2.2 Interest Rate Sensitivity Analysis 90
3.2.3 Term Structure of interest Rates 93
3.2.4 Margin at Risk Under a Stress Testing Scenario 97
3.2.5 Bank Alpha s Stress Testing Margin at Risk 98
3.3 Value at Risk 99
3.3.1 Variance-Covariance Value at Risk 103
3.3.2 Monte Carlo Simulation Value at Risk 105
3.3.3 Historical Simulation Value at Risk 106
3.3.4 Stress Testing and Regulatory Value at Risk 107
3.3.5 Bank Alpha s Market RWA 1 09
3.4 Liquidity Analysis 109
3.4.1 Bank Alpha s Liquidity Analysis 111
3.5 Summary 114
Suggestions for Further Reading 114
Appendix A. Kalman Filter for Affine Term Structure Models 115
Appendix B. Robust Kalman Filter: A Forward Search Approach
to Estimate Affine Term Structure Models 117
Exercises 119
References 120
4. Portfolio Credit Risk Modeling 123
Key Abbreviations and Symbols 124
4.1 Introduction 124
4.2 Credit Portfolio Modeling 125
4.2.1 Credit Loss Distribution 126
4.2.2 CreditMetrics 131
4.2.3 Credit Portfolio Modeling With Copulas 138
4.3 Credit Risk-Weighted Assets 142
4.3.1 Standardized Credit Risk-Weighted Assets 142
4.3.2 Internal Ratings-Based Credit Risk-Weighted Assets 144
4.3.3 Bank Alpha s RWAs for Credit Risk 148
Contents ix
4.4 How to Link Credit Risk Parameters and
Macroeconomic Variables 148
4.4.1 Default Probability and Macroeconomic Variables 149
4.4.2 Loss Given Default and Macroeconomic Variables 1 51
4.5 Portfolio Credit Risk Stress Testing 152
4.5.1 Stress Testing Risk-Weighted Assets 152
4.5.2 Portfolio Credit Stress Testing 154
4.6 Summary 155
Suggestions for Further Reading 156
Appendix A: Default Probability Estimation Via Logit Regression 156
Appendix B: The Forward Search for Elliptical Copulas 158
Exercises 160
References 161
5. Balance Sheet, and Profit and Loss Stress Testing
Projections 163
Key Abbreviations and Symbols 164
5.1 Introduction 164
5.2 Balance Sheet Projection 165
5.2.1 Credit Life Cycle 166
5.2.2 Performing Portfolio Projection 169
5.2.3 Nonperforming Portfolio Projection 172
5.2.4 Trading Book,, Other Assets, and Liabilities Projection 1 73
5.2.5 Bank Alpha s Stress Testing Balance Sheet 1 76
5.3 Profit and Loss Projection 179
5.3.1 Profit and Loss Mechanics 1 79
5.3.2 Bank Alpha s Stress Testing Profit and Loss 183
5.4 Conduct and Operational Risk Stress Testing 187
5.4.1 Projection of Conduct and Operational Losses 187
5.4.2 Risk-Weighted Assets for Operational Risk 187
5.4.3 Bank Alpha s Stress Testing Operational RWA 190
5.5 Summary 191
Suggestions for Further Reading 191
Exercises 192
References 193
6. Regulatory Capital, RWA, Leverage, and Liquidity
Requirements Under Stress 195
6.1 Introduction 196
6.2 Regulatory Capital 198
6.2.1 How to Compute the Regulatory Capital 199
6.2.2 Bank Alpha s Stress Testing Regulatory Capital 203
6.3 Risk-Weighted Assets and Capital Ratios 208
6.3.1 Bank Alpha s Risk-Weighted Assets (From a Silo Perspective) 208
6.3.2 Risk-Weighted Asset Aggregation 211
x Contents
6.3.3 Bank Alpha s Stress Testing Capital Ratios 213
6.4 Leverage and Liquidity Ratios 216
6.4.1 Leverage Ratio 216
6.4.2 Bank Alpha s Stress Testing Leverage 21 7
6.4.3 Liquidity Coverage Ratio 219
6.4.4 Bank Alpha s Stress Testing Liquidity Coverage Ratio 220
6.4.5 Net Stable Funding Ratio 222
6.4.6 Bank Alpha s Stress Testing Net Stable Funding Ratio 224
6.5 Summary 227
Suggestions for Further Reading 232
Exercises 232
References 234
7. Risk Integration 235
Key Abbreviations and Symbols 236
7.1 Introduction 236
7.2 Top-Down Risk Integration Modeling 238
7.2.1 Basic Integration 238
7.2.2 Top-Level Integration 239
7.2.3 Base-Level Integration 244
7.3 Bottom-Up Economic Capital Integration Modeling 246
7.3.1 Economic Capital Integration 246
7.3.2 Integration Process 247
7.3.3 Bank Alpha s Integrated Economic Capital 254
7.4 Bottom-Up Liquidity Integration Modeling 256
7.4.1 Risk Integration: Liquidity (Short-Term Perspective) 257
7.4.2 Bank Alpha s Integrated Liquidity 261
7.5 Summary 262
Suggestions for Further Reading 262
Exercises 263
References 263
8. Reverse Stress Testing 265
Key Abbreviations and Symbols 266
8.1 Introduction 266
8.2 Reverse Stress Testing Objective Function 267
8.2.1 Reverse Stress Testing: Economic Capital Versus Liquidity
Mismatching 267
8.3 Integrated Risk Modeling and Vulnerability Thresholds 269
8.3.1 Long- and Short-Run Risk Integration 269
8.3.2 Vulnerability Thresholds 270
8.4 Bank-Specific Disastrous Event Fact Finding 273
8.4.1 Trading Book 273
8.4.2 Banking Book 277
8.4.3 Liquidity and Overall Financial Structure 279
Contents xi
8.5 Exploration of Ruinous Macroeconomic Scenarios 281
8.5.1 Long-and Short-Run Ruinous Scenarios 281
8.5.2 Conditional Mean and Hull Contours 283
8.5.3 Bank Alpha s Ruinous Scenario Analysis 287
8.6 Summary 287
Suggestions for Further Reading 289
Exercises 289
References 289
index 291
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| illustrated | Illustrated |
| indexdate | 2024-07-10T07:41:11Z |
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| isbn | 9780128035900 0128035900 |
| language | English |
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| spelling | Bellini, Tiziano Verfasser (DE-588)1122755341 aut Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) Tiziano Bellini Amsterdam Elsevier [2017] xvii, 297 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Stresstest (DE-588)7730549-8 gnd rswk-swf Simulation (DE-588)4055072-2 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Bank (DE-588)4004436-1 s Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Stresstest (DE-588)7730549-8 s Simulation (DE-588)4055072-2 s b DE-604 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029420783&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bellini, Tiziano Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Stresstest (DE-588)7730549-8 gnd Simulation (DE-588)4055072-2 gnd Bank (DE-588)4004436-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4114309-7 (DE-588)7730549-8 (DE-588)4055072-2 (DE-588)4004436-1 |
| title | Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) |
| title_auth | Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) |
| title_exact_search | Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) |
| title_full | Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) Tiziano Bellini |
| title_fullStr | Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) Tiziano Bellini |
| title_full_unstemmed | Stress testing and risk integration in banks a statistical framework and practical software guide (in Matlab and R) Tiziano Bellini |
| title_short | Stress testing and risk integration in banks |
| title_sort | stress testing and risk integration in banks a statistical framework and practical software guide in matlab and r |
| title_sub | a statistical framework and practical software guide (in Matlab and R) |
| topic | Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Stresstest (DE-588)7730549-8 gnd Simulation (DE-588)4055072-2 gnd Bank (DE-588)4004436-1 gnd |
| topic_facet | Risikomanagement Kreditrisiko Stresstest Simulation Bank |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029420783&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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