Handbook of financial stress testing:
Gespeichert in:
| Weitere Verfasser: | , , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2022
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xvii, 709 Seiten |
| ISBN: | 9781108830737 |
Internformat
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| 245 | 1 | 0 | |a Handbook of financial stress testing |c edited by J. Doyne Farmer, University of Oxford, Alissa M. Kleinnijenhuis, University of Oxford, Til Schuermann, Oliver Wyman Limited, Thom Wetzer, University of Oxford ; foreword by Timothy F. Geithner |
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Datensatz im Suchindex
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| adam_text | Contents x xv List of Contributors Foreword Timothy F. Geithner 1 Introduction and Overview J. Doyne Farmer, Alissa Μ. Kleinnijenhuis, Til Schuermann, and Thom Wetzer Part I 1 History and Objectives 7 2 Objectives and Challenges of Stress Testing Richard J. Herring and Til Schuermann 3 Fit for Purpose? The Evolving Role of Stress Testing for Financial Systems 32 Udaihir Das, Kieran Dent, and Miguel Segoviano 4 Why Banks Failed the Stress Test: A Progress Report on Stress Testing 10 Years On 47 Nicola Anderson, Alex Brazier, Andrew Haldane, Paul NahaiWilliamson, and Amar Radia Part II 5 6 7 9 Inputs and Outputs Macrofinancial Stress Test Scenario Design—for Banks and Beyond Marco Gross, Jéròme Henry, and Elena Rancoita The Role of Heterogeneity in Scenario Design for Financial Stability Stress Testing Mark D. Flood, Jonathan Jones, Matthew Pritsker, and Akhtar Siddique Designing Coherent Scenarios: A Practitioner Perspective Greg Hopper vii 75 77 98 128
Contents viii 8 Stress Testing with Market Data Robert Engle 142 9 On Market-Based Approaches to the Valuation of Capital Natasha Sarin and Lawrence H. Summers 162 10 Granular Data Offer New Opportunities for Stress Testing Cees Ullersma and Iman van Lelyveld 185 11 Stress Test Disclosure: Theory, Practice, and New Perspectives Itay Goldstein and Yaron Leitner 208 12 Stress Testing during Times of War Kathryn Judge 224 Part III Microprudential Stress Testing 245 13 Stress Testing for Commercial, Investment, and Custody Banks Daniel Cope, Carey Hsu, Clinton Lively, James Morgan, Til Schuermann, and Evan Sekeris 247 14 Microprudential Stress Testing for Asset Managers Jacques Longerstaey 271 15 Stress Testing for Insurers Brian Peters 289 16 Model Risk Management in Stress Testing and Capital Planning Eduardo Canabarro 17 A Supervisory Perspective on Stress Testing—the US Experience Tim P. Clark 18 Strengths and Weaknesses of Microprudential Stress Testing for Financial Institutions 331 Christine Μ. Cumming Part IV A Macroprudential Perspective on the Financial System 19 The Structure of the Financial System: Implications for Macroprudential Stress Testing Gonzalo Fernandez Dionis and Patricia C. Mosser 301 316 3 51 353 20 Holistic Bank Regulation Charles A. E. Goodhart 370 21 Leverage and Macroprudential Policy John Geanakoplos 381
Contents їх 22 Monetary Policy and Financial Stability William B. English 410 23 Stress Testing Networks: The Case of Central Counterparties Richard B. Berner, Stephen G. Cecchetti, and Kermit L. Schoenholtz 431 Part V Macroprudential Stress Testing 24 Enhancing Stress Tests by Adding Macroprudential Elements William F. Bassett and David E. Rappoport 25 Accounting for Amplification Mechanisms in Bank Stress Test Models at the Bank of Canada Grzegorz Halaj and Virginie Traclet 453 455 484 26 Stress Testing at the International Monetary Fund Tobias Adrian, James Morsink, and Liliana Schumacher 511 27 A Comprehensive Approach to Macroprudential Stress Testing Anthony Bousquet, Jérôme Henry, and Dawid Zochowski 557 28 A Complex Systems Perspective on Macroprudential Regulation Stefan Thurner 593 29 Stress Testing a Central Bank’s Own Balance Sheet Nathanael Benjamin, Abigail Haddow, and David Jacobs 635 Part VĪ ЗО Index Concluding Thoughts: The Road Ahead Stress Testing the Financial Microcosm J. Doyne Farmer, Alissa Μ. Kleinnijenhuis, and Thom Wetzer 659 661 697
|
| adam_txt |
Contents x xv List of Contributors Foreword Timothy F. Geithner 1 Introduction and Overview J. Doyne Farmer, Alissa Μ. Kleinnijenhuis, Til Schuermann, and Thom Wetzer Part I 1 History and Objectives 7 2 Objectives and Challenges of Stress Testing Richard J. Herring and Til Schuermann 3 Fit for Purpose? The Evolving Role of Stress Testing for Financial Systems 32 Udaihir Das, Kieran Dent, and Miguel Segoviano 4 Why Banks Failed the Stress Test: A Progress Report on Stress Testing 10 Years On 47 Nicola Anderson, Alex Brazier, Andrew Haldane, Paul NahaiWilliamson, and Amar Radia Part II 5 6 7 9 Inputs and Outputs Macrofinancial Stress Test Scenario Design—for Banks and Beyond Marco Gross, Jéròme Henry, and Elena Rancoita The Role of Heterogeneity in Scenario Design for Financial Stability Stress Testing Mark D. Flood, Jonathan Jones, Matthew Pritsker, and Akhtar Siddique Designing Coherent Scenarios: A Practitioner Perspective Greg Hopper vii 75 77 98 128
Contents viii 8 Stress Testing with Market Data Robert Engle 142 9 On Market-Based Approaches to the Valuation of Capital Natasha Sarin and Lawrence H. Summers 162 10 Granular Data Offer New Opportunities for Stress Testing Cees Ullersma and Iman van Lelyveld 185 11 Stress Test Disclosure: Theory, Practice, and New Perspectives Itay Goldstein and Yaron Leitner 208 12 Stress Testing during Times of War Kathryn Judge 224 Part III Microprudential Stress Testing 245 13 Stress Testing for Commercial, Investment, and Custody Banks Daniel Cope, Carey Hsu, Clinton Lively, James Morgan, Til Schuermann, and Evan Sekeris 247 14 Microprudential Stress Testing for Asset Managers Jacques Longerstaey 271 15 Stress Testing for Insurers Brian Peters 289 16 Model Risk Management in Stress Testing and Capital Planning Eduardo Canabarro 17 A Supervisory Perspective on Stress Testing—the US Experience Tim P. Clark 18 Strengths and Weaknesses of Microprudential Stress Testing for Financial Institutions 331 Christine Μ. Cumming Part IV A Macroprudential Perspective on the Financial System 19 The Structure of the Financial System: Implications for Macroprudential Stress Testing Gonzalo Fernandez Dionis and Patricia C. Mosser 301 316 3 51 353 20 Holistic Bank Regulation Charles A. E. Goodhart 370 21 Leverage and Macroprudential Policy John Geanakoplos 381
Contents їх 22 Monetary Policy and Financial Stability William B. English 410 23 Stress Testing Networks: The Case of Central Counterparties Richard B. Berner, Stephen G. Cecchetti, and Kermit L. Schoenholtz 431 Part V Macroprudential Stress Testing 24 Enhancing Stress Tests by Adding Macroprudential Elements William F. Bassett and David E. Rappoport 25 Accounting for Amplification Mechanisms in Bank Stress Test Models at the Bank of Canada Grzegorz Halaj and Virginie Traclet 453 455 484 26 Stress Testing at the International Monetary Fund Tobias Adrian, James Morsink, and Liliana Schumacher 511 27 A Comprehensive Approach to Macroprudential Stress Testing Anthony Bousquet, Jérôme Henry, and Dawid Zochowski 557 28 A Complex Systems Perspective on Macroprudential Regulation Stefan Thurner 593 29 Stress Testing a Central Bank’s Own Balance Sheet Nathanael Benjamin, Abigail Haddow, and David Jacobs 635 Part VĪ ЗО Index Concluding Thoughts: The Road Ahead Stress Testing the Financial Microcosm J. Doyne Farmer, Alissa Μ. Kleinnijenhuis, and Thom Wetzer 659 661 697 |
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| spelling | Handbook of financial stress testing edited by J. Doyne Farmer, University of Oxford, Alissa M. Kleinnijenhuis, University of Oxford, Til Schuermann, Oliver Wyman Limited, Thom Wetzer, University of Oxford ; foreword by Timothy F. Geithner Cambridge Cambridge University Press 2022 xvii, 709 Seiten txt rdacontent n rdamedia nc rdacarrier Financial risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Stresstest (DE-588)7730549-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Bank (DE-588)4004436-1 s Stresstest (DE-588)7730549-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Farmer, J. Doyne 1952- (DE-588)171854373 edt Kleinnijenhuis, Alissa M. edt Schuermann, Til (DE-588)115296913 edt Wetzer, Thomas 1986- (DE-588)1126597406 edt Geithner, Timothy 1961- (DE-588)1046875280 wpr Erscheint auch als Online-Ausgabe 978-1-108-90301-1 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=033342531&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of financial stress testing Financial risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Stresstest (DE-588)7730549-8 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4004436-1 (DE-588)7730549-8 (DE-588)4143413-4 |
| title | Handbook of financial stress testing |
| title_auth | Handbook of financial stress testing |
| title_exact_search | Handbook of financial stress testing |
| title_exact_search_txtP | Handbook of financial stress testing |
| title_full | Handbook of financial stress testing edited by J. Doyne Farmer, University of Oxford, Alissa M. Kleinnijenhuis, University of Oxford, Til Schuermann, Oliver Wyman Limited, Thom Wetzer, University of Oxford ; foreword by Timothy F. Geithner |
| title_fullStr | Handbook of financial stress testing edited by J. Doyne Farmer, University of Oxford, Alissa M. Kleinnijenhuis, University of Oxford, Til Schuermann, Oliver Wyman Limited, Thom Wetzer, University of Oxford ; foreword by Timothy F. Geithner |
| title_full_unstemmed | Handbook of financial stress testing edited by J. Doyne Farmer, University of Oxford, Alissa M. Kleinnijenhuis, University of Oxford, Til Schuermann, Oliver Wyman Limited, Thom Wetzer, University of Oxford ; foreword by Timothy F. Geithner |
| title_short | Handbook of financial stress testing |
| title_sort | handbook of financial stress testing |
| topic | Financial risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Stresstest (DE-588)7730549-8 gnd |
| topic_facet | Financial risk management Risikomanagement Bank Stresstest Aufsatzsammlung |
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