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Stress-Testing for Financial Institutions: Applications, Regulations and Techniques
Incisive Media, December 2008, Pages: 498
Stress Testing for Financial Institutions will provide you with guidance in regard to the stress testing process and includes several chapters on scenario analysis written by practitioners at Citigroup, Swedbank, GE Capital and the Bank of Finland.
This is the 'only' book currently on the market that focuses solely on this subject, with sections broken down into close examination of stress testing in the context of corporate and retail credit risk, economic capital and regulatory capital.
This book is essential for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
Stress Testing for Financial Institutions examines the regulatory and economic needs of banks and insurance companies and focuses on practical advice and solutions to everyday problems.
For regulators and practitioners, this book examines the regulatory and economic needs of banks and insurance companies, focusing on practical advice and solutions to everyday problems.
In line with the new Basel proposals, banks have to stress-test their assessment of capital adequacy. In recent years, they have developed internal models, which are currently under review by the respective regulators for approval. This book provides guidance for regulators and practitioners with regard to the stress-testing process.
Stress-testing for Financial Institutions is a comprehensive guide to this ‘unsolved issue’ in financial risk management. With no other book currently on the market that focuses solely on stress-testing for financial institutions, this couldn’t come at a better time. It includes chapters from academics, practitioners and regulators to cover the full spectrum of debate and perspectives on stress-testing. It includes innovative research from leading names in model analysis, and will help you to gain an insight into the regulations, constraints, and solutions to stress-testing in financial institutions.
Recommended for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
On 11 February 2009, U.S. Treasury Secretary Tim Geithner stated:
"... government agencies with authority will initiate a more consistent, realistic, and forward looking assessment about the risk on balance sheets. We are calling it a financial "stress test." We want banks' balance sheets cleaner and stronger."
Section 1: Stress testing frameworks
1 Integrating Stress Testing Frameworks
Daniel Rösch and Harald Scheule
2 Stress Tests, Market Risk Measures and Extremes: Bringing Stress Tests to the Forefront of Market Risk Management
José Aragonés, Carlos Blanco and Kevin Dowd
Section 2: Stress testing for corporate credit risk
3 Credit Cycle Stress Testing Using a Point in Time Rating System
Sean Keenan, David Li, Stefano Santilli, Andrew Barnes, Kete Chalermkraivuth and Radu Neagu
4 Stress-Testing Credit Value-at-Risk: a Multiyear Approach
Alfred Hamerle, Rainer Jobst, Michael Knapp and Matthias Lerner
5 Stress Testing the Impact of Group Dependence on Credit Portfolio Risk
Steven Vanduffel, Boštjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas
6 Hedge the Stress: Using Stress Tests to Design Hedges for Foreign Currency Loans
Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer
Section 3: Stress testing for retail credit risk
7 Survey of Retail Loan Portfolio Stress Testing
8 Stress Tests for Retail Loan Portfolios
Bernd Engelmann and Evelyn Hayden
9 Stress Testing Banks’ Credit Risk: Using Mixture Vector Autogressive Models
Tom Pak-Wing Fong and Chun-Shan Wong
Section 4: Stress testing for economic capital
10 Uncertainty, Credit Migration, Stressed Scenarios and Portfolio Losses
11 Worst-Case and Stressed Correlations in the Asymptotic Single Risk Factor Model
Steffi Höse and Stefan Huschens
12 Risk Aggregation, Dependence Structure and Diversification Benefit
Roland Bürgi, Michel Dacorogna and Roger Iles
13 Stress Testing Credit Distributions of Banks' Portfolios: Risk Structure and Concentration Issues
Adolfo Rodríguez and Carlos Trucharte
14 Time-varying Correlations for Credit Risk: Modelling, Estimating and Stress Testing
Section 5: Stress testing for regulatory capital
15 Macro Model-Based Stress Testing of Basel II Capital Requirements
Esa Jokivuolle, Kimmo Virolainen and Oskari Vähämaa
16 Risk Tolerance Concepts and Scenario Analysis of Bank Capital
Hakan Andersson and Andreas Lindell
17 Basel II-Type Stress Testing of Credit Portfolios
Ferdinand Mager and Christian Schmieder
Fishing for Complements
Professor Dr Daniel Rösch, Institute of Banking and Finance, Leibniz Universität Hannover
Daniel Rösch is Professor of Management and Head of the Institute of Banking and Finance at the Leibniz Universität Hannover. He received a Ph.D. from the University of Regensburg. His work covers a broad range in asset pricing and empirical finance. He has published numerous articles on risk management, credit risk, banking, and quantitative finance in leading international journals and has organized numerous executive training courses on these topics.
Dr Harald Scheule, Department of Finance, The University of Melbourne
Harald Scheule is teaching Banking and Finance at The University of Melbourne. He has worked globally as a consultant on credit risk, structured finance and securitisation projects for banks, insurance and other financial service companies. He maintains strong research relationships with the Australian, German and Hong Kong regulators for financial institutions. He has extensively published and organized executive training courses in his discipline.