Stress Testing for Risk Control Under Basel II

Written By Dimitris N. Chorafas
Stress Testing for Risk Control Under Basel II
  • Publsiher : Elsevier
  • Release : 08 April 2011
  • ISBN : 9780080467054
  • Pages : 360 pages
  • Rating : 1/5 from 1 reviews
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Download or read book entitled Stress Testing for Risk Control Under Basel II by author: Dimitris N. Chorafas which was release on 08 April 2011 and published by Elsevier with total page 360 pages . This book available in PDF, EPUB and Kindle Format. 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

Stress Testing for Risk Control Under Basel II

Stress Testing for Risk Control Under Basel II
  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Total pages : 360
  • ISBN : 9780080467054
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Summary : 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 ...

The Basel II Risk Parameters

The Basel II Risk Parameters
  • Author : Bernd Engelmann,Robert Rauhmeier
  • Publisher : Springer Science & Business Media
  • Release Date : 2011-03-31
  • Total pages : 426
  • ISBN : 9780080467054
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Summary : The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on ...

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  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Total pages : 352
  • ISBN : 9780080467054
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Summary : Written for professionals in financial services with responsibility for IT and risk management, Dimitris Chorafas surveys the methodology required and IT systems and structures to support it according to Basel II. The book is consistent with the risk management certification process of GARP, as well as the accounting rules of ...

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  • Author : Anonim
  • Publisher : Alchemy Technologies
  • Release Date : 2021-04-14
  • Total pages : 212
  • ISBN : 9780080467054
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Summary : Read online Internal Capital Adequacy Assessment Process ICAAP Overview Core Concepts written by , published by Alchemy Technologies which was released on . Download full Internal Capital Adequacy Assessment Process ICAAP Overview Core Concepts Books now! Available in PDF, ePub and Kindle....

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  • Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Financial Institutions and Consumer Protection
  • Publisher : Unknown
  • Release Date : 2012
  • Total pages : 73
  • ISBN : 9780080467054
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Summary : Read online Enhancing Safety and Soundness written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Financial Institutions and Consumer Protection, published by which was released on 2012. Download full Enhancing Safety and Soundness Books now! Available in PDF, ePub and Kindle....

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  • Publisher : Springer
  • Release Date : 2015-04-27
  • Total pages : 407
  • ISBN : 9780080467054
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Summary : Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing ...

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Summary : Looking at the entire spectrum of financial services risk management, this practical guide identifies the key current issues and the solutions adopted by firms....

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  • Author : Tsuyoshi Oyama
  • Publisher : John Wiley & Sons Incorporated
  • Release Date : 2010
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  • ISBN : 9780080467054
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Summary : Although many regulator and industrial reports on the lessons learned from the recent market turmoil have appeared recently, they still tend to be plagued by the silo-approach, discussing only specific issues independent of other important issues. Besides, they tend to be silent on the regulators' function to be addressed after ...

Management Of Banking And Financial Services 2 E

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  • Author : Suresh Padmalatha
  • Publisher : Pearson Education India
  • Release Date : 2011-09-01
  • Total pages : 620
  • ISBN : 9780080467054
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Summary : Read online Management Of Banking And Financial Services 2 E written by Suresh Padmalatha, published by Pearson Education India which was released on 2011-09-01. Download full Management Of Banking And Financial Services 2 E Books now! Available in PDF, ePub and Kindle....

Reserve Bank of India Bulletin

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  • Author : Reserve Bank of India
  • Publisher : Unknown
  • Release Date : 2012
  • Total pages : 212
  • ISBN : 9780080467054
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Summary : Read online Reserve Bank of India Bulletin written by Reserve Bank of India, published by which was released on 2012. Download full Reserve Bank of India Bulletin Books now! Available in PDF, ePub and Kindle....

A Guide to IMF Stress Testing

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  • Author : Ms.Li L Ong
  • Publisher : International Monetary Fund
  • Release Date : 2014-12-23
  • Total pages : 612
  • ISBN : 9780080467054
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Summary : The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers ...

Annual Report

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  • Author : Muʼassasat al-Naqd al-ʻArabī al-Saʻūdī,مؤسسة النقد العربي السعودي
  • Publisher : Unknown
  • Release Date : 2010
  • Total pages : 212
  • ISBN : 9780080467054
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Summary : Read online Annual Report written by Muʼassasat al-Naqd al-ʻArabī al-Saʻūdī,مؤسسة النقد العربي السعودي, published by which was released on 2010. Download full Annual Report Books now! Available in PDF, ePub and Kindle....

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  • Publisher : John Wiley & Sons
  • Release Date : 2015-10-12
  • Total pages : 576
  • ISBN : 9780080467054
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Summary : Presenting an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests, this guide offers the most up-to-date information and expert insight into real risk management, based on the authors' experience in ...

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  • Author : Bogie Ozdemir,Peter Miu
  • Publisher : McGraw Hill Professional
  • Release Date : 2008-07-10
  • Total pages : 121
  • ISBN : 9780080467054
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Summary : This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that ...

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  • Author : Patrick Naim,Laurent Condamin
  • Publisher : Wiley
  • Release Date : 2019-04-08
  • Total pages : 320
  • ISBN : 9780080467054
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Summary : Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in ...