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 ...

Risk Management Technology in Financial Services

Risk Management Technology in Financial Services
  • 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 ...

Financial Risk Management

Financial Risk Management
  • Author : Jimmy Skoglund,Wei Chen
  • 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 ...

Basel III the Devil and Global Banking

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  • Author : D. Chorafas
  • Publisher : Springer
  • Release Date : 2011-11-22
  • Total pages : 287
  • ISBN : 9780080467054
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Summary : The banking industry extensively lobbied against Basel III and governments have been keen to delay its full implementation. Chorafas' latest book takes a well-rounded approach on Basel III's strengths and weaknesses and explains how, without deep restructuring of the global banking industry, (like Basel II) Basel III will fail....

Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance

Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance
  • Author : Md. Fazly Rabbi
  • Publisher : Unknown
  • Release Date : 2012
  • Total pages : 75
  • ISBN : 9780080467054
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Summary : Read online Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance written by Md. Fazly Rabbi, published by which was released on 2012. Download full Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance Books now! Available in PDF, ePub and Kindle....

Sovereign Debt Crisis

Sovereign Debt Crisis
  • Author : D. Chorafas
  • Publisher : Springer
  • Release Date : 2011-06-13
  • Total pages : 275
  • ISBN : 9780080467054
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Summary : Restructuring the balance sheets of Western governments, banks and households is an important issue in the recovery after the recent crisis. Chorafas' latest book focuses on sovereign debt, sovereign risk and the developing economic and financial business climate and explains why the year of the big crisis may fall in ...

Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2016-11-26
  • Total pages : 316
  • ISBN : 9780080467054
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Summary : Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities ...

Guide to Optimal Operational Risk and BASEL II

Guide to Optimal Operational Risk and BASEL II
  • Author : Ioannis S. Akkizidis,Vivianne Bouchereau
  • Publisher : CRC Press
  • Release Date : 2005-11-01
  • Total pages : 440
  • ISBN : 9780080467054
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Summary : Guide to Optimal Operational Risk and Basel II presents the key aspects of operational risk management that are also aligned with the Basel II requirements. This volume provides detailed guidance for the design and implementation of an efficient operational risk management system. It contains all elements of assessment, including operational ...

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  • Author : Dimitris N. Chorafas
  • Publisher : Springer
  • Release Date : 2016-04-30
  • Total pages : 242
  • ISBN : 9780080467054
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Summary : As financial positions expand, the economy becomes more vulnerable to adverse and unexpected developments taking place outside the six to seven year business cycle. Over 50 years ago Nikolai Kondratieff developed the theory of "The Long Waves in Economic Life", which incorporated an extended cycle of innovation and upward thrust, and ...

XVA Desks A New Era for Risk Management

XVA Desks   A New Era for Risk Management
  • Author : I. Ruiz
  • 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 ...

Risk Management and Financial Institutions

Risk Management and Financial Institutions
  • Author : John C. Hull
  • Publisher : John Wiley & Sons
  • Release Date : 2018-03-14
  • Total pages : 832
  • ISBN : 9780080467054
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Summary : The most complete, up-to-date guide to risk management in finance Risk Management and Financial Institutions, Fifth Edition explains all aspects of financial risk and financial institution regulation, helping you better understand the financial markets—and their potential dangers. Inside, you’ll learn the different types of risk, how and where ...

Economic Capital Allocation with Basel II

Economic Capital Allocation with Basel II
  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2004-02-09
  • Total pages : 448
  • ISBN : 9780080467054
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Summary : This book is a complimentary follow-on book to Operational Risk Control with Basel II. While the previous book focuses on operational risk, Economic Capital Allocation provides an overview of credit risk within the context of the Basel II accords. The book provides: * comprehensive coverage of the evolution of the banking ...

Frontiers of Risk Management

Frontiers of Risk Management
  • Author : Dennis W. Cox
  • Publisher : Euromoney Books
  • Release Date : 2007
  • Total pages : 287
  • ISBN : 9780080467054
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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....

Liquidity Lost

Liquidity Lost
  • Author : Paul Langley
  • Publisher : Oxford University Press, USA
  • Release Date : 2015
  • Total pages : 220
  • ISBN : 9780080467054
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Summary : The interventions of crisis management during the 2007 to 2011 financial crisis were not simply responses to a set of given developments in markets, banking or neo-liberal capitalism. Nor can those interventions be adequately explained as the actions of sovereign state officials and institutions. Instead, Langley argues, processes of crisis governance are ...