Coherent Stress Testing

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Coherent Stress Testing

Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470971487
Total Pages : 269 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Coherent Stress Testing by : Riccardo Rebonato

Download or read book Coherent Stress Testing written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2010-06-10 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Coherent Stress Testing: A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. Based on the author's extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches. The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.

Handbook of Financial Stress Testing

Author : J. Doyne Farmer
Publisher :
ISBN 13 : 1108830730
Total Pages : 729 pages
Book Rating : 4.1/5 (88 download)

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Book Synopsis Handbook of Financial Stress Testing by : J. Doyne Farmer

Download or read book Handbook of Financial Stress Testing written by J. Doyne Farmer and published by . This book was released on 2022-04-14 with total page 729 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.

Plight of the Fortune Tellers

Author : Riccardo Rebonato
Publisher : Princeton University Press
ISBN 13 : 1400824370
Total Pages : 303 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Plight of the Fortune Tellers by : Riccardo Rebonato

Download or read book Plight of the Fortune Tellers written by Riccardo Rebonato and published by Princeton University Press. This book was released on 2007-09-17 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today's top financial-risk professionals have come to rely on ever-more sophisticated mathematics in their attempts to come to grips with financial risk. But this excessive reliance on quantitative precision is misleading--and it puts us all at risk. This is the case that Riccardo Rebonato makes in Plight of the Fortune Tellers--and coming from someone who is both an experienced market professional and an academic, this heresy is worth listening to. Rebonato forcefully argues that we must restore genuine decision making to our financial planning, and he shows us how to do it using probability, experimental psychology, and decision theory. This is the only way to effectively manage financial risk in a manner congruent with how human beings actually react to chance. Rebonato challenges us to rethink the standard wisdom about probability in financial-risk management. Risk managers have become obsessed with measuring risk and believe that these quantitative results by themselves can guide sound financial choices--but they can't. In this book, Rebonato offers a radical yet surprisingly commonsense solution, one that seeks to remind us that managing risk comes down to real people making decisions under uncertainty. Plight of the Fortune Tellers is not only a book for the decision makers of Wall Street, it's a must-read for anyone concerned about how today's financial markets are run. The stakes have never been higher--can you risk it?

Portfolio Management under Stress

Author : Riccardo Rebonato
Publisher : Cambridge University Press
ISBN 13 : 1107048117
Total Pages : 519 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Portfolio Management under Stress by : Riccardo Rebonato

Download or read book Portfolio Management under Stress written by Riccardo Rebonato and published by Cambridge University Press. This book was released on 2013 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.

Stress Testing and Risk Integration in Banks

Author : Tiziano Bellini
Publisher : Academic Press
ISBN 13 : 0128036117
Total Pages : 316 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis Stress Testing and Risk Integration in Banks by : Tiziano Bellini

Download or read book Stress Testing and Risk Integration in Banks written by Tiziano Bellini and published by Academic Press. This book was released on 2016-11-26 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements Follows an integrated bottom-up approach central in the most advanced risk modelling practice Provides numerous sample codes in Matlab and R

Macroprudential Solvency Stress Testing of the Insurance Sector

Author : Mr. Andreas A. Jobst
Publisher : International Monetary Fund
ISBN 13 : 149832455X
Total Pages : 84 pages
Book Rating : 4.4/5 (983 download)

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Book Synopsis Macroprudential Solvency Stress Testing of the Insurance Sector by : Mr. Andreas A. Jobst

Download or read book Macroprudential Solvency Stress Testing of the Insurance Sector written by Mr. Andreas A. Jobst and published by International Monetary Fund. This book was released on 2014-07-22 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

Lasso Regressions and Forecasting Models in Applied Stress Testing

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
ISBN 13 : 1475599021
Total Pages : 34 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Lasso Regressions and Forecasting Models in Applied Stress Testing by : Mr.Jorge A. Chan-Lau

Download or read book Lasso Regressions and Forecasting Models in Applied Stress Testing written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2017-05-05 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are well suited for building forecasting models when the number of potential covariates is large, and the number of observations is small or roughly equal to the number of covariates. This paper presents a conceptual overview of lasso regressions, explains how they fit in applied stress tests, describes its advantages over other model selection methods, and illustrates their application by constructing forecasting models of sectoral probabilities of default in an advanced emerging market economy.

Stress Testing at the IMF

Author : Mr.Tobias Adrian
Publisher : International Monetary Fund
ISBN 13 : 1513520741
Total Pages : 73 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Stress Testing at the IMF by : Mr.Tobias Adrian

Download or read book Stress Testing at the IMF written by Mr.Tobias Adrian and published by International Monetary Fund. This book was released on 2020-02-05 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

Stress Testing in Sub-Saharan Africa

Author : Mindaugas Leika
Publisher : International Monetary Fund
ISBN 13 : 151353291X
Total Pages : 58 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Stress Testing in Sub-Saharan Africa by : Mindaugas Leika

Download or read book Stress Testing in Sub-Saharan Africa written by Mindaugas Leika and published by International Monetary Fund. This book was released on 2020-05-11 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper finds that supervisory stress tests are conducted in more than half of sub-Saharan African countries, particularly in western and southern Africa, and that the number of individual stress tests has grown exponentially since the early 2010s. By contrast, few central banks publish assessments of macro-financial linkages; the focus leans more toward discussing trends and weaknesses within the financial sector than on outside risks that may negatively affect its performance.

The Handbook of Salutogenesis

Author : Maurice B. Mittelmark
Publisher : Springer Nature
ISBN 13 : 3030795152
Total Pages : 634 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis The Handbook of Salutogenesis by : Maurice B. Mittelmark

Download or read book The Handbook of Salutogenesis written by Maurice B. Mittelmark and published by Springer Nature. This book was released on 2022-01-01 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book is a thorough update and expansion of the 2017 edition of The Handbook of Salutogenesis, responding to the rapidly growing salutogenesis research and application arena. Revised and updated from the first edition are background and historical chapters that trace the development of the salutogenic model of health and flesh out the central concepts, most notably generalized resistance resources and the sense of coherence that differentiate salutogenesis from pathogenesis. From there, experts describe a range of real-world applications within and outside health contexts. Many new chapters emphasize intervention research findings. Readers will find numerous practical examples of how to implement salutogenesis to enhance the health and well-being of families, infants and young children, adolescents, unemployed young people, pre-retirement adults, and older people. A dedicated section addresses how salutogenesis helps tackle vulnerability, with chapters on at-risk children, migrants, prisoners, emergency workers, and disaster-stricken communities. Wide-ranging coverage includes new topics beyond health, like intergroup conflict, politics and policy-making, and architecture. The book also focuses on applying salutogenesis in birth and neonatal care clinics, hospitals and primary care, schools and universities, workplaces, and towns and cities. A special section focuses on developments in salutogenesis methods and theory. With its comprehensive coverage, The Handbook of Salutogenesis, 2nd Edition, is the standard reference for researchers, practitioners, and health policy-makers who wish to have a thorough grounding in the topic. It is also written to support post-graduate education courses and self-study in public health, nursing, psychology, medicine, and social sciences.

CCAR and Beyond

Author : Zhang Jin
Publisher :
ISBN 13 : 9781782720829
Total Pages : 404 pages
Book Rating : 4.7/5 (28 download)

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Book Synopsis CCAR and Beyond by : Zhang Jin

Download or read book CCAR and Beyond written by Zhang Jin and published by . This book was released on 2013 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the modelling techniques key to Comprehensive capital analysis and review (CCAR) and the business implications of the programme. Contributions from those directly involved in the implementation and regulation of these assessments provide a unique source of information and insight into the assessment practices. The author brings together industry experts in stress testing and capital assessment to examine the central issues surrounding CCAR including: 1) The design and severity of the macroeconomic scenarios; 2) Commercial and industrial (C&I) and Corporate, commercial real estate (CRE) portfolio stress testing; 3) Market, counterparty and operational risks; 4) Pre-provision net revenue modelling; 5) Governance; 6) Capital management." - - Extracted from BusinessWire.

Asset Liability Management for Financial Institutions

Author : Bob Swarup
Publisher : A&C Black
ISBN 13 : 1849300410
Total Pages : 224 pages
Book Rating : 4.8/5 (493 download)

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Book Synopsis Asset Liability Management for Financial Institutions by : Bob Swarup

Download or read book Asset Liability Management for Financial Institutions written by Bob Swarup and published by A&C Black. This book was released on 2012-05-24 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The asset liability management (ALM) of a financial institution requires informed decisions coupled with strategy in order to meet financial objectives. Combined with a range of risks and constraints, effective ALM requires the formulation, implementation, monitoring and revision of strategies on a daily basis. Asset liability management in the banking industry has come to the fore since the beginning of the Credit Crunch in mid 2007, with overexposed financial institutions collapsing or being propped up by governments and taxpayers ultimately footing the bill. The evidence suggests that the pain is not over with banks lacking commitment and confidence in terms of lending in Europe and the US. Without mending the balance sheet and formulating new strategies, few banks will be able to commit to new opportunities and become takers of qualified risk in the near future. Aimed primarily at risk managers/analysts within financial institutions, but also of significant interest to treasurers, pension fund managers, auditors, controllers, regulators, legal and compliance, Asset Liability Management for Financial Institutions helps build the knowledge base with a back-to-basics approach, in the context of the turmoil in the banking sector. This multi-author volume covers key areas such as fund transfer pricing product, problem-loan assumptions, understanding and applying funds transfer pricing, derivatives, measuring interest rate risk, stress testing and modeling of market risk.

A Framework for Macroprudential Bank Solvency Stress Testing

Author : Mr.Andreas A. Jobst
Publisher : International Monetary Fund
ISBN 13 : 1616355077
Total Pages : 55 pages
Book Rating : 4.6/5 (163 download)

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Book Synopsis A Framework for Macroprudential Bank Solvency Stress Testing by : Mr.Andreas A. Jobst

Download or read book A Framework for Macroprudential Bank Solvency Stress Testing written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-03-13 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.

Stress Testing

Author : Myrvin H. Ellestad
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 (371 download)

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Book Synopsis Stress Testing by : Myrvin H. Ellestad

Download or read book Stress Testing written by Myrvin H. Ellestad and published by . This book was released on 1975 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Author : Ron Anderson
Publisher : International Monetary Fund
ISBN 13 : 1484376382
Total Pages : 79 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks by : Ron Anderson

Download or read book Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks written by Ron Anderson and published by International Monetary Fund. This book was released on 2018-09-11 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

Stress Testing

Author : Li Lian Ong
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781484310717
Total Pages : 544 pages
Book Rating : 4.3/5 (17 download)

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Book Synopsis Stress Testing by : Li Lian Ong

Download or read book Stress Testing written by Li Lian Ong and published by INTERNATIONAL MONETARY FUND. This book was released on 2020-09-03 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this book is to present IMF staff’s further analyses and applications of these tools. Stress test exercises must be undertaken within a coherent and comprehensive framework; they must take into account "best practice" principles and incorporate key concepts; and they must hold up under intense scrutiny given their ability to significantly influence results.

Handbook of Financial Stress Testing

Author : J. Doyne Farmer
Publisher : Cambridge University Press
ISBN 13 : 1108906079
Total Pages : 730 pages
Book Rating : 4.1/5 (89 download)

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Book Synopsis Handbook of Financial Stress Testing by : J. Doyne Farmer

Download or read book Handbook of Financial Stress Testing written by J. Doyne Farmer and published by Cambridge University Press. This book was released on 2022-04-14 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take center stage. Despite their centrality to public policy, the optimal design and use of stress tests remains highly contested. Written by an international team of leading thinkers from academia, the public sector, and the private sector, this handbook comprehensively surveys and evaluates the state of play and charts the innovations that will determine the path ahead. It is a comprehensive and interdisciplinary resource that bridges theory and practice and places financial stress testing in its wider context. This guide is essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation.