Stress Testing And Risk Integration In Banks

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Stress Testing and Risk Integration in Banks

Author : Tiziano Bellini
Publisher : Academic Press
ISBN 13 : 0128036117
Total Pages : 318 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 318 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

An Introduction to Stress Testing and Risk Integration in Banks Academic Press (an Imprint of Elsevier).

Author : Tiziano Bellini
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis An Introduction to Stress Testing and Risk Integration in Banks Academic Press (an Imprint of Elsevier). by : Tiziano Bellini

Download or read book An Introduction to Stress Testing and Risk Integration in Banks Academic Press (an Imprint of Elsevier). written by Tiziano Bellini and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the 2007-09 crisis, increasing attention has been devoted to capital adequacy and balance sheet integrity. Banks have been required to improve the quality of their own funds, strengthen their liquidity structure, and enforce their risk management processes. This paper serves the purpose of introducing the book Stress testing and risk integration in banks. The latter outlines the regulatory response to the recent financial crunch. On this subject, stress tests and risk integration are useful tools to enhance bank resilience against adverse conditions. The illustrative example of Bank Alpha points out how an international bank runs its business. It is used throughout the book to point out all complex challenges one needs to face when modelling risks. As in an executive summary, this introduction highlights some of Bank Alphas main stress testing and risk integration results. Finally, a practical guide to explore the text is provided. It serves as a map for the reader looking for orientation during the deep-dive journey.

Reverse Stress Testing in Banking

Author : Michael Eichhorn
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110644959
Total Pages : 483 pages
Book Rating : 4.1/5 (16 download)

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Book Synopsis Reverse Stress Testing in Banking by : Michael Eichhorn

Download or read book Reverse Stress Testing in Banking written by Michael Eichhorn and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-05-10 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

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.

IFRS 9 and CECL Credit Risk Modelling and Validation

Author : Tiziano Bellini
Publisher : Academic Press
ISBN 13 : 012814940X
Total Pages : 316 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis IFRS 9 and CECL Credit Risk Modelling and Validation by : Tiziano Bellini

Download or read book IFRS 9 and CECL Credit Risk Modelling and Validation written by Tiziano Bellini and published by Academic Press. This book was released on 2019-02-08 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

Stress Testing Financial Systems

Author : Mr.Matthew T Jones
Publisher : International Monetary Fund
ISBN 13 : 9781589064027
Total Pages : 18 pages
Book Rating : 4.0/5 (64 download)

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Book Synopsis Stress Testing Financial Systems by : Mr.Matthew T Jones

Download or read book Stress Testing Financial Systems written by Mr.Matthew T Jones and published by International Monetary Fund. This book was released on 2004-09-27 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The booklet provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

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.

Market-Based Structural Top-Down Stress Tests of the Banking System

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
ISBN 13 : 1484306317
Total Pages : 18 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Market-Based Structural Top-Down Stress Tests of the Banking System by : Mr.Jorge A. Chan-Lau

Download or read book Market-Based Structural Top-Down Stress Tests of the Banking System written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2013-04-10 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.

From Stress to Costress

Author : Mr.Rodolfo Maino
Publisher : International Monetary Fund
ISBN 13 : 1475576560
Total Pages : 61 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis From Stress to Costress by : Mr.Rodolfo Maino

Download or read book From Stress to Costress written by Mr.Rodolfo Maino and published by International Monetary Fund. This book was released on 2012-02-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss distributions, making no assumptions about the cause of default.

Preparing for the Next Financial Crisis

Author : Esa Jokivuolle
Publisher : Cambridge University Press
ISBN 13 : 1107185599
Total Pages : 205 pages
Book Rating : 4.1/5 (71 download)

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Book Synopsis Preparing for the Next Financial Crisis by : Esa Jokivuolle

Download or read book Preparing for the Next Financial Crisis written by Esa Jokivuolle and published by Cambridge University Press. This book was released on 2017-11-16 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.

Financial Risk Management

Author : Jimmy Skoglund
Publisher : John Wiley & Sons
ISBN 13 : 1119157234
Total Pages : 578 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Financial Risk Management by : Jimmy Skoglund

Download or read book Financial Risk Management written by Jimmy Skoglund and published by John Wiley & Sons. This book was released on 2015-09-04 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global banking risk management guide geared toward the practitioner Financial Risk Management presents 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. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Stress-testing the Banking System

Author : Mario Quagliariello
Publisher : Cambridge University Press
ISBN 13 : 1139482831
Total Pages : 355 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Stress-testing the Banking System by : Mario Quagliariello

Download or read book Stress-testing the Banking System written by Mario Quagliariello and published by Cambridge University Press. This book was released on 2009-10-15 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.

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

Author : Ron Anderson
Publisher : International Monetary Fund
ISBN 13 : 1484375831
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.

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.

Credibility and Crisis Stress Testing

Author : Ms.Li L. Ong
Publisher : International Monetary Fund
ISBN 13 : 1484395611
Total Pages : 64 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Credibility and Crisis Stress Testing by : Ms.Li L. Ong

Download or read book Credibility and Crisis Stress Testing written by Ms.Li L. Ong and published by International Monetary Fund. This book was released on 2013-08-09 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.

Rules of Thumb for Bank Solvency Stress Testing

Author : Mr.Daniel C. Hardy
Publisher : International Monetary Fund
ISBN 13 : 1475518110
Total Pages : 67 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Rules of Thumb for Bank Solvency Stress Testing by : Mr.Daniel C. Hardy

Download or read book Rules of Thumb for Bank Solvency Stress Testing written by Mr.Daniel C. Hardy and published by International Monetary Fund. This book was released on 2013-11-11 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rules of thumb can be useful in undertaking quick, robust, and readily interpretable bank stress tests. Such rules of thumb are proposed for the behavior of banks’ capital ratios and key drivers thereof—primarily credit losses, income, credit growth, and risk weights—in advanced and emerging economies, under more or less severe stress conditions. The proposed rules imply disproportionate responses to large shocks, and can be used to quantify the cyclical behaviour of capital ratios under various regulatory approaches.

Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance

Author : El Bachir Boukherouaa
Publisher : International Monetary Fund
ISBN 13 : 1589063953
Total Pages : 35 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa

Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.