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Stress Testing for Risk Control Under Basel II.
The only book to explain the new advanced testing methodology required by Basel II regulations for banks.
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Burlington :
Elsevier,
2006.
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| Subjects: | |
| Online Access: | Texto completo |
Table of Contents:
- Front Cover; Stress Testing for Risk Control under Basel II; Copyright Page; Table of Contents; Preface; Warning; Chapter 1 The need for advanced testing methodology; Chapter 2 Risk and its management; Chapter 3 The dynamics of stress testing; Chapter 4 Stress analysis and its tools; Chapter 5 Worst case scenarios and drills; Chapter 6 Technology strategy for advanced testing; Chapter 7 Models and procedures for the study of volatility patterns; Chapter 8 Stress testing creditworthiness; Chapter 9 Stress probability of default.
- Chapter 10 Stress loss given default and stress exposure at defaultChapter 11 Counterparty credit risk, transfer of credit risk and wrong-way risk; Chapter 12 Stress testing expected losses; Chapter 13 Analysing the reasons for unexpected losses; Chapter 14 Economic capital and algorithms for stress testing unexpected losses; Chapter 15 Stress testing leveraged and volatile financial assets; Chapter 16 Advanced testing provides a basis for better governance; Index.