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Risk and Stability of Banking Systems : a Modeling and Simulation Approach.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , , , , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Newark :
John Wiley & Sons, Incorporated,
2017.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Banking Systems Simulation; Contents; Foreword; Introduction; 1: Banking Risk; 1.1 Single Bank Risk; 1.2 The Basel Committee on Banking Supervision Approach to Regulation; 1.2.1 The Basel I Framework; 1.2.2 The Basel II Framework; 1.2.3 Credit Counterparty Risk; 1.2.4 Market Risk; 1.2.5 Operational Risk; 1.2.6 Basel III; 1.3 Banking Risk Modeling and Stress Testing; 1.4 Contagion; 1.5 System Modeling; 2: Simulation Models; 2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks; 2.2 Simulating Shocks: Stress Testing.
- 2.3 Simulating Shocks: Systematic Common Shocks2.4 Simulating Shocks: Common Shocks; 2.4.1 The Monte Carlo Method; 2.4.2 Monte Carlo-Based Simulation Models; 2.5 Estimation of Losses Variability and Assets Riskiness; 2.5.1 Sector-Historical Approach; 2.5.2 Market Values-Based Approach; 2.5.3 Capital Requirements-Based Approach; 2.5.4 Ratings-Based Approach; 2.5.5 CAMELS-Z-Score Approach; 2.6 Simulating Shocks: Correlated Risk Factors; 2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks; 2.8 Correlation; 2.9 The Interbank Matrix; 2.9.1 Interbank Matrix Estimation.
- 2.9.2 Robustness Checks on the Maximum Entropy Hypothesis2.10 Loss Given Default; 2.10.1 Constant LGD; 2.10.2 Stochastic LGD; 2.10.3 Endogenous LGD; 2.11 Interbank Losses Attribution; 2.12 Contagion Simulation Methods; 2.13 Data and Applied Problems; 3: Real Economy, Sovereign Risk, and Banking Systems Linkages; 3.1 Effects of Bank Riskiness on Sovereign Risk; 3.2 Effects of Sovereign Risk on Bank Riskiness; 3.3 Linkages to the Real Economy; 3.4 Modeling; 3.4.1 Banks; 3.4.2 Public Finances; 3.5 Implementation; 3.5.1 Public Finances; 3.5.2 Banks; 4: Applications.
- 4.1 Testing for Banks-Public Finances Contagion Risk4.2 Banking Systems Regulation What-If Tests; 4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis; 4.3.1 Costs; 4.3.2 Benefits; 4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning; 4.4.1 DGS; 4.4.2 Resolution Funds; 4.5 Computing Capital Coverage from Assets PD and Bank PD; 4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD; 4.7 Risk Contributions and SiFis; 4.7.1 Value at Risk (VaR); 4.7.2 Expected Shortfall (ES); 4.7.3 Conditional Value at Risk (CoVaR).
- 4.7.4 Marginal Expected Shortfall (MES)4.7.5 Shapley Values; 4.7.6 The Leave-One-Out Approach; 4.7.7 Starting and Fueling Contagion: Risk Contribution Roles; 4.8 The Regulator's Dilemma; Appendix: Software References and Tools; References; Index; End User License Agreement.