Stress-testing the banking system : methodologies and applications /

"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 practi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Quagliariello, Mario
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK : Cambridge University Press, 2009.
Temas:
Banks and banking.
Banks and banking > Risk management.
Bank failures > Prevention.
Financial crises.
BUSINESS & ECONOMICS > Banks & Banking.
Kreditrisiko
Risikomanagement
Stress
Test
Simulation
Bank
Acceso en línea:Texto completo
Tabla de Contenidos:
  • A framework for assessing financial stability / Maurizio Trapanese
  • Macroeconomic stress-testing : definitions and main components / Mario Quagliariello
  • Macroeconomic stress-testing banks : a survey of methodologies / Mathias Drehmann
  • Scenario design and calibration / Takashi Isogai
  • Risk aggregation and economic capital / Vincenzo Tola
  • Data needs for stress-testing / Francesco Cannata and Ulrich Krüger
  • Use of macro stress tests in policy-making / Patrizia Baudino
  • Stress-testing credit risk : the Italian experience / Sebastiano Laviola, Juri Marcucci and Mario Quagliariello
  • Stress-testing US banks using economic-value-of-equity (EVE) models / Mike Carhill
  • A framework for integrating different risks : the interaction between credit and interest rate risk / Steffen Sorensen and Marco Stringa
  • Stress-testing linkages between banks in the Netherlands / Iman van Lelyveld, Franka Liedorp and Marc Pröpper
  • An integrated approach to stress-testing : the Austrian Systemic Risk Monitor (SRM) / Michael Boss [and others]
  • From macro to micro : the French experience on credit risk stress-testing / Muriel Tiesset and Clément Martin
  • Stress-testing in the EU new member states / Adam Głogowski
  • Cross-border macro stress-testing : progress and future challenges for the EU / Olli Castrén, John Fell and Nico Valckx
  • Stress-testing at the IMF / Marina Moretti, Stéphanie Stolz and Mark Swinburne.

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