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Stress testing for risk control under Basel II /
The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document: * "Banks should take into consideration potential future changes in...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford :
Butterworth-Heinemann,
2007.
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| Colección: | Elsevier finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing;
- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk;
- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index.