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Tools and techniques for financial stability analysis /
Tools and Techniques for Financial Stability Analysis explores all key aspects of analytical tools and challenges for sound financial stability assessments. Comprehensive coverage is given to value at risk, stress testing, graphical tools for financial stability, the financial system stress index, a...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
United Kindom :
Emerald Publishing Limited,
2019.
|
| Edición: | First edition. |
| Colección: | Theory and practice of financial stability ;
v. 5. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Front Cover; Tools and Techniques for Financial Stability Analysis; Copyright Page; Dedication; Contents; List of Figures; List of Tables; Preface; Chapter 1 Value at Risk; 1.1. Definition of Value at Risk; 1.2. Benefits of VaR; 1.3. Limitations of VaR; 1.4. Framework under VaR; 1.4.1. Distinction between CDF and PDF; 1.4.2. Probability Density Function; 1.4.3. Cumulative Density Function; 1.5. The Generalised Hyperbolic Distribution; 1.6. Three Approaches in VaR Computations; 1.7. Questions-based Insights on VaR; 1.8. VaR Applications on Real Data
- 1.8.1. Portfolio Application on Stock Exchange of Mauritius1.8.1.1. Analytic (Variance-covariance) VaR; 1.8.1.2. Historical Approach; 1.8.1.3. Monte Carlo Approach; 1.8.2. Does the Type of Distribution Matters in VaR Computation?; Chapter 2 Stress Testing; 2.1. Introduction; 2.2. Stress Testing and Financial Stability; 2.3. Capital Ratio; 2.4. Two Types of Stress Testing for Large US Banks; 2.4.1. General Framework for Stress Testing; 2.5. Strengths of Macro Stress Testing; 2.6. Benefits of Balance Sheet Stress Testing; 2.7. Main Shortcomings of Balance Sheet Stress Testing
- 2.8. Definition of Stress Testing and Some of Its Perspectives2.9. Sound Principles for Stress Testing; 2.10. Other Principles for Sound Stress Testing; 2.11. An Overview of Stress Testing and Its Components; 2.11.1. Scenarios in Stress Testing; 2.11.2. Models; 2.11.3. Bottom-up versus Top-down Approaches; 2.11.4. Metric to Gauge Performance under Stress Testing: Capital Hurdle Ratio; 2.11.5. Time Horizon; 2.11.6. Disclosure of Information for Transparency and Credibility; 2.11.7. Solvency Definition; 2.12. Why Stress Testing?; 2.13. Major Types of Stress Testing
- 2.13.1. Micro-prudential versus Macro-prudential Stress Testing2.13.2. Scenario Analysis; 2.13.3. Bottom-up / Top-down Stress Testing; 2.13.4. Single-factor/Multiple-factor Stress Testing; 2.13.5. System-wide versus Systemically Important Financial Institutions Stress Testing; 2.13.6. Integrated Stress Testing; 2.13.7. Reverse Stress Tests (Inverting the Normal Stress Test Exercise); 2.13.8. Sensitivity Test: Shift the Risk Factors by a Unit Amount
- How the Risk Indicators Respond to Changes in the Model ... ; 2.13.9. Quantitative and Qualitative Stress Testing Approaches
- 2.13.10. Stress Testing versus Effective Stress Testing2.14. Benefits of Stress Testing; 2.14.1. Psychological Strong in Terms of Value; 2.14.2. Both Sides of Balance Sheets; 2.14.3. Improbable but Possible Scenarios; 2.14.4. Flexibility; 2.14.5. Forward-looking Philosophy; 2.14.6. Given a New Role as Crisis Management Tool; 2.14.7. Tool to Restore Confidence; 2.14.8. Better than Financial Soundness Indicators; 2.14.9. Ingrained in Operating Structure of the Company; 2.14.10. Stimulate Cooperation among Regulatory Bodies in the World; 2.14.11. Other Benefits Attached to Stress Testing