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20240329122006.0 |
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170325s2017 nju ob 001 0 eng d |
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|a EBLCP
|b eng
|e pn
|c EBLCP
|d DEBBG
|d OCLCQ
|d CUY
|d ZCU
|d MERUC
|d ICG
|d OCLCF
|d DKC
|d OCLCO
|d OCLCQ
|d OCLCO
|d OCLCQ
|d OCLCO
|d OCLCL
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|a 9781119195900
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|a 111919590X
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|z 9781119195894
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|a (OCoLC)979242932
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4 |
|a HG1615
|b .C667 2017
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| 082 |
0 |
4 |
|a 332.1
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| 049 |
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|a UAMI
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| 100 |
1 |
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|a Zedda, Stefano.
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| 245 |
1 |
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|a Risk and Stability of Banking Systems :
|b a Modeling and Simulation Approach.
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| 260 |
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|a Newark :
|b John Wiley & Sons, Incorporated,
|c 2017.
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| 300 |
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|a 1 online resource (265 pages)
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 588 |
0 |
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|a Print version record.
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|a 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.
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|a 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.
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| 505 |
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|a 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.
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| 505 |
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|a 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).
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| 505 |
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|a 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.
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| 504 |
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|a Includes bibliographical references and index.
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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0 |
|a Banks and banking
|x Risk management.
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| 650 |
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0 |
|a Risk management
|x Computer simulation.
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| 650 |
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0 |
|a Banks and banking
|x State supervision.
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| 650 |
|
6 |
|a Gestion du risque
|x Simulation par ordinateur.
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| 650 |
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6 |
|a Banques
|x Contrôle de l'État.
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| 650 |
|
7 |
|a Banks and banking
|x State supervision
|2 fast
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| 650 |
|
7 |
|a Risk management
|x Computer simulation
|2 fast
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| 700 |
1 |
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|a Campolongo, Francesca.
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| 700 |
1 |
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|a Cariboni, Jessica J.
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| 700 |
1 |
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|a Pagano, Andrea.
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| 700 |
1 |
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|a Petracco, Marco.
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| 700 |
1 |
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|a Cannas, Giuseppina.
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| 700 |
1 |
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|a Di Girolamo, Francesca.
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| 700 |
1 |
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|a Galliani, Clara.
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| 758 |
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|i has work:
|a Risk and Stability of Banking Systems (Text)
|1 https://id.oclc.org/worldcat/entity/E39PD39KR6dH3yJjf8tXpb8xTb
|4 https://id.oclc.org/worldcat/ontology/hasWork
|
| 776 |
0 |
8 |
|i Print version:
|a Zedda, Stefano.
|t Risk and Stability of Banking Systems : A Modeling and Simulation Approach.
|d Newark : John Wiley & Sons, Incorporated, ©2017
|z 9781119195894
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=4826413
|z Texto completo
|
| 938 |
|
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|a ProQuest Ebook Central
|b EBLB
|n EBL4826413
|
| 994 |
|
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|a 92
|b IZTAP
|
