Stress Testing for Risk Control Under Basel II

Written By Dimitris N. Chorafas
Stress Testing for Risk Control Under Basel II
  • Publsiher : Elsevier
  • Release : 08 April 2011
  • ISBN : 9780080467054
  • Pages : 360 pages
  • Rating : 1/5 from 1 reviews
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Read or download book entitled Stress Testing for Risk Control Under Basel II written by Dimitris N. Chorafas which was release on 08 April 2011, this book published by Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: 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 economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions." * "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses." * "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk." Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II. * Written in clear, straightforward style with numerous practical examples * Based on five years of development and research * Focuses on stress probability of default, stress loss given default, stsress exposure at default

Stress Testing for Risk Control Under Basel II

Stress Testing for Risk Control Under Basel II
  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Total pages : 360
  • ISBN : 9780080467054
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Summary : 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 economic conditions when assessing individual ...

The Basel II Risk Parameters

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  • Author : Bernd Engelmann,Robert Rauhmeier
  • Publisher : Springer Science & Business Media
  • Release Date : 2011-03-31
  • Total pages : 426
  • ISBN : 9780080467054
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Summary : The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on ...

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  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Total pages : 352
  • ISBN : 9780080467054
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Summary : Written for professionals in financial services with responsibility for IT and risk management, Dimitris Chorafas surveys the methodology required and IT systems and structures to support it according to Basel II. The book is consistent with the risk management certification process of GARP, as well as the accounting rules of ...

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  • Publisher : John Wiley & Sons Incorporated
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  • ISBN : 9780080467054
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Summary : Although many regulator and industrial reports on the lessons learned from the recent market turmoil have appeared recently, they still tend to be plagued by the silo-approach, discussing only specific issues independent of other important issues. Besides, they tend to be silent on the regulators' function to be addressed after ...

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Summary : Presenting an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests, this guide offers the most up-to-date information and expert insight into real risk management, based on the authors' experience in ...

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  • Publisher : Academic Press
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  • Total pages : 316
  • ISBN : 9780080467054
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Summary : Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities ...

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Summary : Download or read online Internal Capital Adequacy Assessment Process ICAAP Overview Core Concepts written by , published by Alchemy Technologies which was released on . Get Internal Capital Adequacy Assessment Process ICAAP Overview Core Concepts Books now! Available in PDF, ePub and Kindle....

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Summary : Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in ...

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  • Publisher : Unknown
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Summary : Download or read online Corporate Governance and Climate Change written by , published by which was released on 2009. Get Corporate Governance and Climate Change Books now! Available in PDF, ePub and Kindle....

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  • ISBN : 9780080467054
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Summary : The evolution of risk management has resulted from the interplay of financial crises, risk management practices, and regulatory actions. In the 1970s, research lay the intellectual foundations for the risk management practices that were systematically implemented in the 1980s as bond trading revolutionized Wall Street. Quants developed dynamic hedging, Value-at-Risk, ...

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  • Release Date : 2013-01-29
  • Total pages : 236
  • ISBN : 9780080467054
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Summary : Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management....

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  • Author : Reserve Bank of India
  • Publisher : Unknown
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Summary : Download or read online Reserve Bank of India Bulletin written by Reserve Bank of India, published by which was released on 2012. Get Reserve Bank of India Bulletin Books now! Available in PDF, ePub and Kindle....

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  • Release Date : 2014-04-30
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Summary : The 2008 global financial crisis has illustrated the need for tighter regulations and management of banking institutions, approaching banking and money lending in a more intelligent, directed fashion. Emerging Trends in Smart Banking: Risk Management Under Basel II and III discusses some of the latest developments in banking regulations and safeguards ...

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Summary : Here is a chapter from The Essentials of Risk Management, a practical, non-ivory tower approach that is necessary to effectively implement a superior risk management program. Written by three of the leading figures with extensive practical and theoretical experience in the global risk management and corporate governance arena, this straightforward ...

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  • Publisher : Unknown
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  • ISBN : 9780080467054
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Summary : Now in its second edition, this bestselling handbook has been fully updated and expanded in light of important changes to the new Basel II Accord such as: the asset classes required under Pillar 1, the new required elements for capital adequacy and the minimum capital requirements for securitization and operational risk, ...