Stress Testing for Risk Control Under Basel II

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  • Author : Dimitris N. Chorafas
  • Publisher : Elsevier
  • Pages : 360 pages
  • ISBN : 9780080467054
  • Rating : 1/5 from 1 reviews
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Download or Read online Stress Testing for Risk Control Under Basel II full in PDF, ePub and kindle. this book written by Dimitris N. Chorafas and published by Elsevier which was released on 08 April 2011 with total page 360 pages. We cannot guarantee that Stress Testing for Risk Control Under Basel II book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. 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 : 08 April 2011
GET THIS BOOK 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 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

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  • Publisher : Springer Science & Business Media
  • Release : 31 March 2011
GET THIS BOOK The Basel II Risk Parameters

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 the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents

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  • Publisher : Elsevier
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GET THIS BOOK Risk Management Technology in Financial Services

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  • Publisher : John Wiley & Sons Incorporated
  • Release : 13 June 2021
GET THIS BOOK Post Crisis Risk Management

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  • Publisher : John Wiley & Sons
  • Release : 12 October 2015
GET THIS BOOK Financial Risk Management

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  • Publisher : Academic Press
  • Release : 26 November 2016
GET THIS BOOK Stress Testing and Risk Integration in Banks

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 are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit,

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  • Publisher : Wiley
  • Release : 08 April 2019
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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 Europe and the US, the Exposure, Occurrence, Impact (XOI) method of operational risk modelling played an instrumental role in reshaping their oprisk modelling approaches; in this book, the expert team

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  • Publisher : International Monetary Fund
  • Release : 01 August 2018
GET THIS BOOK Risk Management and Regulation

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  • Publisher : Springer
  • Release : 29 January 2013
GET THIS BOOK Retail Credit Risk Management

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  • Publisher : IGI Global
  • Release : 30 April 2014
GET THIS BOOK Emerging Trends in Smart Banking Risk Management Under Basel II and III

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 to ensure the mitigation of risk and economic collapse. This book is a critical reference in the exploration of business frameworks to identify areas of strength and potential weaknesses, insight

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  • Publisher : McGraw Hill Professional
  • Release : 14 December 2005
GET THIS BOOK The Essentials of Risk Management Chapter 7 From Value at Risk to Stress Testing

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 guidebook features such topics as governance, compliance and risk management; how to implement integrated risk management; measuring, managing and hedging market, and more.

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  • Publisher : Unknown
  • Release : 13 June 2021
GET THIS BOOK The Basel Handbook

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