Title: Stress testing for financial institutions : applications, regulations and techniques /
Authors: Rösch, Daniel.; Scheule, Harald.
Publisher: Risk Books,
Year: 2008
Subjects: Financial institutions Evaluation.; Financial risk management.; Risk assessment; Risikomanagement.; Controlling.; Bank.
Abstract: For regulators and practitioners, this book examines the regulatory and economic needs of banks and insurance companies, focusing on practical advice and solutions to everyday problems. In line with the new Basel proposals, banks have to stress-test their assessment of capital adequacy. In recent years, they have developed internal models, which are currently under review by the respective regulators for approval. This book provides guidance for regulators and practitioners with regard to the stress-testing process. Stress-testing for Financial Institutionsis a comprehensive guide to this unsolved issue in financial risk management. With no other book currently on the market that focuses solely on stress-testing for financial institutions, this couldn t come at a better time. It includes chapters from academics, practitioners and regulators to cover the full spectrum of debate and perspectives on stress-testing. It includes innovative research from leading names in model analysis, and will help you to gain an insight into the regulations, constraints, and solutions to stress-testing in financial institutions. Recommended for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.--
Contents: Integrating stress-testing frameworks / Daniel Rösch and Harald Scheule -- Stress tests, market risk measures and extremes: bringing stress tests to the forefront of market risk management / José Aragonés, Carlos Blanco and Kevin Dowd -- Credit cycle stress testing using a point-in-time rating system / Sean Keenan, David Li, Stefano Santilli, Andrew Barnes, Kete Chalermkraivuth and Radu Neagu -- Stress-testing credit value-at-risk: a multiyear approach / Alfred Hamerle, Rainer Jobst, Michael Knapp and Matthias Lerner -- Stress testing the impact of group dependence on credit portfolio risk / Steven Vanduffel, Boštjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas -- Hedge the stress: using stress tests to design hedges for foreign currency loans / Thomas Breuer, Martin Jandačka, Klaus Rheinberger and Martin Summer -- Survey of retail loan portfolio stress testing / Joseph L. Breeden -- Stress tests for retail loan portfolios / Bernd Engelmann and Evelyn Hayden --^