Firm-wide stress testing and economic capital
By: by Ahraz Sheikh
Publisher: Risk Books
Published: 2018
Place of publication: London
Language: eng
Number of pages: 602
ISBN-13: 9781782722021
Copyright date: 2018
Subjects: Financial institutions; Risk management; Financial risk management; Capital movements
Description: Industy-wide requirements for stress testing have spurred risk managers to think hard about how macroeconomic variables impact bank risk profiles.  Now some risk managers are wondering how marcroeconomic developments can inform their economic capital modelling as well. This shows how to build a framework that will close the gap between stress testing and economic capital modelling. Risk personnel will undertake their modelling work in a unified, coherent way and take on board the joint probablilities of outcomes, as well as the wav varialbles are likely to evolve over long forecast horizons.  It analyses how best to encourage more consistent modelling, antd the balance sheet projection methodology allows for the integration of liquidity risk.
Notes: Includes bibliographical references.
Table of contents: title: Part I. Foundations; title: 1. Introduction; title: 2. Quantitative fundamentals; title: 3. Economic capital foundations; title: 4. Stress testing foundations; title: Part II. Core risks; title: 5. Market risk; title: 6. Credit risk; title: 7. Counterparty credit risk; title: 8. Operational risk; title: Part III. Asset and liability management risks; title: 9. Liquidity risk; title: 10. Business risk; title: 11. Interest rate risk in the banking book; title: Part IV. Aggregation; title: 12. Balance-sheet projection; title: 13. Conclusion.