Feel Free Read Stress Testing for Financial Institutions PDF

Stress Testing for Financial Institutions will provide you with guidance in regard to the stress testing process and includes several chapters on scenario analysis written by practitioners at Citigroup, Swedbank, GE Capital and the Bank of Finland.This is the only book currently on the market that focuses solely on this subject, with sections broken down into close examination of stress testing in the context of corporate and retail credit risk, economic capital and regulatory capital.This book is essential for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.Stress Testing for Financial Institutions examines the regulatory and economic needs of banks and insurance companies and focuses on practical advice and solutions to everyday problems.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 Institutions is 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.TABLE OF CONTENTS ForewordThilo LiebigSection 1: Stress testing frameworks1 Integrating Stress Testing Frameworks2 Stress Tests, Market Risk Measures and Extremes: Bringing Stress Tests to the Forefront of Market Risk ManagementSection 2: Stress testing for corporate credit risk3 Credit Cycle Stress Testing Using a Point in Time Rating System4 Stress-Testing Credit Value-at-Risk: a Multiyear Approach5 Stress Testing the Impact of Group Dependence on Credit Portfolio Risk6 Hedge the Stress: Using Stress Tests to Design Hedges for Foreign Currency LoansSection 3: Stress testing for retail credit risk7 Survey of Retail Loan Portfolio Stress Testing8 Stress Tests for Retail Loan Portfolios9 Stress Testing Banks’ Credit Risk: Using Mixture Vector Autogressive ModelsSection 4: Stress testing for economic capital10 Uncertainty, Credit Migration, Stressed Scenarios and Portfolio Losses11 Worst-Case and Stressed Correlations in the Asymptotic Single Risk Factor Model12 Risk Aggregation, Dependence Structure and Diversification Benefit13 Stress Testing Credit Distributions of Banks' Portfolios: Risk Structure and Concentration Issues14 Time-varying Correlations for Credit Risk: Modelling, Estimating and Stress TestingSection 5: Stress testing for regulatory capital15 Macro Model-Based Stress Testing of Basel II Capital Requirements16 Risk Tolerance Concepts and Scenario Analysis of Bank Capital17 Basel II-Type Stress Testing of Credit PortfoliosEpilogueFishing for ComplementsChristopher Finger