Download or read book Reverse Stress Testing in Banking written by Michael Eichhorn and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-05-10 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.
Download or read book Reverse Stress Testing in Banking written by Michael Eichhorn and published by de Gruyter. This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of reverse stress tests is usually to identify and analyze the robustness and viability of business models. They are used to examine scenarios in which the business model is no longer viable and to derive mitigating actions. This book will provide practical guidance on where and how readers can apply the concept. Experts cover both qualitatitive and quantitative approaches on applying reverse stress testing concepts at different levels (e.g. portfolio, individual instutition, banking system) using different tools and ideas. Reverse stress testing is becoming a regulatory requirement for almost all financial organizations across the globe and practitioners are looking for guidance. These case studies by known experts in the field provide an in-depth understanding of four key questions: What can be learned from regulators? What can be learned from users of reverse stress tests? What can be learned from institutions whose business model failed? What can be learned from experts who work on recovery and resolution planning? Readers will benefit immensely from the case studies, use cases of practitioners, checklists and frequently asked questions provided in this insightful and pioneering book.
Download or read book Stress Testing and Risk Integration in Banks written by Tiziano Bellini and published by Academic Press. This book was released on 2016-11-26 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. - Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements - Follows an integrated bottom-up approach central in the most advanced risk modelling practice - Provides numerous sample codes in Matlab and R
Download or read book Stress Testing at the IMF written by Mr.Tobias Adrian and published by International Monetary Fund. This book was released on 2020-02-05 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Download or read book The Principles of Banking written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2022-09-22 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely and robust discussion of responsible bank stewardship and practice. The Second Edition of The Principles of Banking offers banking professionals, regulators, and students from a variety of backgrounds an authoritative and practical discussion of the foundations of modern banking and good banking practice. In the book, you'll find a comprehensive roadmap to a more sustainable business model for your banking organization. The author draws on his many years' experience as a commercial and investment banker as he explains the original principles of banking—including sound lending policy, capital management, and liquidity risk management—as well as new material covering the impact of COVID-19 on banks, risk management, and balance sheet management. The Principles of Banking also provides recommendations for bank asset-liability management best practices that enable banks to deliver optimized balance sheets for the benefit of all stakeholders. It also includes new chapters in market risk management, foreign exchange risk management, interest rate risk, and credit risk policy and management. An essential update to a widely read and taught banking text, The Principles of Banking, Second Edition is an indispensable resource for banking professionals and students everywhere.
Download or read book Macroprudential Solvency Stress Testing of the Insurance Sector written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2014-07-22 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
Download or read book Islamic Monetary Economics and Institutions written by Muhamed Zulkhibri and published by Springer Nature. This book was released on 2019-10-01 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume explores theoretical and empirical issues related to monetary economics and policy in the Islamic financial system. Derived from the Conference on Islamic Monetary Economics and Institutions: Theory and Practice 2017 held in Malé, Maldives, the enclosed papers highlights several option for authorities and regulatory bodies regarding monetary policy and regulation, as well as discussing how Islamic monetary policy effects growth, financial stability and resilience to shocks in practice. The inter-linkage between Islamic monetary policy and other markets are also explored. The subject of Islamic economics has gained considerable attention in the last four decades with the emergence of Islamic financial institutions around the world. This phenomenon has motivated economists to develop a comprehensive theoretical framework of modern monetary economics for Islamic economic system. An important characteristic of the Islamic economic system is the abolition of interest from the financial system. Islamic monetary economics is distinguished from conventional monetary economics due to the absence of interest. Therefore, under the Islamic economic system, monetary policy has to depend on other tools. In the early theoretical literature on Islamic monetary economics, many have discussed the role of money in Islamic economics system, while the number of empirical studies on Islamic monetary economics is a relatively new phenomenon. According to Islamic scholars, there are three main goals of Islamic monetary policy: a) economic well-being with full employment and optimum rate of economic growth; b) socioeconomic justice and equitable distribution of income and wealth and c) stability in the value of money. Hence, the Islamic monetary policy has several socioeconomic and ethical implications. Featuring regional case studies, this book serves as a valuable resource for academics, scholars, practitioners and policy makers in the areas of Islamic economics and finance.
Download or read book Into the Great Unknown written by Ms.Li L. Ong and published by International Monetary Fund. This book was released on 2010-12-01 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress testing has become the risk management tool du jour in the wake of the global financial crisis. In countries where the information reported by financial institutions is considered to be of sufficiently good quality, and supervisory and regulatory standards are high, stress tests can be of significant value. In contrast, the proliferation of stress testing in underdeveloped financial systems with weak oversight regimes is fraught with uncertainties, as it is unclear what the results actually represent and how they could be usefully applied. In this paper, problems associated with stress tests using weak data are examined. We offer a potentially more useful alternative, the "breaking point" method, which also requires close coordination with on-site supervision and complemented by other supervisory tools and qualitative information. Excel spreadsheet templates of the stress tests presented in this paper are provided.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical and Symbolic Computation written by Maria Amélia Ramos Loja and published by MDPI. This book was released on 2020-06-22 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a comprehensive set of articles reflecting on the application of symbolic and/or numerical computation in a range of scientific areas within the fields of engineering and science. These articles constitute extended versions of communications presented at the 4th International Conference on Numerical and Symbolic Computation—SYMCOMP 2019—that took place in Porto, Portugal, from 11 to 12 April 2019 The different chapters present diverse perspectives on the existing effective connections between mathematical methods and procedures and other knowledge areas. The intrinsic multidisciplinary character is visible throughout the whole book as a result of the applicability of the scope and the applications considered. The reader will find this book to be a useful resource for identifying problems of interest in different engineering and science areas, and in the development of mathematical models and procedures used in the context of prediction or verification computational tools as well as in the aided-learning/teaching context. This book is a must-read for anyone interested in the recent developments and applications of symbolic and numerical computation for a number of multidisciplinary engineering and science problems.
Download or read book Bank Asset Liability Management Best Practice written by Polina Bardaeva and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-04-19 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: As bankers incorporate more and more complicated and precise calculations and models, a solely mathematical approach will fail to confirm the viability of their business. This book explains how to combine ALM concepts with the emotional intelligence of managers in order to maintain the financial health of a bank, and quickly react to external environment challenges and banks’ microclimate changes. ALM embraces not only balance sheet targets setting, instruments and methodologies to achieve the targets, but also the correct and holistic understanding of processes that should be set up in a bank to prove its prudency and compliance with internal and external constraints, requirements and limitations and the ongoing continuity of its operations. Bank Asset Liability Management Best Practice delves into the philosophy of ALM, discusses the interrelation of processes inside the bank, and argues that every little change in one aspect of the bank processes has an impact on its other parts. The author discusses the changing role of ALM and its historical and current concepts, its strengths and weaknesses, and future threats and opportunities.
Download or read book Next Generation Balance Sheet Stress Testing written by Mr. Christian Schmieder and published by International Monetary Fund. This book was released on 2011-04-01 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi-IRB approach); (b) providing stress testers with a comprehensive platform to use satellite models, and to define various assumptions and scenarios; (c) allowing stress testers to run multi-year scenarios (up to five years) for hundreds of banks, depending on the availability of data. The framework uses balance sheet data and is Excel-based with detailed guidance and documentation.
Download or read book Ireland written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2022-07-07 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ireland has considerably strengthened financial sector regulation and supervision since the 2016 FSAP, aided by the ECB/SSM, and is working with European and international regulators to strengthen oversight of the large market-based finance (MBF) sector. This strengthening is evidenced by a successful navigation through the challenges of Brexit and the pandemic. Despite global headwinds, Ireland is exiting the pandemic with strong economic growth and a highly capitalized and liquid banking system. The financial system has grown rapidly and in complexity, especially after Brexit, and Ireland has become a European base for large financial groups. The MBF sector has grown to the second largest in Europe, with global interlinkages.
Download or read book Stress testing the Banking System written by Mario Quagliariello and published by Cambridge University Press. This book was released on 2009-10-15 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
Download or read book Credit Risk Analytics written by Bart Baesens and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
Download or read book Operational Risk Capital Models written by Rafael Cavestany and published by . This book was released on 2015 with total page 459 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of these models that help to better understand risks, safe capital and compliance. For the banking industry, regulators in many countries in Africa, Asia and Latin America (as well as Europe) are pressing their local banks to implement advanced operational risk capital models. Banks that have made early implementation are looking to improve their capital models with new advances to match the increasing regulatory requirements. Operational Risk Capital Models enables you to model your operational risk capital to ensure the model meets regulatory standards. It describes the process end to end, from the capture of the required data to the modelling and VaR calculation, as well as the integration of capital results into your institution's daily risk management." --Contratapa.
Download or read book Handbook of ALM in Banking written by Andreas Bohn and published by . This book was released on 2014 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework. Consequently, ALM is at the top of banks agendas. Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments. The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks liquidity reserves and collateral, as well as funding implications. The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also under the spotlight, with the book clarifying issues on funds transfer pricing, capital management and balance sheet requirements. The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.
