Download or read book Coherent Stress Testing written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2010-06-10 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Coherent Stress Testing: A Bayesian Approach, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. Based on the author's extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches. The book is split into four parts. Part I looks at stress testing and at its role in modern risk management. It discusses the distinctions between risk and uncertainty, the different types of probability that are used in risk management today and for which tasks they are best used. Stress testing is positioned as a bridge between the statistical areas where VaR can be effective and the domain of total Keynesian uncertainty. Part II lays down the quantitative foundations for the concepts described in the rest of the book. Part III takes readers through the application of the tools discussed in part II, and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the needs of industry users and regulators. In part IV the author addresses more practical questions such as embedding the suggestions of the book into a viable governance structure.
Download or read book A Coherent Framework for Stress testing written by Jeremy Berkowitz and published by . This book was released on 1999 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent months and years practitioners and regulators have embraced the idea of supplementing VaR estimates with stress-testing. Risk managers are beginning to place an emphasis and expend resources on developing more and better stress-tests. In the present paper, we hold the standard approach to stress-testing up to a critical light. The current practice is to stress-test outside the basic risk model. Such an approach yields two sets of forecasts -- one from the stress-tests and one from the basic model. The stress scenarios, conducted outside the model, are never explicitly assigned probabilities. As such, there is no guidance as to the importance or relevance of the results of stress-tests. Moreover, how to combine the two forecasts into a usable risk metric is not known. Instead, we suggest folding the stress-tests into the risk model, thereby requiring all scenarios to be assigned probabilities.
Download or read book Outlines and Highlights for Coherent Stress Testing written by Cram101 Textbook Reviews and published by Academic Internet Pub Incorporated. This book was released on 2011-03 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780470666012 .
Download or read book Handbook of Financial Stress Testing written by J. Doyne Farmer and published by . This book was released on 2022-04-14 with total page 729 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.
Download or read book Portfolio Management under Stress written by Riccardo Rebonato and published by Cambridge University Press. This book was released on 2013 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.
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 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 Stress Testing written by Li Lian Ong and published by INTERNATIONAL MONETARY FUND. This book was released on 2020-09-03 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this book is to present IMF staff’s further analyses and applications of these tools. Stress test exercises must be undertaken within a coherent and comprehensive framework; they must take into account "best practice" principles and incorporate key concepts; and they must hold up under intense scrutiny given their ability to significantly influence results.
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 Lasso Regressions and Forecasting Models in Applied Stress Testing written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2017-05-05 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are well suited for building forecasting models when the number of potential covariates is large, and the number of observations is small or roughly equal to the number of covariates. This paper presents a conceptual overview of lasso regressions, explains how they fit in applied stress tests, describes its advantages over other model selection methods, and illustrates their application by constructing forecasting models of sectoral probabilities of default in an advanced emerging market economy.
Download or read book A Framework for Macroprudential Bank Solvency Stress Testing written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-03-13 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis has placed the spotlight squarely on bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applie in each of these major country FSAPs is provided, together with our stress test output templates.
Download or read book Stress Testing written by Myrvin H. Ellestad and published by . This book was released on 1975 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Model Based Stress Tests written by Carol Alexander and published by . This book was released on 2008 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfolios exposed to market risk. Following recent criticism of stress testing methods our tests are conducted in the context of risk models, building on the VaR literature. First, to identify the most suitable risk models for stress testing, we apply an extensive back testing procedure that focuses on extreme market movements. We consider eight possible risk models including both conditional and unconditional models and four possible return distributions (normal, Student's t, empirical and normal mixture) applied to three heavily traded currency pairs using a sample of daily data spanning more than 20 years. Finding that risk models accommodating both volatility clustering and heavy tails are the most accurate predictors of extreme returns, we develop a corresponding model-based stress testing methodology. Our results are compared with traditional stress tests and we assess the implications for capital adequacy. On the basis of our results we conclude that the new recommendations for market risk regulatory capital calculation will have little impact on current levels of foreign exchange regulatory capital.
Download or read book Sense of Coherence written by Taru Feldt and published by . This book was released on 2000 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yhteenveto: Koherenssin rakenne, pysyvyys ja terveyttä edistävä merkitys työelämässä.
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 Stress Testing the Banking Agencies written by Matthew C. Turk and published by . This book was released on 2019 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the major regulatory innovations that has emerged over the decade following the financial crisis is the development of regulatory stress tests for large financial institutions. But the role of stress tests as a pillar of financial regulation has been placed in jeopardy by a recent wave of reforms within Congress and the Trump Administration. Existing legal scholarship provides minimal guidance for evaluating this development, because it lacks a coherent account of what the Dodd-Frank Act's stress testing programs can and should do. This article fills that gap.First, it provides a comprehensive analysis of the promise and limits of financial stress tests. That analysis reveals that both Dodd-Frank's architects as well as its reformist skeptics have misconceived the vices and virtues of the post-crisis stress testing rules. As it stands, the current procedures bear surprisingly little relation to the systemic risks they were designed to address. At the same time, claims that those rules represent a harmful escalation of regulatory burdens, discretion or uncertainty are overstated. Second, the article moves beyond critique and charts a practical path forward by identifying a simple yet fundamental twist to the administration of stress tests which would enable them to effectively perform the functions they were intended to serve. Specifically, it outlines a set of reforms that transform stress tests into tool for diagnosing weaknesses in the regulatory requirements promulgated by federal banking agencies, rather than in the banks themselves. By stress testing for regulatory failure, the market failures which lead to financial crises are more likely to be prevented. The broader contribution of this article is to highlight the need for a genuinely interdisciplinary approach to financial regulation, which focuses on how subtle aspects of legal structure interact with the underlying economic principles governing financial markets. The post-crisis stress tests present a classic case on why taking both the law and economics of financial regulation seriously is easier said than done. But they also show that without such an approach, regulatory cost-and-benefits are misapprehended, basic policy questions prove impossible to answer, and unintended consequences abound.
Download or read book Coherence written by Alan Watkins and published by Kogan Page Publishers. This book was released on 2021-09-03 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand how to overcome the obstacles inhibiting performance and unlock the potential for brilliance that lies within every leader. Most leaders are operating nowhere near their optimal level of performance. In this book, Dr Alan Watkins helps leaders at every level understand how they can transform their output and unlock their true potential. He shares proven techniques that have helped thousands of leaders in FTSE 50 giants and SMEs across market sectors and geographies as well as the Olympic and Paralympic Rowing Team, resulting in them achieving their best ever medal haul in London 2012. Coherence shows how our ability to lead and deliver results is rooted in our biology. Dr Watkins explains the science of how to increase energy levels and become smarter, more resilient, happier, healthier and more successful in whatever we do. Drawing on case studies from prominent business leaders and insights from a diverse range of research fields, he reveals the secrets to exceptional leadership and how to be brilliant every day. Now in its second edition, this vital guide contains upgraded practical tools and new insights on how to transform productivity, manage complexity, accelerate innovation and drive greater commercial performance, all while becoming healthier and happier.
