Stress Testing And Risk Integration In Banks

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Stress Testing and Risk Integration in Banks

Tiziano Bellini
Stress Testing and Risk Integration in Banks Book PDF

Author : Tiziano Bellini
Publisher : Academic Press
Page : 316 pages
File Size : 41,6 Mb
Release : 2016-11-26
Category : Business & Economics
ISBN : 9780128036112

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Stress Testing and Risk Integration in Banks by Tiziano Bellini Pdf

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

Reverse Stress Testing in Banking

Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
Reverse Stress Testing in Banking Book PDF

Author : Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
Publisher : Walter de Gruyter GmbH & Co KG
Page : 483 pages
File Size : 50,8 Mb
Release : 2021-05-10
Category : Business & Economics
ISBN : 9783110644951

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Reverse Stress Testing in Banking by Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger Pdf

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.

IFRS 9 and CECL Credit Risk Modelling and Validation

Tiziano Bellini
IFRS 9 and CECL Credit Risk Modelling and Validation Book PDF

Author : Tiziano Bellini
Publisher : Academic Press
Page : 316 pages
File Size : 45,6 Mb
Release : 2019-02-08
Category : Business & Economics
ISBN : 9780128149409

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IFRS 9 and CECL Credit Risk Modelling and Validation by Tiziano Bellini Pdf

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

From Stress to Costress

Mr.Rodolfo Maino,Mr.Kalin Tintchev
From Stress to Costress Book PDF

Author : Mr.Rodolfo Maino,Mr.Kalin Tintchev
Publisher : International Monetary Fund
Page : 61 pages
File Size : 43,8 Mb
Release : 2012-02-01
Category : Business & Economics
ISBN : 9781475576566

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From Stress to Costress by Mr.Rodolfo Maino,Mr.Kalin Tintchev Pdf

This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss distributions, making no assumptions about the cause of default.

Stress Testing at the IMF

Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Stress Testing at the IMF Book PDF

Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 50,5 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742

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Stress Testing at the IMF by Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher Pdf

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.

Stress Testing Financial Systems

Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Stress Testing Financial Systems Book PDF

Author : Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Publisher : International Monetary Fund
Page : 18 pages
File Size : 40,7 Mb
Release : 2004-09-27
Category : Business & Economics
ISBN : 158906402X

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Stress Testing Financial Systems by Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers Pdf

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This booklet is intended to answer some of the basic questions that may arise as part of the process of stress testing. The pamphlet begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The booklet provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Market-Based Structural Top-Down Stress Tests of the Banking System

Mr.Jorge A. Chan-Lau
Market Based Structural Top Down Stress Tests of the Banking System Book PDF

Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 18 pages
File Size : 44,7 Mb
Release : 2013-04-10
Category : Business & Economics
ISBN : 9781484384923

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Market-Based Structural Top-Down Stress Tests of the Banking System by Mr.Jorge A. Chan-Lau Pdf

Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios. As an illustration, the methodology is applied to a set of banks in an advanced emerging market economy.

United Kingdom

International Monetary Fund. Monetary and Capital Markets Department
United Kingdom Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 91 pages
File Size : 55,8 Mb
Release : 2016-06-17
Category : Business & Economics
ISBN : 9781484394120

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United Kingdom by International Monetary Fund. Monetary and Capital Markets Department Pdf

This paper discusses how Financial Sector Assessment Program (FSAP) stress test assesses the resilience of the banking sector as a whole rather than the capital adequacy of individual institutions. The FSAP approach to stress testing is essentially macroprudential: it focuses on resilience of the broader financial system to adverse macro-financial conditions rather than on resilience of individual banks to specific shocks. This test ensures consistency in macroeconomic scenarios and metrics across firms to facilitate the assessment of the banking system as a whole. The stress test analysis is intended to help country authorities to identify key sources of systemic risk in the banking sector and inform macroprudential policies to enhance its resilience to absorb shocks.

Credibility and Crisis Stress Testing

Ms.Li L. Ong,Ceyla Pazarbasioglu
Credibility and Crisis Stress Testing Book PDF

Author : Ms.Li L. Ong,Ceyla Pazarbasioglu
Publisher : International Monetary Fund
Page : 64 pages
File Size : 41,7 Mb
Release : 2013-08-09
Category : Business & Economics
ISBN : 9781484395615

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Credibility and Crisis Stress Testing by Ms.Li L. Ong,Ceyla Pazarbasioglu Pdf

Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form of the Supervisory Capital Assessment Program. Since then, supervisory authorities in other jurisdictions have also conducted similar exercises. In some of those cases, the design and implementation of certainelements of the framework have been criticized for their lack of credibility. This paper proposes a set of guidelines for constructing an effective crisis stress test. It combines financial markets impact studies of previous exercises with relevant case study information gleaned from those experiences to identify the key elements and to formulate their appropriate design. Pertinent concepts, issues and nuances particular to crisis stress testing are also discussed. The findings may be useful for country authorities seeking to include stress tests in their crisis management arsenal, as well as for the design of crisis programs.

Designing Effective Macroprudential Stress Tests

Mr. Dimitri G. Demekas
Designing Effective Macroprudential Stress Tests Book PDF

Author : Mr. Dimitri G. Demekas
Publisher : International Monetary Fund
Page : 34 pages
File Size : 43,6 Mb
Release : 2015-06-30
Category : Business & Economics
ISBN : 9781513501536

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Designing Effective Macroprudential Stress Tests by Mr. Dimitri G. Demekas Pdf

Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual institutions but also on their behavioral responses and their interactions with each other and with other economic agents; and (ii) focusing on the resilience of the system as a whole. Progress has been made toward the first goal: several models are now available that attempt to integrate solvency, liquidity, and other sources of risk and to capture some behavioral responses and feedback effects. But building models that measure correctly systemic risk and the contribution of individual institutions to it while, at the same time, relating the results to the established regulatory framework has proved more difficult. Looking forward, making macroprudential stress tests more effective would entail using a variety of analytical approaches and scenarios, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should not be used in isolation but be treated as complements to other tools and—crucially—be combined with microprudential perspectives.

Macroprudential Solvency Stress Testing of the Insurance Sector

Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Macroprudential Solvency Stress Testing of the Insurance Sector Book PDF

Author : Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Publisher : International Monetary Fund
Page : 84 pages
File Size : 54,8 Mb
Release : 2014-07-22
Category : Business & Economics
ISBN : 9781498324557

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Macroprudential Solvency Stress Testing of the Insurance Sector by Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit Pdf

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.

Preparing for the Next Financial Crisis

Esa Jokivuolle,Radu Tunaru
Preparing for the Next Financial Crisis Book PDF

Author : Esa Jokivuolle,Radu Tunaru
Publisher : Cambridge University Press
Page : 205 pages
File Size : 54,7 Mb
Release : 2017-11-16
Category : Business & Economics
ISBN : 9781107185593

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Preparing for the Next Financial Crisis by Esa Jokivuolle,Radu Tunaru Pdf

This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.

Stress Testing Financial Systems

Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack
Stress Testing Financial Systems Book PDF

Author : Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack
Publisher : International Monetary Fund
Page : 39 pages
File Size : 50,8 Mb
Release : 2004-07-01
Category : Business & Economics
ISBN : 9781451855012

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Stress Testing Financial Systems by Mr.Paul Louis Ceriel Hilbers,Mr.Matthew T. Jones,Mr.Graham L. Slack Pdf

Stress testing is becoming a widely used tool to assess potential vulnerabilities in a financial system. This paper is intended to answer some of the basic questions that may arise as part of the process of stress testing. The paper begins with a discussion of stress testing in a financial system context, highlighting some of the differences between stress tests of systems and of individual portfolios. The paper provides an overview of the process itself, from identifying vulnerabilities, to constructing scenarios, to interpreting the results. The experience of the IMF in conducting stress testing as part of the Financial Sector Assessment Program (FSAP) is also discussed.

Stress-testing the Banking System

Mario Quagliariello
Stress testing the Banking System Book PDF

Author : Mario Quagliariello
Publisher : Cambridge University Press
Page : 355 pages
File Size : 55,7 Mb
Release : 2009-10-15
Category : Business & Economics
ISBN : 9781139482837

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Stress-testing the Banking System by Mario Quagliariello Pdf

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.

Introduction to Applied Stress Testing

Martin Cihák
Introduction to Applied Stress Testing Book PDF

Author : Martin Cihák
Publisher : International Monetary Fund
Page : 80 pages
File Size : 44,6 Mb
Release : 2007-03
Category : Business & Economics
ISBN : UCSD:31822036089365

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Introduction to Applied Stress Testing by Martin Cihák Pdf

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.