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Author : Akhtar Siddique,Iftekhar Hasan
Publisher : Unknown
Page : 262 pages
File Size : 52,8 Mb
Release : 2013-05-29
Category : Bank failures
ISBN : 1782720081
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
Page : 269 pages
File Size : 49,5 Mb
Release : 2010-06-10
Category : Business & Economics
ISBN : 9780470971482
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.
Author : Mario Quagliariello
Publisher : Cambridge University Press
Page : 355 pages
File Size : 53,9 Mb
Release : 2009-10-15
Category : Business & Economics
ISBN : 9781139482837
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.
Author : David Lynch,Iftekhar Hasan,Akhtar Siddique
Publisher : Cambridge University Press
Page : 489 pages
File Size : 45,8 Mb
Release : 2022-12-31
Category : Business & Economics
ISBN : 9781108756488
Financial models are an inescapable feature of modern financial markets. Yet it was over reliance on these models and the failure to test them properly that is now widely recognized as one of the main causes of the financial crisis of 2007–2011. Since this crisis, there has been an increase in the amount of scrutiny and testing applied to such models, and validation has become an essential part of model risk management at financial institutions. The book covers all of the major risk areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management. The book discusses current practices and pitfalls that model risk users need to be aware of and identifies areas where validation can be advanced in the future. This provides the first unified framework for validating risk management models.
Author : Mr.Matthew T Jones,Mr.Paul Louis Ceriel Hilbers
Publisher : International Monetary Fund
Page : 18 pages
File Size : 46,6 Mb
Release : 2004-09-27
Category : Business & Economics
ISBN : 158906402X
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.
Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 34 pages
File Size : 43,6 Mb
Release : 2017-05-05
Category : Business & Economics
ISBN : 9781475599022
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.
Author : Cars Hommes,Blake LeBaron
Publisher : Elsevier
Page : 834 pages
File Size : 44,7 Mb
Release : 2018-06-27
Category : Business & Economics
ISBN : 9780444641328
Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. Helps readers fully understand the dynamic properties of realistically rendered economic systems Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions Provides broad assessments that can lead researchers to recognize new synergies and opportunities
Author : Ms.Li L Ong
Publisher : International Monetary Fund
Page : 610 pages
File Size : 41,6 Mb
Release : 2014-12-23
Category : Business & Economics
ISBN : 9781484368589
The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
Page : 34 pages
File Size : 40,7 Mb
Release : 2017-05-08
Category : Business & Economics
ISBN : 9781475599305
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.
Author : Rafael Cavestany,Brenda Boultwood,Laureano F. Escudero
Publisher : Unknown
Page : 459 pages
File Size : 45,7 Mb
Release : 2015
Category : Financial risk management
ISBN : 1782722017
"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.
Author : Alain Bensoussan,Dominique Guegan,Charles S. Tapiero
Publisher : Springer
Page : 315 pages
File Size : 40,5 Mb
Release : 2014-11-20
Category : Business & Economics
ISBN : 9783319075242
This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.
Author : Claus Kondrup,Paola Mercogliano,Francesco Bosello,Jaroslav Mysiak,Enrico Scoccimarro,Angela Rizzo,Rhian Ebrey,Marleen de Ruiter,Ad Jeuken,Paul Watkiss
Publisher : Springer Nature
Page : 243 pages
File Size : 54,9 Mb
Release : 2022-01-31
Category : Science
ISBN : 9783030862114
This open access book focuses on an issue only marginally tackled by this literature: the still existing gap between adaptation science and modelling and the possibility to effectively access and exploit the information produced by policy making at different levels, international, national and local. To do so, the book presents the proceedings of a high-level expert workshop on adaptation modelling, integrated with main results from the “Study on Adaptation Modelling” (SAM-PS) commissioned by the European Commission's Directorate-General for Climate Action (DG CLIMA) and implemented by the CMCC Foundation – Euro-Mediterranean Centre on Climate Change, in collaboration with the Institute for Environmental Studies (IVM), Deltares, and Paul Watkiss Associates (PWA). What is the latest development in adaptation modelling? Which tools and information are available for adaptation assessment? How much are they practically usable by the policy community? How their uptake by practitioners can be improved? What are the major research gaps in adaptation modelling that needs to be covered in the next future? How? This book addresses these questions presenting the results of a study on adaptation modelling commissioned by the European Commission's Directorate-General for Climate Action (DG CLIMA) enriched by the outcomes of a high-level expert workshop on adaptation also part of the research. This book aspires to provide a useful support to academics, policy makers and practitioners in the field of adaptation to orient them in the expanding adaptation modelling assessment literature and suggest practical ways for its application. This book, mainly addressed to academics, policy makers and practitioners in the field of adaptation, aims to providing orientation in the large and expanding methodological/quantitative literature, presenting novelties, guiding in the practical application of adaptation assessments and suggesting lines for future research. This open access book focuses on an issue only marginally tackled by this literature: the still existing gap between adaptation science and modelling and the possibility to effectively access and exploit the information produced by policy making at different levels, international, national and local. To do so, the book presents the proceedings of a high-level expert workshop on adaptation modelling, integrated with main results from the “Study on Adaptation Modelling” (SAM-PS) commissioned by the European Commission's Directorate-General for Climate Action (DG CLIMA) and implemented by the CMCC Foundation – Euro-Mediterranean Centre on Climate Change, in collaboration with the Institute for Environmental Studies (IVM), Deltares, and Paul Watkiss Associates (PWA).
Author : Mr.Jorge A Chan-Lau
Publisher : International Monetary Fund
Page : 33 pages
File Size : 44,5 Mb
Release : 2017-06-09
Category : Business & Economics
ISBN : 9781484300688
A thorough analysis of risks in the banking system requires incorporating banks’ inherent heterogeneity and adaptive behavior in response to shocks and changes in business conditions and the regulatory environment. ABBA is an agent-based model for analyzing risks in the banking system in which banks’ business decisions drive the endogenous formation of interbank networks. ABBA allows for a rich menu of banks’ decisions, contingent on banks’ balance sheet and capital position, including dividend payment rules, credit expansion, and dynamic balance sheet adjustment via risk-weight optimization. The platform serves to illustrate the effect of changes on regulatory requirements on solvency, liquidity, and interconnectedness risk. It could also constitute a basic building block for further development of large, bottom-up agent-based macro-financial models.
Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 45,6 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742
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.
Author : Zhang Jin
Publisher : Unknown
Page : 404 pages
File Size : 49,6 Mb
Release : 2013
Category : Bank capital
ISBN : 1782720820
This book explores the modelling techniques key to Comprehensive capital analysis and review (CCAR) and the business implications of the programme. Contributions from those directly involved in the implementation and regulation of these assessments provide a unique source of information and insight into the assessment practices. The author brings together industry experts in stress testing and capital assessment to examine the central issues surrounding CCAR including: 1) The design and severity of the macroeconomic scenarios; 2) Commercial and industrial (C&I) and Corporate, commercial real estate (CRE) portfolio stress testing; 3) Market, counterparty and operational risks; 4) Pre-provision net revenue modelling; 5) Governance; 6) Capital management." - - Extracted from BusinessWire.