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Full Description
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.
Contents
Chapter 1: Introduction to Stress Testing and Risk Integration
Chapter 2: Macroeconomic Scenario Analysis from a Bank Perspective
Chapter 3: Asset and Liability Management, and Value at Risk
Chapter 4: Portfolio Credit Risk Modeling
Chapter 5: Balance Sheet, and Profit and Loss Stress Testing Projections
Chapter 6: Regulatory Capital, RWA, Leverage, and Liquidity Requirements Under Stress
Chapter 7: Risk Integration
Chapter 8: Reverse Stress Testing
