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Full Description
In line with the new Basel proposals, banks have to stress-test their assessment of capital adequacy. In recent years, they have developed internal models, which are currently under review by the respective regulators for approval. This book provides guidance for regulators and practitioners with regard to the stress-testing process. "Stress-testing for Financial Institutions" is a comprehensive guide to this 'unsolved issue' in financial risk management. With no other book currently on the market that focuses solely on stress-testing for financial institutions, this couldn't come at a better time. It includes chapters from academics, practitioners and regulators to cover the full spectrum of debate and perspectives on stress-testing. It includes innovative research from leading names in model analysis, and will help you to gain an insight into the regulations, constraints, and solutions to stress-testing in financial institutions. Recommended for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
Contents
Foreword Thilo Liebig Section 1: Stress testing frameworks 1 Integrating Stress Testing Frameworks Daniel Rosch and Harald Scheule 2 Stress Tests, Market Risk Measures and Extremes: Bringing Stress Tests to the Forefront of Market Risk Management Jose Aragones, Carlos Blanco and Kevin Dowd Section 2: Stress testing for corporate credit risk 3 Credit Cycle Stress Testing Using a Point in Time Rating System Sean Keenan, David Li, Stefano Santilli, Andrew Barnes, Kete Chalermkraivuth and Radu Neagu 4 Stress-Testing Credit Value-at-Risk: a Multiyear Approach Alfred Hamerle, Rainer Jobst, Michael Knapp and Matthias Lerner 5 Stress Testing the Impact of Group Dependence on Credit Portfolio Risk Steven Vanduffel, BoA'tjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas 6 Hedge the Stress: Using Stress Tests to Design Hedges for Foreign Currency Loans Thomas Breuer, Martin Jandaka, Klaus Rheinberger and Martin Summer Section 3: Stress testing for retail credit risk 7 Survey of Retail Loan Portfolio Stress Testing Joseph Breeden 8 Stress Tests for Retail Loan Portfolios Bernd Engelmann and Evelyn Hayden 9 Stress Testing Banks' Credit Risk: Using Mixture Vector Autogressive Models Tom Pak-Wing Fong and Chun-Shan Wong Section 4: Stress testing for economic capital 10 Uncertainty, Credit Migration, Stressed Scenarios and Portfolio Losses Jorge Sobehart 11 Worst-Case and Stressed Correlations in the Asymptotic Single Risk Factor Model Steffi Hose and Stefan Huschens 12 Risk Aggregation, Dependence Structure and Diversification Benefit Roland Burgi, Michel Dacorogna and Roger Iles 13 Stress Testing Credit Distributions of Banks' Portfolios: Risk Structure and Concentration Issues Adolfo Rodriguez and Carlos Trucharte 14 Time-varying Correlations for Credit Risk: Modelling, Estimating and Stress Testing Oleg Burd Section 5: Stress testing for regulatory capital 15 Macro Model-Based Stress Testing of Basel II Capital Requirements Esa Jokivuolle, Kimmo Virolainen and Oskari Vahamaa 16 Risk Tolerance Concepts and Scenario Analysis of Bank Capital Hakan Andersson and Andreas Lindell 17 Basel II-Type Stress Testing of Credit Portfolios Ferdinand Mager and Christian Schmieder Epilogue Fishing for Complements Christopher Finger Index
