Reverse Stress Testing in Banking: A Comprehensive Guide

ISBN-13: 9783110644821 / Angielski / Twarda / 2021 / 583 str.

Michael Eichhorn; Tiziano Bellini

Spis treści

FOREWORD BY PROF. MOORAD CHOUDHRY

CHAPTER I: What is Reverse Stress Testing (and how does it differ from other risk analytics)?

• Definition
• What is it and why to use it
• Overview of reverse stress testing landscape so far (Tiziano Bellini, Michael Eichhorn)

CHAPTER II: How to perform Reverse Stress Testing

• A generic process driven approach (Michael Eichhorn, Philippe Mangold)

• Definition of failure points
• Vulnerability analysis
• Scenario design and parameterization
• Plausibility check and management actions
• Monitoring and reporting

CHAPTER III: What are the regulatory requirements?

• Regulatory requirements and considerations from a Board of Directors' perspective (Melanie Eichhorn-Schurig)

• Requirements by regulator and supervisory body (BCBS, EBA, FED, PRA)
• Considerations from Boards' perspective

CHAPTER IV: What can be learned from past failures?

• Why do banks fail? (TBC)
• What went wrong in the 2007-2009 crisis? (Tiziano Bellini)
• Roads to ruin - A study of major risk events (Prof. Chris Parsons, TBC)

CHAPTER V: What can be learned from practical use cases?

• Qualitative reverse stress testing

• Case study: Pension Protection Fund (Jean-Pierre Charmille)
• Case study: Moody's Rating Agency (TBC)
• Case study: Automotive (Grundke, TBC)

• Quantitative reverse stress testing

• Case study: Alpha Bank (Tiziano Bellini)
• Case study: Interbank Networks (Fabio Caccioli)
• Case study: Axioma Inc (Robert Stamicar)
• Case study: EVM Tech (Mirzai, Bahram)

CHAPTER VI: What can be learned from planning work?

• Linking Reverse Stress Testing to Risk Appetite and Risk Capacity (Anand Saxena)
• Linking Reverse Stress Testing to Recovery & Resolution Planning (Ahmed Nasir)

O autorze

Michael Eichhorn, Managing Director, Credit Suisse; Tiziano Bellini, Director, Blackrock; Daniel Mayenberger, trading, banking and investment expert