Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in MATLAB and R)

ISBN-13: 9780128035900 / Angielski / Twarda / 2016 / 316 str.

Tiziano Bellini

Opis

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

Recenzje

"Stress Testing and Risk Integration in Banks is a book that both finance academics and risk management experts have long sought. It bridges a substantial gap between risk theory and banking practice by paving the way for sound quantitative approaches in the area." --Niklas F Wagner, University of Passau

"This book is highly practical and rigorous in its clear and refreshing coverage of current risk issues faced by global banks. Combining Matlab/R code, relevant exercises and business cases, it is comprehensive in scope and operationally highly relevant." --Gary van Vuuren, Aviva Investors, London and North West University, South Africa

"Stress Testing and Risk Integration in Banks reveals the important connections between risk management and stress testing in the banking industry. These days, in which the industry is in the verge of its deepest change in decades, this book provides a much-needed framework to apply stress testing in practical terms." --Juan Ignacio Peña, Universidad Carlos III

Spis treści

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

O autorze

Tiziano Bellini received his PhD degree in statistics from the University of Milan after being a visiting PhD student at the London School of Economics and Political Science. He is Qualified Chartered Accountant and Registered Auditor. He gained wide risk management experience across Europe, in London, and in New York. He is currently Director at BlackRock Financial Market Advisory (FMA) in London. Previously he worked at Barclays Investment Bank, EY Financial Advisory Services in London, HSBCs headquarters, Prometeia in Bologna, and other leading Italian companies. He is a guest lecturer at Imperial College in London, and at the London School of Economics and Political Science. Formerly, he served as a lecturer at the University of Bologna and the University of Parma. Tiziano is author of Stress Testing and Risk Integration in Banks, A Statistical Framework and Practical Software Guide (in Matlab and R) edited by Academic Press. He has published in the European Journal of Operational Research, Computational Statistics and Data Analysis, and other top-reviewed journals. He has given numerous training courses, seminars, and conference presentations on statistics, risk management, and quantitative methods in Europe, Asia, and Africa.