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Stress Testing
Approaches, Methods and Applications
Discipline: Regulation, Quantitative Analysis
First published:
ISBN: 9781782720089
Stress Testing: Approaches, Methods and Applications explores and clarifies the methodology, impetus and functions of stress testing within the context of the latest practices and regulations faced by banks and other financial institutions.
The authoritative guide and reference tool for stress testing, this book is essential for risk managers, regulators and consultants who want a clearer understanding of the methods, tools and uses of stress testing in different risk areas.
Contents
Introduction to Stress Testing: Approaches, Methods and Applications
Governance over Stress Testing
Stress Testing and Other Risk-Management Tools
Stress Testing for Market Risk
The Evolution of Stress Testing Counterparty Exposures
Operational Risk: An Overview of Stress-Testing Methodologies
Stress Testing of Bank Loan Portfolios as a Diagnostic Tool
Stress-Test Modelling for Loan Losses and Reserves
A Framework for Stress Testing Banks’ Corporate Credit Portfolio
EU-Wide Stress Test: The Experience of the EBA
Stress Testing Across International Exposures and Activities
Liquidity Risk: The Case of the Brazilian Banking System
Determining the Severity of Macroeconomic Stress Scenarios