Stress Testing for Risk Control Under Basel IIElsevier, 2011 M04 8 - 360 páginas The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document: * "Banks should take into consideration potential future changes in economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions." * "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses."* "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk."Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II. * Written in clear, straightforward style with numerous practical examples* Based on five years of development and research* Focuses on stress probability of default, stress loss given default, stsress exposure at default |
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Página xiii
... bank are liabilities of other entities, stress tests should consider not only counterparty risk, but also the fair value ... bank's staying power and, therefore, market edge. Advanced testing is broadening both management's mind and the ...
... bank are liabilities of other entities, stress tests should consider not only counterparty risk, but also the fair value ... bank's staying power and, therefore, market edge. Advanced testing is broadening both management's mind and the ...
Página xv
... bank a license to operate. □ Capital for unexpected losses, a new concept, addresses the long leg of the loss distribution as well as its spikes. Until quite recently, provisioning for financial resources connected to unexpected losses ...
... bank a license to operate. □ Capital for unexpected losses, a new concept, addresses the long leg of the loss distribution as well as its spikes. Until quite recently, provisioning for financial resources connected to unexpected losses ...
Página xx
... Bank of America, and Citigroup, share among themselves $110 trillion in derivatives exposure. As explained in the body of this book, in terms of credit equivalence under stress conditions, the $110 trillion in notional principal morph ...
... Bank of America, and Citigroup, share among themselves $110 trillion in derivatives exposure. As explained in the body of this book, in terms of credit equivalence under stress conditions, the $110 trillion in notional principal morph ...
Página xxi
... Bank for International Settlements (BIS) states that: The correlation between different risk types may be very difficult to measure.5 That's absolutely correct. With IRB, the correlation coefficient is set by the Basel Committee. Two ...
... Bank for International Settlements (BIS) states that: The correlation between different risk types may be very difficult to measure.5 That's absolutely correct. With IRB, the correlation coefficient is set by the Basel Committee. Two ...
Página 10
... bank undertakes, and □ Define the components of capital, bearing in mind its ability to absorb losses. The Basel Committee suggests, in the aforementioned document, that: 'Supervisors must be satisfied that banks and banking groups ...
... bank undertakes, and □ Define the components of capital, bearing in mind its ability to absorb losses. The Basel Committee suggests, in the aforementioned document, that: 'Supervisors must be satisfied that banks and banking groups ...
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Stress Testing for Risk Control Under Basel II Dimitris N. Chorafas Sin vista previa disponible - 2007 |
Términos y frases comunes
A-IRB advanced testing aftermath algorithm analysis approach assets bank’s bankers bankruptcy Basel Committee Basel II billion bonds business risk capital adequacy capital requirements cent central banks Chapter collateral companies computed correlation counterparty credit derivatives credit institutions credit rating credit risk creditworthiness D.N. Choraſas debt developed distribution economic capital effect enterprise architecture entity equity estimates evaluation example expected extreme events Figure global hedge funds HLIs impact industry instruments interest rates internal investment investors leveraged liquidity loans LTCM macroeconomic major market risk means method normal distribution obligor operational risk pooled PD portfolio probability of default rating agencies reasons regulators regulatory capital risk appetite risk control risk drivers risk management securitization senior management SLGD statistical stress scenario stress testing supervisors systemic risk trading transactions unexpected losses variables volatility
Pasajes populares
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Página 98 - telephone" has too many shortcomings to be seriously considered as a means of communication. The device is inherently of no value to us.
Página 65 - ... look as though it had existed forever. But in 1929, Edwin Hubble made the landmark observation that wherever you look, distant galaxies are moving rapidly away from us. In other words, the universe is expanding. This means that at earlier times objects would have been closer together. In fact, it seemed that there was a time, about ten or twenty thousand million years ago, when they were all at exactly the same place and when, therefore, the density of the universe was infinite.
Página 201 - Supervision (2006) defines operational risk as "the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events.
Página 104 - It would be unfair to claim any particular prescience on our part; no more than anyone else did we see the depression coming. I think the story I have told shows that we had simply learned how to react quickly. This was perhaps the greatest payoff of our system of financial and operating controls.
Página 98 - There is not the slightest indication that nuclear energy will ever be obtainable. It would mean that the atom would have to be shattered at will.
Página 98 - The problem with television is that people must sit and keep their eyes glued on a screen: the average American family hasn't time for it.
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