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 viii
... correlations magnify unexpected losses The missing algorithm for unexpected losses Qualitative scenario for unexpected losses The board needs tools to appreciate the value of assets Stress testing leveraged and volatile financial assets ...
... correlations magnify unexpected losses The missing algorithm for unexpected losses Qualitative scenario for unexpected losses The board needs tools to appreciate the value of assets Stress testing leveraged and volatile financial assets ...
Página xix
... Correlation coefficients, and □ Risk weighted assets (RWAs). QIS5 has demonstrated that a fairly significant reduction in regulatory capital requirements takes place in spite of a shrinkage of equity capital (Tier 1), already made ...
... Correlation coefficients, and □ Risk weighted assets (RWAs). QIS5 has demonstrated that a fairly significant reduction in regulatory capital requirements takes place in spite of a shrinkage of equity capital (Tier 1), already made ...
Página xxi
... 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 big issues come up: the first is what sort of control, for ...
... 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 big issues come up: the first is what sort of control, for ...
Página xxii
... correlations' for banks with hugely varied risk appetites and amounts of exposure, don't really make sense. Yet another ... Correlation coefficients have been given, and will continue being given, by the Basel Committee. In the preceding ...
... correlations' for banks with hugely varied risk appetites and amounts of exposure, don't really make sense. Yet another ... Correlation coefficients have been given, and will continue being given, by the Basel Committee. In the preceding ...
Página 7
... correlation, that prevails between variables included in the model. An additional type of data uncertainty occurs because several variables that play a decisive role in theoretical models cannot be observed directly in the real world ...
... correlation, that prevails between variables included in the model. An additional type of data uncertainty occurs because several variables that play a decisive role in theoretical models cannot be observed directly in the real world ...
Otras ediciones - Ver todas
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
Página 6 - So it is in contemplation ; if a man will begin with certainties, he shall end in doubts; but if he will be content to begin with doubts, he shall end in certainties.
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.
Página 64 - Experience may suggest the appropriate mathematical concepts, but they most certainly cannot be deduced from it. Experience remains, of course, the sole criterion of the physical utility of a mathematical construction. But the creative principle resides in mathematics. In a certain sense, therefore, I hold it true that pure thought can grasp reality, as the ancients dreamed.
Página 97 - There is no reason anyone would want a computer in their home. —Ken Olson, President, Chairman, and founder of Digital Equipment This "telephone" has too many shortcomings to be considered as a means of communication.