Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
| Main Author: | Bellini, Tiziano. |
|---|---|
| Other Authors: | ScienceDirect (Online service) |
| Format: | eBook |
| Language: | English |
| Published: |
[Place of publication not identified] :
Elsevier Ltd. : Academic Press,
2016.
|
| Physical Description: |
1 online resource. |
| Subjects: |
Table of Contents:
- Front Cover; Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R); Copyright; Dedication; Contents; Tiziano Bellini's Biography; Preface; Acknowledgments; Chapter 1: Introduction to Stress Testing and Risk Integration; 1.1 Antidote to the Crisis; 1.1.1 What Went Wrong; 1.1.2 Regulatory Responses; 1.2 Stress Testing, Risk Integration,and Reverse Stress Testing; 1.2.1 Stress Testing; 1.2.2 Risk Integration and Reverse Stress Testing; 1.3 Book Structure at a Glance; 1.3.1 Organization of the Book; 1.4 Summary; References.
- Chapter 2: Macroeconomic Scenario Analysis from a Bank Perspective2.1 Introduction; 2.2 Autoregression and Moving-Average Modeling; 2.2.1 AR(p) Analysis; 2.2.2 MA(q) Analysis; 2.2.3 ARMA(p,q) Analysis; 2.2.4 Box-Jenkins Time Series Analysis; 2.3 Vector Autoregression and Vector Error-Correction Modeling; 2.3.1 Vector Autoregression and Vector Error-Correction Analysis; 2.3.2 Vector Autoregression and Vector Error-Correction Forecast; 2.3.3 Impulse Response Analysis; 2.4 Global Vector Autoregression Modeling; 2.4.1 Introduction to the Global Vector Autoregression Model.
- 2.4.2 Global Vector Autoregression Analysis2.4.3 Global Vector Autoregression Forecast; 2.4.4 Generalized Impulse Response Analysis; 2.5 Stress Testing Scenario; 2.5.1 Scenario Design; 2.5.2 Conditional Forecasting; 2.5.3 Bank Alpha's Stress Testing Scenario; 2.5.4 Macroeconomic Modeling and Satellite Frameworks; 2.6 Summary; Suggestions for Further Reading; Appendix. Robust Vector Error Correction Model: A Forward Search Approach; Exercises; References; Chapter 3: Asset and Liability Management, and Value at Risk; 3.1 Introduction; 3.2 Margin at Risk; 3.2.1 Margin at Risk Estimation.
- 3.2.2 Interest Rate Sensitivity Analysis3.2.3 Term Structure of Interest Rates; 3.2.4 Margin at Risk Undera Stress Testing Scenario; 3.2.5 Bank Alpha's Stress Testing Margin at Risk; 3.3 Value at Risk; 3.3.1 Variance-Covariance Value at Risk; 3.3.2 Monte Carlo Simulation Value at Risk; 3.3.3 Historical Simulation Value at Risk; 3.3.4 Stress Testing and Regulatory Value at Risk; 3.3.5 Bank Alpha's Market RWA; 3.4 Liquidity Analysis; 3.4.1 Bank Alpha's Liquidity Analysis; 3.5 Summary; Suggestions for Further Reading; Appendix A. Kalman Filter for Affine Term Structure Models.
- Appendix B. Robust Kalman Filter: A Forward Search Approach to Estimate Affine Term Structure ModelsExercises; References; Chapter 4: Portfolio Credit Risk Modeling; 4.1 Introduction; 4.2 Credit Portfolio Modeling; 4.2.1 Credit Loss Distribution; 4.2.2 CreditMetrics; 4.2.3 Credit Portfolio Modeling With Copulas; 4.3 Credit Risk-Weighted Assets; 4.3.1 Standardized Credit Risk-Weighted Assets; 4.3.2 Internal Ratings-Based Credit Risk-Weighted Assets; 4.3.3 Bank Alpha's RWAs for Credit Risk; 4.4 How to Link Credit Risk Parameters and Macroeconomic Variables.