Stress Testing for Risk Control Under Basel II

Stress Testing for Risk Control Under Basel II
Author: Dimitris N. Chorafas
Publsiher: Elsevier
Total Pages: 360
Release: 2011-04-08
ISBN: 9780080467054
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Stress Testing for Risk Control Under Basel II Book Excerpt:

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

The Basel II Risk Parameters

The Basel II Risk Parameters
Author: Bernd Engelmann,Robert Rauhmeier
Publsiher: Springer
Total Pages: 426
Release: 2011-04-18
ISBN: 9783642161131
Category: Business & Economics
Language: EN, FR, DE, ES & NL

The Basel II Risk Parameters Book Excerpt:

The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.

Risk Management Technology in Financial Services

Risk Management Technology in Financial Services
Author: Dimitris N. Chorafas
Publsiher: Elsevier
Total Pages: 352
Release: 2011-04-08
ISBN: 9780080498096
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Management Technology in Financial Services Book Excerpt:

Written for professionals in financial services with responsibility for IT and risk management, Dimitris Chorafas surveys the methodology required and IT systems and structures to support it according to Basel II. The book is consistent with the risk management certification process of GARP, as well as the accounting rules of IFRS, based on research the author conducted with IASB. The author provices an in-depth discussion of the types of risk, stress analysis and the use of scenarios, mathematical models, and IT systems and infrastructure requirements. * Written in clear, straightforward style for financial industry executives to provide necessary information for risk control decisionmaking * Consistent with GARP, IFRS and IASB risk management processes and procedures * Explains stress testing and its place in risk control

Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance

Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance
Author: Md. Fazly Rabbi
Publsiher: Unknown
Total Pages: 75
Release: 2012
ISBN: 1928374650XXX
Category: Electronic Book
Language: EN, FR, DE, ES & NL

Stress Testing as Additional Risk Management Devices in Addition to Basel III Compliance Book Excerpt:

The Basel II Risk Parameters

The Basel II Risk Parameters
Author: Bernd Engelmann,Robert Rauhmeier
Publsiher: Springer Science & Business Media
Total Pages: 376
Release: 2006-08-25
ISBN: 3540330879
Category: Business & Economics
Language: EN, FR, DE, ES & NL

The Basel II Risk Parameters Book Excerpt:

A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.

Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks
Author: Tiziano Bellini
Publsiher: Academic Press
Total Pages: 316
Release: 2016-11-26
ISBN: 0128036117
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Stress Testing and Risk Integration in Banks Book Excerpt:

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

Financial Risk Management

Financial Risk Management
Author: Jimmy Skoglund,Wei Chen
Publsiher: John Wiley & Sons
Total Pages: 576
Release: 2015-10-12
ISBN: 1119135516
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Financial Risk Management Book Excerpt:

Presenting an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests, this guide offers the most up-to-date information and expert insight into real risk management, based on the authors' experience in developing and implementing risk analytics in banks around the globe. --

Emerging Trends in Smart Banking Risk Management Under Basel II and III

Emerging Trends in Smart Banking  Risk Management Under Basel II and III
Author: Li, Siqiwen
Publsiher: IGI Global
Total Pages: 290
Release: 2014-04-30
ISBN: 1466659513
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Emerging Trends in Smart Banking Risk Management Under Basel II and III Book Excerpt:

The 2008 global financial crisis has illustrated the need for tighter regulations and management of banking institutions, approaching banking and money lending in a more intelligent, directed fashion. Emerging Trends in Smart Banking: Risk Management Under Basel II and III discusses some of the latest developments in banking regulations and safeguards to ensure the mitigation of risk and economic collapse. This book is a critical reference in the exploration of business frameworks to identify areas of strength and potential weaknesses, insight that will be of use to business leaders, professionals in the banking industry, and researchers and scholars in all aspects of business and accounting.

Operational Risk Management

Operational Risk Management
Author: Hong Kong Institute of Bankers (HKIB)
Publsiher: John Wiley & Sons
Total Pages: 256
Release: 2013-05-13
ISBN: 0470827688
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Operational Risk Management Book Excerpt:

A practical guide to identifying, analyzing and tackling operational risk in banks and financial institutions Created for banking and finance professionals with a desire to expand their management skill set, this book focuses on operational risk and operational risk events, as distinct from other types of functional risks. It was written by the experts at the world-renowned Hong Kong Institute of Bankers, an organization dedicated to providing the international banking community with education and training. Schools you in techniques for analyzing the operational risk exposure of banking institutions and assessing how operational risk impacts on other types of risk Provides expert guidance on how to design, plan and implement systems for operational risk management and quality control Describes a comprehensive approach to operational risk management that includes data collection, modeling and an overall risk management structure Shows you how to develop operational risk management solutions to help your company minimize losses without negatively impacting its ability to generate gains Offers expert guidance on various regulatory frameworks and how the latest Basel II and Basel III requirements impact a bank's operational risk management strategy and framework

Operational Risk Modeling in Financial Services

Operational Risk Modeling in Financial Services
Author: Patrick Naim,Laurent Condamin
Publsiher: Wiley
Total Pages: 320
Release: 2019-04-08
ISBN: 1119508509
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Operational Risk Modeling in Financial Services Book Excerpt:

Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in Europe and the US, the Exposure, Occurrence, Impact (XOI) method of operational risk modelling played an instrumental role in reshaping their oprisk modelling approaches; in this book, the expert team that developed this methodology offers practical, in-depth guidance on XOI use and applications for a variety of major risks. The Basel Committee has dismissed statistical approaches to risk modelling, leaving regulators and practitioners searching for the next generation of oprisk quantification. The XOI method is ideally suited to fulfil this need, as a calculated, coordinated, consistent approach designed to bridge the gap between risk quantification and risk management. This book details the XOI framework and provides essential guidance for practitioners looking to change the oprisk modelling paradigm. Survey the range of current practices in operational risk analysis and modelling Track recent regulatory trends including capital modelling, stress testing and more Understand the XOI oprisk modelling method, and transition away from statistical approaches Apply XOI to major operational risks, such as disasters, fraud, conduct, legal and cyber risk The financial services industry is in dire need of a new standard — a proven, transformational approach to operational risk that eliminates or mitigates the common issues with traditional approaches. Operational Risk Modeling in Financial Services provides practical, real-world guidance toward a more reliable methodology, shifting the conversation toward the future with a new kind of oprisk modelling.

Risk Management and Regulation

Risk Management and Regulation
Author: Tobias Adrian
Publsiher: International Monetary Fund
Total Pages: 53
Release: 2018-08-01
ISBN: 1484371968
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Management and Regulation Book Excerpt:

The evolution of risk management has resulted from the interplay of financial crises, risk management practices, and regulatory actions. In the 1970s, research lay the intellectual foundations for the risk management practices that were systematically implemented in the 1980s as bond trading revolutionized Wall Street. Quants developed dynamic hedging, Value-at-Risk, and credit risk models based on the insights of financial economics. In parallel, the Basel I framework created a level playing field among banks across countries. Following the 1987 stock market crash, the near failure of Salomon Brothers, and the failure of Drexel Burnham Lambert, in 1996 the Basel Committee on Banking Supervision published the Market Risk Amendment to the Basel I Capital Accord; the amendment went into effect in 1998. It led to a migration of bank risk management practices toward market risk regulations. The framework was further developed in the Basel II Accord, which, however, from the very beginning, was labeled as being procyclical due to the reliance of capital requirements on contemporaneous volatility estimates. Indeed, the failure to measure and manage risk adequately can be viewed as a key contributor to the 2008 global financial crisis. Subsequent innovations in risk management practices have been dominated by regulatory innovations, including capital and liquidity stress testing, macroprudential surcharges, resolution regimes, and countercyclical capital requirements.

Liquidity Management

Liquidity Management
Author: Aldo Soprano
Publsiher: John Wiley & Sons
Total Pages: 216
Release: 2015-04-06
ISBN: 1118413997
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Liquidity Management Book Excerpt:

Robust management of liquidity risk within the changing regulatory framework Liquidity Management applies current risk management theory, techniques, and processes to liquidity risk control and management to help organizations prepare in case of future economic crisis and changing regulatory framework. Based on extensive research conducted on banks' datasets, this book addresses the practical challenges and critical issues that frequently go unmentioned, and discusses the recent impact of sovereign crises on banks' liquidity processes and approaches. Market practices and regulatory stances are reviewed and compared to bank treasuries' response to liquidity crunches, refinancing risks are explored in the context of Basel 3, and alternative funding is analyzed in terms of resilience and allocation. Coverage includes the recent crisis, new regulations, and the techniques, processes, and strategies banks use in managing liquidity risk. The 2008 and 2010 crises brought liquidity risk out of the shadows as even profitable and well-capitalized banks were swept away with breathtaking speed. This book reviews modeling and internal process design in the context of the structural change in market conditions on banks' refinancing and control requirements, helping readers rethink and re-design their organization's approach to liquidity risk. Understand the new liquidity regulatory framework and the implications for banks Study the latest liquidity measurement models, with stress testing and scenario analysis Discover the effect of illiquid financing markets and possible lasting impacts Compare market liquidity and warning signals that detect further deterioration With much of the world still reeling from history, it's important that liquidity risk become a major focus going forward. This practical guide provides valuable information, but also real, actionable steps that can be taken today to forecast and mitigate risks with an eye toward greater stability and security. Liquidity Management is a thorough, comprehensive guide to a more robust management of liquidity risk.

Basel III the Devil and Global Banking

Basel III  the Devil and Global Banking
Author: D. Chorafas
Publsiher: Springer
Total Pages: 287
Release: 2011-11-22
ISBN: 023035842X
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Basel III the Devil and Global Banking Book Excerpt:

The banking industry extensively lobbied against Basel III and governments have been keen to delay its full implementation. Chorafas' latest book takes a well-rounded approach on Basel III's strengths and weaknesses and explains how, without deep restructuring of the global banking industry, (like Basel II) Basel III will fail.

Regulatory Requirements Risk Management and the Equity Market in New Zealand

Regulatory Requirements  Risk Management and the Equity Market in New Zealand
Author: Andrew Maree
Publsiher: Unknown
Total Pages: 10
Release: 2017
ISBN: 1928374650XXX
Category: Electronic Book
Language: EN, FR, DE, ES & NL

Regulatory Requirements Risk Management and the Equity Market in New Zealand Book Excerpt:

As part of regulatory requirements from Basel II, financial institutions are required to conduct stress tests in New Zealand. This paper develops a methodology to calculate a series of severe but plausible economic scenarios. Five widely-used statistical distributions are compared in fitting the return series of NZ 50. We show that the Skewed t distribution has the best goodness of fit and generates the most suitable stress test scenarios. Our approach could be an important component of sound risk management for the Reserve Bank of New Zealand. The financial institutions are expected to continue to develop their stress testing frameworks, and to use the results in our paper to inform their capital management and risk appetite setting processes.

Risk Accounting and Risk Management for Accountants

Risk Accounting and Risk Management for Accountants
Author: Dimitris N. Chorafas
Publsiher: Elsevier
Total Pages: 312
Release: 2007-08-29
ISBN: 9780080550466
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Accounting and Risk Management for Accountants Book Excerpt:

Both Accountants and Auditors are confronted daily with challenges associated with the evaluation of credit risk, market risk, and other exposures. The book provides up-to-date information on the most significant developments in risk management policies and practices. Accountants whose work under International Financial Reporting Standards increasingly involves risk control in their job will find this book of practical value with the inclusion of material on "how to" successfully design, implementation and use risk control measures. Designed specifically for accountants the book starts with the fundamental factors underpinning risk: volatility and uncertainty, and then shows how and why accounting, auditing, and risk control correlate. The themes covered in the book include: credit risk, market risk, liquidity risk, investment risk, and event risk. * This practical handbook, complete with case studies is specifically aimed at accountants. * comprehensive information on how to develop, implement and use a risk management system * Covers credit risk, market risk, liquidity risk, investment risk, event risk.

Retail Credit Risk Management

Retail Credit Risk Management
Author: M. Anolli,E. Beccalli,T. Giordani
Publsiher: Springer
Total Pages: 236
Release: 2013-01-29
ISBN: 1137006765
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Retail Credit Risk Management Book Excerpt:

Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

Liquidity Risk Management

Liquidity Risk Management
Author: Shyam Venkat,Stephen Baird
Publsiher: John Wiley & Sons
Total Pages: 304
Release: 2016-03-28
ISBN: 1118881923
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Liquidity Risk Management Book Excerpt:

The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.

Stress testing the Banking System

Stress testing the Banking System
Author: Mario Quagliariello
Publsiher: Cambridge University Press
Total Pages: 135
Release: 2009-10-15
ISBN: 1139482831
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Stress testing the Banking System Book Excerpt:

Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.

Ethical Discourse in Finance

Ethical Discourse in Finance
Author: Marizah Minhat
Publsiher: Springer Nature
Total Pages: 135
Release: 2022
ISBN: 303081596X
Category: Electronic Book
Language: EN, FR, DE, ES & NL

Ethical Discourse in Finance Book Excerpt:

XVA Desks A New Era for Risk Management

XVA Desks   A New Era for Risk Management
Author: I. Ruiz
Publsiher: Springer
Total Pages: 407
Release: 2015-04-27
ISBN: 1137448202
Category: Business & Economics
Language: EN, FR, DE, ES & NL

XVA Desks A New Era for Risk Management Book Excerpt:

Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.