Stress-testing the banking system methodologies and applications
"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 practi...
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| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2009
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Contributor biographical information Publisher description Table of contents only Inhaltsverzeichnis |
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| 245 | 1 | 0 | |a Stress-testing the banking system |b methodologies and applications |c ed. by Mario Quagliariello |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2009 | |
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| 520 | 3 | |a "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"--P. [4] of cover. | |
| 650 | 4 | |a Bank | |
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| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0907/2009010745-b.html |3 Contributor biographical information | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0907/2009010745-d.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0907/2009010745-t.html |3 Table of contents only | |
| 856 | 4 | 2 | |m OEBV Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018623539&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-018623539 | |
Datensatz im Suchindex
| _version_ | 1819727075434561536 |
|---|---|
| adam_text | CONTENTS LIST OF FIGURES* PAGE X LIST OF TABLES* XII LIST OF BOXES* XIV
LIST OF CONTRIBUTORS* XV FOREWORD GIOVANNI CAROSIO (BANK OF LTALY,
DEPUTY DIRECTOR GENERAL)* XXI ACKNOWLEDGEMENTS* XXIII INTRODUCTION MARIO
QUAGLIARIELLO (BANK OF ITALY)* 1 PART 1* FUNDAMENTALS* 5 1* A FRAMEWORK
FOR ASSESSING FINANCIAL STABILITY MAURIZIO TRAPANESE (BANK OF ITALY)* 7
1.1 INTRODUCTION* 7 1.2 BUILDING THE FRAMEWORK* 9 1.3 THE USE OF
MACROPRUDENTIAL ANALYSIS FOR ASSESSING FINANCIAL STABILITY* 11 1.4
LOOKING FOR INSTABILITY* 12 1.5 CONCLUSIONS* 16 REFERENCES* 17 2*
MACROECONOMIC STRESS-TESTING: DEFINITIONS AND MAIN COMPONENTS MARIO
QUAGLIARIELLO (BANK OF ITALY)* 18 2.1 INTRODUCTION* 18 2.2 OBJECTIVES OF
STRESS-TESTING: THE MICRO AND MACRO PERSPECTIVES* 19 2.3 STRESS TESTS:
DEFINITIONS* 22 2.4 THE INGREDIENTS FOR MACROECONOMIC STRESS-TESTING* 25
REFERENCES* 35 *I* CONTENTS 3* MACROECONOMIC STRESS-TESTING BANKS: A
SURVEY OF METHODOLOGIES MATHIAS DREHMANN (BANK FOR INTERNATIONAL
SETTLEMENTS)* 37 3.1 INTRODUCTION* 37 3.2 EXPOSURES TO RISK* 38 3.3 THE
RISK MEASURE* 48 3.4 THE MODEL OF THE DATA GENERATING PROCESS* 50 3.5
METHODOLOGICAL CHALLENGES* 55 3.6 THE NEW FRONTIER: AN INTEGRATED
APPROACH TO MACROECONOMIC STRESS-TESTING* 60 REFERENCES* 62 4* SCENARIO
DESIGN AND CALIBRATION TAKASHI ISOGAI (BANK OF JAPAN)* 68 4.1
INTRODUCTION* 68 4.2 OBJECTIVITY AND PLAUSIBILITY OF STRESS TESTS* 69
4.3 TECHNICAL DISCUSSION ON THE PLAUSIBILITY OF STRESS SCENARIOS* 74 4.4
CONCLUSIONS* 77 REFERENCES* 78 5* RISK AGGREGATION AND ECONOMIC CAPITAL
VINCENZO TOLA (BANK OF ITALY)* 80 5.1 INTRODUCTION* 80 5.2 SOME BASIC
DEFINITIONS* 81 5.3 RELATED LITERATURE* 83 5.4 COPULAS* 84 5.5 COPULAS
IN AN ECONOMIC CAPITAL MODEL* 87 5.6 CONCLUSIONS* 96 REFERENCES* 97 6 *
DATA NEEDS FOR STRESS-TESTING FRANCESCO CANNATA (BANK OF ITALY) AND
ULRICH KRUEGER (DEUTSCHE BUNDESBANK)* 99 6.1 INTRODUCTION* 99 6.2
OVERVIEW OF THE INFORMATION NEEDED FOR STRESS-TESTING* 100 6.3 DATA
NEEDS BY RISK TYPE* 103 6.4 * FOCUS ON CREDIT RISK* 106 6.5 * POSSIBLE
TOOL FOR ORGANISING DATA* 110 REFERENCES* 115 CONTENTS 7* USE OF MACRO
STRESS TESTS IN POLICY-MAKING PATRIZIA BAUDINO (FINANCIAL STABILITY
BOARD)* 117 7.1 INTRODUCTION* 117 7.2 USE OF MACRO STRESS TESTS FOR
POLICY-MAKING: LIMITATIONS AND BENEFITS* 120 7.3 HOW MACRO STRESS TESTS
HAVE BEEN USED FOR POLICY-MAKING* 124 REFERENCES* 128 PART II*
APPLICATIONS * 131 8* STRESS-TESTING CREDIT RISK: THE ITALIAN EXPERIENCE
SEBASTIANO LAVIOLA, JURI MARCUCCI AND MARIO QUAGLIARIELLO (BANK OF
ITALY)* 133 8.1 INTRODUCTION* 133 8.2 THE ITALIAN BANKING SYSTEM: SOME
STYLISED FACTS* 134 8.3 AN ANALYTICAL FRAMEWORK FOR STRESS-TESTING
CREDIT RISK* 135 8.4 STRESS TEST RESULTS* 143 8.5 CONCLUSIONS* 147
REFERENCES* 148 9* STRESS-TESTING US BANKS USING
ECONOMIC-VALUE-OF-EQUITY (EVE) MODELS MIKE CARHILL (OFFICE OF THE
COMPTROLLER OF THE CURRENCY)* 149 9.1 INTRODUCTION* 149 9.2 THE EVE
CONCEPT* 151 9.3 FUTURE BUSINESS* 153 9.4 MODEL UNCERTAINTY* 155 9.5
CREDIT RISK* 160 9.6 CONCLUSIONS* 162 APPENDIX VARIATION OF DEPOSIT
SENSITIVITY ESTIMATES ACROSS BANKS* 162 REFERENCES* 163 10* A FRAMEWORK
FOR INTEGRATING DIFFERENT RISKS: THE INTERACTION BETWEEN CREDIT AND
INTEREST RATE RISK STEFFEN SORENSEN (BARRIE AND HIBBERT) AND MARCO
STRINGA (BANK OF ENGLAND)* 165 10.1 INTRODUCTION* 165 10.2 A FRAMEWORK
FOR INTEGRATING INTEREST RATE AND CREDIT RISK* 168 CONTENTS 10.3
BUILDING BLOCKS OF THE STRESS TEST* 172 10.4 ILLUSTRATIVE SIMULATIONS*
175 10.5 FUTURE CHALLENGES TO CAPTURE INTEGRATION IN MACRO STRESS TESTS*
181 10.6 CONCLUSIONS* 182 REFERENCES* 182 11* STRESS-TESTING LINKAGES
BETWEEN BANKS IN THE NETHERLANDS IRRAN VAN LELYVELD, FRANKA LIEDORP AND
MARC PROPPER (DE NEDERLANDSCHE BANK)* 184 11.1 INTRODUCTION* 184 11.2
THE DUTCH FINANCIAL LANDSCAPE* 185 11.3 INTERBANK LOAN MARKET* 187 11.4
PAYMENT NETWORKS* 193 11.5 CONCLUSIONS* 199 REFERENCES* 201 12* AN
INTEGRATED APPROACH TO STRESS-TESTING: THE AUSTRIAN SYSTEMIC RISK
MONITOR (SRM) MICHAEL BOSS, GERALD KRENN, CLAUS PUHR AND MARTIN SUMMER
(OESTERREICHISCHE NATIONALBANK)* 202 12.1 INTRODUCTION* 202 12.2 THE
AUSTRIAN BANKING SYSTEM* 204 12.3 THEORETICAL FOUNDATIONS OF THE SRM*
206 12.4 INPUT DATA OF THE SRM* 214 12.5 APPLICATION OF THE SRM* 217
12.6 OUTPUT DATA OF THE SRM* 221 12.7 SOME EXAMPLES OF STRESS TESTS WITH
THE SRM* 224 12.8 CONCLUSIONS* 235 REFERENCES* 237 13* FROM MACRO TO
MICRO: THE FRENCH EXPERIENCE ON CREDIT RISK STRESS-TESTING MURIEL
TIESSET AND CLEMENT MARTIN (BANQUE DE FRANCE * FRENCH BANKING
COMMISSION)* 238 13.1 MAIN FEATURES AND OBJECTIVES OF THE FRENCH
STRESS-TESTING FRAMEWORK* 238 13.2 STRESS-TESTING THE FRENCH BANKING
SECTOR THROUGH MACROECONOMIC SCENARIOS* 241 13.3 STRESS-TESTING
CORPORATE CREDIT PORTFOLIOS THROUGH AD HOC CREDIT SHOCKS: ANALYSING
BANKS CONCENTRATION RISK ON BUSINESS SECTORS* 251 IX* CONTENTS 13.4
MICRO SURVEILLANCE OF FRENCH BANKS CREDIT PORTFOLIO RISK PROFILE AND
POTENTIAL MICRO/MACRO LINKS* 252 13.5 CONCLUSIONS* 255 APPENDIX 1 THE
CREDIT RISK MIGRATION MODEL* 256 APPENDIX 2 THE MODEL OF BANK
PROFITABILITY* 259 REFERENCES* 260 14* STRESS-TESTING IN THE EU NEW
MEMBER STATES ADAM GLOGOWSKI (NATIONAL BANK OF POLAND)* 261 14.1
INTRODUCTION* 261 14.2 CREDIT RISK STRESS-TESTING* 263 14.3 MARKET RISK
STRESS-TESTING* 269 14.4 LIQUIDITY RISK STRESS-TESTING* 271 14.5
INTERBANK CONTAGION IN STRESS TESTS* 273 14.6 CHALLENGES FOR THE FUTURE*
274 REFERENCES* 276 15* CROSS-BORDER MACRO STRESS-TESTING: PROGRESS AND
FUTURE CHALLENGES FOR THE EU 0LLI CASTREN, JOHN FELL AND NICO VALCKX
(EUROPEAN CENTRAL BANK)* 278 15.1 INTRODUCTION* 278 15.2 ACCOUNTING FOR
THE CROSS-BORDER DIMENSION IN CREDIT RISK STRESS-TESTING* 279 15.3
EUROPEAN CHALLENGES TO CROSS-BORDER STRESS-TESTING* 287 15.4
CONCLUSIONS* 294 REFERENCES* 295 16* STRESS-TESTING AT THE IMF MARINA
MORETTI, STEPHANIE STOLZ AND MARK SWINBURNE (LNTERNATIONAL MONETARY
FUND)* 297 16.1 INTRODUCTION* 297 16.2 BACKGROUND: OVERVIEW OF THE FSAP*
299 16.3 STRESS-TESTING IN FSAPS* 300 16.4 FSAP STRESS-TESTING GOING
FORWARD* 307 ANNEX STRESS-TESTING IN EUROPEAN FSAPS* 310 REFERENCES* 316
CONCLUSIONS MARIO QUAGLIARIELLO (BANK OF LTALY)* 318 INDEX* 322
|
| any_adam_object | 1 |
| building | Verbundindex |
| bvnumber | BV035763709 |
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| callnumber-label | HG1601 |
| callnumber-raw | HG1601 |
| callnumber-search | HG1601 |
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| callnumber-subject | HG - Finance |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)316772256 (DE-599)BVBBV035763709 |
| dewey-full | 332.1068/1 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1068/1 |
| dewey-search | 332.1068/1 |
| dewey-sort | 3332.1068 11 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV035763709 |
| illustrated | Illustrated |
| indexdate | 2024-12-23T22:42:38Z |
| institution | BVB |
| isbn | 9780521767309 |
| language | English |
| lccn | 2009010745 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018623539 |
| oclc_num | 316772256 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | XXII, 329 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spellingShingle | Stress-testing the banking system methodologies and applications Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Kreditrisiko (DE-588)4114309-7 gnd Bank (DE-588)4004436-1 gnd Simulation (DE-588)4055072-2 gnd Stress (DE-588)4058047-7 gnd Risikomanagement (DE-588)4121590-4 gnd Test (DE-588)4059549-3 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4004436-1 (DE-588)4055072-2 (DE-588)4058047-7 (DE-588)4121590-4 (DE-588)4059549-3 (DE-588)4143413-4 |
| title | Stress-testing the banking system methodologies and applications |
| title_auth | Stress-testing the banking system methodologies and applications |
| title_exact_search | Stress-testing the banking system methodologies and applications |
| title_full | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello |
| title_fullStr | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello |
| title_full_unstemmed | Stress-testing the banking system methodologies and applications ed. by Mario Quagliariello |
| title_short | Stress-testing the banking system |
| title_sort | stress testing the banking system methodologies and applications |
| title_sub | methodologies and applications |
| topic | Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Kreditrisiko (DE-588)4114309-7 gnd Bank (DE-588)4004436-1 gnd Simulation (DE-588)4055072-2 gnd Stress (DE-588)4058047-7 gnd Risikomanagement (DE-588)4121590-4 gnd Test (DE-588)4059549-3 gnd |
| topic_facet | Bank Banks and banking Banks and banking Risk management Bank failures Prevention Financial crises Kreditrisiko Simulation Stress Risikomanagement Test Aufsatzsammlung |
| url | http://www.loc.gov/catdir/enhancements/fy0907/2009010745-b.html http://www.loc.gov/catdir/enhancements/fy0907/2009010745-d.html http://www.loc.gov/catdir/enhancements/fy0907/2009010745-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018623539&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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