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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
- Sales Rank: #1119270 in Books
- Published on: 2016-11-17
- Original language: English
- Dimensions: 9.02" h x .88" w x 5.98" l,
- Binding: Hardcover
- 316 pages
Review
"Stress Testing and Risk Integration in Banks is a book�that both finance academics and risk management experts�have long sought. It bridges a substantial gap between risk theory and banking practice by paving the way for sound quantitative approaches in the area."�--Niklas F Wagner, University of Passau
"This book is highly practical and rigorous in its clear and refreshing coverage of current risk issues faced by global banks. Combining Matlab/R code, relevant exercises and business cases, it is comprehensive in scope and operationally highly relevant."�--Gary van Vuuren, Aviva Investors, London and North West University, South Africa
"Stress Testing and Risk Integration in Banks reveals the important connections between risk management and stress testing in the banking industry. These days, in which the industry is in the verge of its deepest change in decades, this book provides a much-needed framework to apply stress testing in practical terms."�--Juan Ignacio Pe�a, Universidad Carlos III
From the Back Cover
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.
About the Author
Tiziano Bellini received his Ph.D. in Statistics from the Universit� degli Studi di Milano after being visiting Ph.D. student at the London School of Economics. He gained a wide risk management experience across Europe, in London and New York.He currently holds a Senior Management position at EY Financial Advisory Services in London. Previously he worked at HSBC headquarter, Prometeia and for other Italian leading Companies. He is also a guest Lecturer at the London School of Economics. Formerly, he served as Lecturer at the Universit� degli Studi di Bologna and Universit� degli Studi di Parma. He has published in European Journal of Operational Research, Computational Statistics and Data Analysis, and other top-reviewed Journals. He has given numerous training courses, seminars and conference presentations on statistics, risk management and quantitative methods.
Most helpful customer reviews
0 of 0 people found the following review helpful.
The stylized bank studied step by step throughout the book ...
By Amazon Customer
The stylized bank studied step by step throughout the book provided me a new perspective in analyzing a financial institution. I really appreciated how credit risk, finance and econometrics were integrated to show their interactions in a stress testing framework.
0 of 0 people found the following review helpful.
Stress Testing and Risk Integration in Banks conjugates holistic formal ...
By Amazon Customer
Stress Testing and Risk Integration in Banks conjugates holistic formal rigor and high practicality. Its numerous examples worked in Matlab and R qualify the book as unique toolkit both for students approaching risk management as well as practitioners aiming at implementing and enhancing their own software libraries
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