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The Resource Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)

Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)

Label
Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
Title
Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
Creator
Language
eng
Member of
Cataloging source
IDEBK
http://library.link/vocab/creatorName
Bellini, Tiziano
Dewey number
332.1068
Index
no index present
Literary form
non fiction
Nature of contents
dictionaries
Label
Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
ocn965135222
Extent
1 online resource.
Form of item
online
Isbn
9780128036112
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Specific material designation
remote
Label
Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
ocn965135222
Extent
1 online resource.
Form of item
online
Isbn
9780128036112
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Specific material designation
remote

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