Share
Stress Testing and Risk Integration in Banks
Tiziano Bellini (Author)
·
Academic Press
· Hardcover
Stress Testing and Risk Integration in Banks - Tiziano Bellini
£ 63.89
£ 70.99
You save: £ 7.10
Choose the list to add your product or create one New List
✓ Product added successfully to the Wishlist.
Go to My WishlistsIt will be shipped from our warehouse between
Tuesday, July 09 and
Friday, July 12.
You will receive it anywhere in United Kingdom between 1 and 3 business days after shipment.
Synopsis "Stress Testing and Risk Integration in Banks"
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 requirementsFollows an integrated bottom-up approach central in the most advanced risk modelling practiceProvides numerous sample codes in Matlab and R
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
✓ Producto agregado correctamente al carro, Ir a Pagar.
