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Stress testing for risk control unde...

Chorafas, Dimitris N.

Stress testing for risk control under Basel II

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stress testing for risk control under Basel IIDimitris N. Chorafas.
Author:	Chorafas, Dimitris N.
Published:	Oxford :Butterworth-Heinemann,2007.
Description:	xxiii, 330 p. :ill. ;24 cm.
Subject:	Financial risk management.
Online resource:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780750683050

Stress testing for risk control under Basel II
Chorafas, Dimitris N.

Stress testing for risk control under Basel II[electronic resource] /Dimitris N. Chorafas. - Oxford :Butterworth-Heinemann,2007. - xxiii, 330 p. :ill. ;24 cm. - Elsevier finance.

Includes bibliographical references and index.

Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; -- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; -- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index.

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.

Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.

Mode of access: World Wide Web.

ISBN: 9780750683050

Source: 135502:135637Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

258406
Financial risk management.
Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HD61 / .C446 2007eb

Dewey Class. No.: 658.155

Stress testing for risk control under Basel II
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245 1 0 $a Stress testing for risk control under Basel II $h [electronic resource] / $c Dimitris N. Chorafas.
260 $a Oxford : $b Butterworth-Heinemann, $c 2007.
300 $a xxiii, 330 p. : $b ill. ; $c 24 cm.
490 0 $a Elsevier finance
504 $a Includes bibliographical references and index.
505 0 $a Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; -- Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; -- Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index.
520 $a 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.
533 $a Electronic reproduction. $b Amsterdam : $c Elsevier Science & Technology, $d 2008. $n Mode of access: World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Mar. 10, 2008). $n Access may be restricted to users at subscribing institutions.
650 0 $a Financial risk management. $3 258406
655 7 $a Electronic books. $2 local. $3 214472
710 2 $a ScienceDirect (Online service) $3 307425
776 1 $c Original $z 9780750683050 $z 0750683058 $w (OCoLC)73957609
856 4 0 $3 ScienceDirect $u http://www.sciencedirect.com/science/book/9780750683050 $z An electronic book accessible through the World Wide Web; click for information
994 $a C0 $b TEF