عنوان

Stress testing for financial institutions :

1906348111

9781906348113

dltt

Stress testing for financial institutions :

[Book]

applications, regulations and techniques /

edited by Daniel Rösch and Harald Scheule

London :

Risk Books,

c2008

xxxix, 457 p. :

ill. ;

24 cm

Includes bibliographical references and index

Integrating stress-testing frameworks / Daniel Rösch and Harald Scheule -- Stress tests, market risk measures and extremes: bringing stress tests to the forefront of market risk management / José Aragonés, Carlos Blanco and Kevin Dowd -- Credit cycle stress testing using a point-in-time rating system / Sean Keenan, David Li, Stefano Santilli, Andrew Barnes, Kete Chalermkraivuth and Radu Neagu -- Stress-testing credit value-at-risk: a multiyear approach / Alfred Hamerle, Rainer Jobst, Michael Knapp and Matthias Lerner -- Stress testing the impact of group dependence on credit portfolio risk / Steven Vanduffel, Boštjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas -- Hedge the stress: using stress tests to design hedges for foreign currency loans / Thomas Breuer, Martin Jandačka, Klaus Rheinberger and Martin Summer -- Survey of retail loan portfolio stress testing / Joseph L. Breeden -- Stress tests for retail loan portfolios / Bernd Engelmann and Evelyn Hayden -- Stress-testing banks' credit risk using mixture vector autogressive models / Tom Pak-Wing Fong and Chun-Shan Wong -- Uncertainty, credit migration, stressed scenarios and portfolio losses / Jorge Sobehart -- Worst-case and stressed correlations in the asymptotic single risk factor model / Steffi Höse and Stefan Huschens -- Risk aggregation, dependence structure and diversification benefit / Roland Bürgi, Michel Dacorogna and Roger Iles -- Stress-testing credit distributions of banks' portfolios: risk structure and concentration issues / Adolfo Rodríguez and Carlos Trucharte -- Time-varying correlations for credit risk: modelling, estimating and stress testing / Oleg Burd -- Macro model-based stress testing of Basel II Capital Requirements / Esa Jokivuolle, Kimmo Virolainen and Oskari Vähämaa -- Risk tolerance concepts and scenario analysis of bank capital / Håkan Andersson and Andreas Lindell -- Basel II-type stress testing of credit portfolios / Ferdinand Mager and Christian Schmieder

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Financial institutions-- Evaluation

Financial risk management

Risk assessment

Rösch, Daniel

Scheule, Harald

20091023120233.0

[Book]

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