عنوان

Stress testing for financial institutions :

شابک

1906348111

شابک

9781906348113

شماره

dltt

عنوان اصلي

Stress testing for financial institutions :

نام عام مواد

[Book]

ساير اطلاعات عنواني

applications, regulations and techniques /

نام نخستين پديدآور

edited by Daniel Rösch and Harald Scheule

محل نشرو پخش و غیره

London :

نام ناشر، پخش کننده و غيره

Risk Books,

تاریخ نشرو بخش و غیره

c2008

نام خاص و کميت اثر

xxxix, 457 p. :

ساير جزييات

ill. ;

ابعاد

24 cm

متن يادداشت

Includes bibliographical references and index

متن يادداشت

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

بدون عنوان

0

موضوع مستند نشده

Financial institutions-- Evaluation

موضوع مستند نشده

Financial risk management

موضوع مستند نشده

Risk assessment

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Rösch, Daniel

مستند نام اشخاص تاييد نشده

Scheule, Harald

تاريخ عمليات

20091023120233.0

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y