Gespeichert in:
| Titel: | Stress testing for risk control under Basel II |
|---|---|
| Von: |
Dimitris N. Chorafas
|
| Person: |
Chorafas, Dimitris N.
1926-2014 Verfasser aut |
| Hauptverfasser: | |
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Amsterdam [u.a.]
Butterworth-Heinemann
2007
|
| Ausgabe: | 1. ed. |
| Notation: | QK 600 |
| Medienzugang: | http://www.gbv.de/dms/bowker/toc/9780750683050.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017121946&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XXIII, 330 S. graph. Darst. |
| ISBN: | 0750683058 9780750683050 |
Internformat
MARC
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| 100 | 1 | |a Chorafas, Dimitris N. |d 1926-2014 |e Verfasser |0 (DE-588)107941961 |4 aut | |
| 245 | 1 | 0 | |a Stress testing for risk control under Basel II |c Dimitris N. Chorafas |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Amsterdam [u.a.] |b Butterworth-Heinemann |c 2007 | |
| 300 | |a XXIII, 330 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-017121946 | |
Datensatz im Suchindex
| DE-BY-UBR_call_number | 40/QK 600 C551 |
|---|---|
| DE-BY-UBR_katkey | 4438539 |
| DE-BY-UBR_location | UB Lesesaal Wirtschaft |
| DE-BY-UBR_media_number | 069036093803 |
| _version_ | 1835080757632040960 |
| adam_text | Contents
Preface xi
Warning xv
Part 1: Stress testing defined 1
1 The need for advanced testing methodology 3
1.1 Introduction 3
1.2 Risk distributions and extreme events 3
1.3 Model uncertainty in Simulation and testing 6
1.4 Stress testing and the need for transparency 8
1.5 Stress testing and confidence intervals 11
1.6 Advanced testing methodology for better governance 15
1.7 An introduction to the role of information technology in gaining
competitiveness 17
2 Risk and its management 21
2.1 Introduction 21
2.2 Risk defined 21
2.3 Risk associated with the counterparty 24
2.4 Market risk and its variants 27
2.5 Risk appetite and risk aversion 30
2.6 Systemic risk and event risk 34
2.7 Developing a System for risk management 36
3 The dynamics of stress testing 40
3.1 Introduction 40
3.2 Stress testing defined 40
3.3 Advanced testing and new financial Instruments 43
3.4 What is the benefit of stress testing? 45
3.5 Scenarios, sensitivity analysis and statistical inference 48
3.6 Capital at risk under extreme conditions: an example 50
3.7 Stress testing and the devil s advocate 53
3.8 Advice on implementing the stress fest 56
4 Stress analysis and its tools 60
4.1 Introduction 60
4.2 The need for a scientific approach 60
vi Contents
4.3 Science and the scientific method 63
4.4 Fundamentals of stress analysis 66
4.5 Case studies with scenario analysis 69
4.6 Using the Delphi method 71
4.7 Stress evaluation through sensitivity analysis 74
4.8 Fundamentals of statistical inference 76
5 Worst case scenarios and drills 80
5.1 Introduction 80
5.2 Worst cases happen when chance meets unpreparedness 80
5.3 A bird s-eye view of worst case analysis 82
5.4 Impaired claims, credit risk and worst case 84
5.5 Why are worst case drills important? 86
5.6 A catastrophe drill undertaken by the International Monetary Fund
in 2002 88
5.7 The Federal Reserve s new bank and the carry trade 90
5.8 The nature of worst case drills is polyvalent 92
6 Technology strategy for advanced testing 97
6.1 Introduction 97
6.2 Managing a successful technology effort 97
6.3 Innovation and survival of the fittest 99
6.4 A phase-shift technology strategy 103
6.5 Re-engineering information technology is not an option;
it is a must 106
6.6 Projecting and implementing an enterprise architecture 109
6.7 Strategic planning should account for information technology s
deliverables 113
Part 2: Stress testing probability of default, loss given default and
exposure at default 119
7 Models and procedures for the study of volatility patterns 121
7.1 Introduction 121
7.2 Volatility defined 121
7.3 Keeping volatility in perspective 124
7.4 Improving volatility models through heteroschedasticity 128
7.5 Procedural insufficiency among financial institutions and individ¬
ual investors 131
7.6 Algorithmic insufficiency: a case study with value at risk 132
7.7 The volatility of credit ratings: a case study with General Motors
and General Motors Acceptance Corporation 136
7.8 Risk estimates based on volatile probability of default 140
Contents vii
8 Stress testing creditworthiness 144
8.1 Introduction 144
8.2 Credit risk defined 144
8.3 Credit Standards and default likelihood 147
8.4 The discriminatory ability of power curves 150
8.5 The predictive power of distance to default 153
8.6 The risk of unwillingness to perform 155
8.7 Case study: the stakeholders of TeleDenmark 158
8.8 A lesson for stress testers: loss of creditworthiness has
many fathers 161
9 Stress probability of default 165
9.1 Introduction 165
9.2 Probability of default and liquidity stress testing 165
9.3 Concentrations of exposure and credit risk measurement 169
9.4 Probability of default and stress probability of default 172
9.5 Estimating probability of default through probability of
default buckets 175
9.6 Errors in probability of default estimates and the role of
benchmarking 178
9.7 The many aspects of confidence placed on a test 181
10 Stress loss given default and stress exposure at default 185
10.1 Introduction 185
10.2 Loss given default and exposure at default 185
10.3 The challenge of Computing stress loss given default 187
10.4 Stress loss given default and ability to perform 190
10.5 Stress exposure at default 193
10.6 Point-in-time and through-the-cycle probability of default 196
10.7 Stress testing legal risk 198
10.8 Stress testing other operational risks 201
11 Counterparty credit risk, transfer of credit risk and wrong-way risk 204
11.1 Introduction 204
11.2 Counterparty credit risk 204
11.3 Methods for handling counterparty credit risk 206
11.4 Expected positive exposure and cross-product netting 208
11.5 Maturity parameters 211
11.6 Credit risk mitigation: collateral and haircuts 212
11.7 Credit risk mitigation: new techniques 216
11.8 Double default: general and specific wrong-way risk 218
viii Contents
Part 3: Expected and unexpected losses 223
12 Stress testing expected losses 225
12.1 Introduction 225
12.2 Bird s-eye view of expected and unexpected losses 225
12.3 Stress testing regulatory capital requirements for
expected losses 228
12.4 Back to basics: do we know the reason for credit losses? 231
12.5 Contribution of rating agencies to prognostication of
expected losses 233
12.6 How to handle expected losses from lending 236
12.7 The results of the fifth Quantitative Impact Study 239
12.8 Thinking about models for credit risk 241
12.9 Strengths and weaknesses of credit risk models 243
13 Analysing the reasons for unexpected losses 248
13.1 Introduction 248
13.2 Unexpected risks confront every enterprise 248
13.3 Impact of macroeconomic developments 251
13.4 Risk drivers targeted by macro stress tests 254
13.5 Stress testing macroeconomic risks and opportunities 256
13.6 Stress testing financial instruments: a case study with
interest rates 258
13.7 Stress testing for unexpected losses from business risk 262
14 Economic capital and algorithms for stress testing unexpected
losses 267
14.1 Introduction 267
14.2 Economic capital for credit rating and unexpected losses 267
14.3 Capital beyond loan-loss provisions 270
14.4 Wrong correlations magnify unexpected losses 274
14.5 The missing algorithm for unexpected losses 276
14.6 Qualitative scenario for unexpected losses 280
14.7 The board needs tools to appreciate the value of assets 282
15 Stress testing leveraged and volatile financial assets 286
15.1 Introduction 286
15.2 Hedge funds: an industry born in the 1940s 286
15.3 Stress testing highly leveraged institutions 288
15.4 The proliferation of hedge funds and testing their risks 290
15.5 The exposure of credit institutions to highly leveraged
institutions 292
15.6 Supervision of highly leveraged institutions 295
Contents ix
15.7 Highly leveraged institutions at the peak of their might: No! to
regulation 297
15.8 The drama unfolds: highly leveraged institutions fire the boss of
the Securities and Exchange Commission 300
16 Advanced testing provides a basis for better governance 303
16.1 Introduction 303
16.2 A concept for better corporate governance 303
16.3 The contribution of strategic thinking 305
16.4 Use of threat curves and S-curves: an example from the insurance
industry 307
16.5 An oil industry case study on risk factors and their background 310
16.6 Pillar 2 and Pillar 3 require an enterprise-wide risk discipline 314
16.7 The exercise of market discipline is a significant step in supervision 316
16.8 Use of stress testing by central banks and regulators, for better
governance reasons 318
Index 322
|
| any_adam_object | 1 |
| author | Chorafas, Dimitris N. 1926-2014 |
| author_GND | (DE-588)107941961 |
| author_facet | Chorafas, Dimitris N. 1926-2014 |
| author_role | aut |
| author_sort | Chorafas, Dimitris N. 1926-2014 |
| author_variant | d n c dn dnc |
| building | Verbundindex |
| bvnumber | BV035317312 |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)255470319 (DE-599)GBV519222415 |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Book |
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| id | DE-604.BV035317312 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:28:24Z |
| institution | BVB |
| isbn | 0750683058 9780750683050 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017121946 |
| oclc_num | 255470319 |
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| physical | XXIII, 330 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
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| spellingShingle | Chorafas, Dimitris N. 1926-2014 Stress testing for risk control under Basel II |
| title | Stress testing for risk control under Basel II |
| title_auth | Stress testing for risk control under Basel II |
| title_exact_search | Stress testing for risk control under Basel II |
| title_full | Stress testing for risk control under Basel II Dimitris N. Chorafas |
| title_fullStr | Stress testing for risk control under Basel II Dimitris N. Chorafas |
| title_full_unstemmed | Stress testing for risk control under Basel II Dimitris N. Chorafas |
| title_short | Stress testing for risk control under Basel II |
| title_sort | stress testing for risk control under basel ii |
| url | http://www.gbv.de/dms/bowker/toc/9780750683050.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017121946&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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Inhaltsverzeichnis
UB Lesesaal Wirtschaft
Signatur notieren und vor Ort nutzen oder für zwei Wochen ausleihen| Signatur: | 40 QK 600 C551 |
|---|---|
| Exemplar 1 | entleihbar Vorhanden |