Stress testing for risk control under Basel II /
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...
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Main Authors: | |
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Corporate Authors: | |
Published: |
Butterworth-Heinemann,
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Publisher Address: | Oxford : |
Publication Dates: | 2007. |
Literature type: | eBook |
Language: | English |
Series: |
Elsevier finance
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Subjects: | |
Online Access: |
http://www.sciencedirect.com/science/book/9780750683050 |
Summary: |
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 undetec |
Carrier Form: | 1 online resource (xxiii, 330 pages) : illustrations. |
Bibliography: | Includes bibliographical references and index. |
ISBN: |
9780750683050 0750683058 9780080467054 0080467059 |
Index Number: | HD61 |
CLC: | F830.9 |
Contents: | 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 |