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Stress-testing the banking system : = methodologies and applications /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stress-testing the banking system :/ edited by Mario Quagliariello.
Reminder of title:	methodologies and applications /
other author:	Quagliariello, Mario,
Description:	1 online resource (xxii, 329 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Banks and banking. -
Online resource:	https://doi.org/10.1017/CBO9780511635618
ISBN:	9780511635618 (ebook)

Stress-testing the banking system : = methodologies and applications /
Stress-testing the banking system :methodologies and applications /edited by Mario Quagliariello. - 1 online resource (xxii, 329 pages) :digital, PDF file(s).

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

A framework for assessing financial stability / Maurizio Trapanese -- Macroeconomic stress-testing : definitions and main components / Mario Quagliariello -- Macroeconomic stress-testing banks : a survey of methodologies / Mathias Drehmann -- Scenario design and calibration / Takashi Isogai -- Risk aggregation and economic capital / Vincenzo Tola -- Data needs for stress-testing / Francesco Cannata and Ulrich Krüger -- Use of macro stress tests in policy-making / Patrizia Baudino -- Stress-testing credit risk : the Italian experience / Sebastiano Laviola, Juri Marcucci and Mario Quagliariello -- Stress-testing US banks using economic-value-of-equity (EVE) models / Mike Carhill -- A framework for integrating different risks : the interaction between credit and interest rate risk / Steffen Sorensen and Marco Stringa -- Stress-testing linkages between banks in the Netherlands / Iman van Lelyveld, Franka Liedorp and Marc Pröpper -- An integrated approach to stress-testing : the Austrian Systemic Risk Monitor (SRM) / Michael Boss [and others] -- From macro to micro : the French experience on credit risk stress-testing / Muriel Tiesset and Clément Martin -- Stress-testing in the EU new member states / Adam Głogowski -- Cross-border macro stress-testing : progress and future challenges for the EU / Olli Castrén, John Fell and Nico Valckx -- Stress-testing at the IMF / Marina Moretti, Stéphanie Stolz and Mark Swinburne.

Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.

ISBN: 9780511635618 (ebook)Subjects--Topical Terms:

556379
Banks and banking.

LC Class. No.: HG1601 / .S687 2009

Dewey Class. No.: 332.1068/1

Stress-testing the banking system : = methodologies and applications /
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505 0 $a A framework for assessing financial stability / Maurizio Trapanese -- Macroeconomic stress-testing : definitions and main components / Mario Quagliariello -- Macroeconomic stress-testing banks : a survey of methodologies / Mathias Drehmann -- Scenario design and calibration / Takashi Isogai -- Risk aggregation and economic capital / Vincenzo Tola -- Data needs for stress-testing / Francesco Cannata and Ulrich Krüger -- Use of macro stress tests in policy-making / Patrizia Baudino -- Stress-testing credit risk : the Italian experience / Sebastiano Laviola, Juri Marcucci and Mario Quagliariello -- Stress-testing US banks using economic-value-of-equity (EVE) models / Mike Carhill -- A framework for integrating different risks : the interaction between credit and interest rate risk / Steffen Sorensen and Marco Stringa -- Stress-testing linkages between banks in the Netherlands / Iman van Lelyveld, Franka Liedorp and Marc Pröpper -- An integrated approach to stress-testing : the Austrian Systemic Risk Monitor (SRM) / Michael Boss [and others] -- From macro to micro : the French experience on credit risk stress-testing / Muriel Tiesset and Clément Martin -- Stress-testing in the EU new member states / Adam Głogowski -- Cross-border macro stress-testing : progress and future challenges for the EU / Olli Castrén, John Fell and Nico Valckx -- Stress-testing at the IMF / Marina Moretti, Stéphanie Stolz and Mark Swinburne.
520 $a Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
650 0 $a Banks and banking. $3 556379
650 0 $a Banks and banking $x Risk management. $3 591552
650 0 $a Bank failures $x Prevention. $3 799002
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856 4 0 $u https://doi.org/10.1017/CBO9780511635618