Firm-wide Stress Testing and Economic Capital - Risk Books
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Firm-wide Stress Testing and Economic Capital

By Ahraz Sheikh

Overview

Firm-wide Stress Testing and Economic Capital presents a common framework for economic capital and firm-wide stress testing modelling across all risk types.  The book will provide clear insights on integrated risk models and their use in strategic decision making.

Publish date: 31 Aug 2017

Availability: In stock

£145.00
OR

Book description

Readers will understand how to construct and connect economic capital and firm-wide stress testing models and what considerations and assumptions are required.  They will also learn how to recognize and utilise the connections between liquidity, capital and strategy.

Ahraz Sheikh (Director, Head of Scenario Analysis, Risk Appetite and Change, CIB Operational Risk Management, RBS) establishes a framework that will close the gap between stress testing and economic capital modelling - meaning risk personnel will undertake their modelling work in a unified, coherent way.

Chapters feature:

  • Regulatory Perspectives
  • Balance Sheet Projection
  • Business Risk and Interest Rate Risk Modelling
  • Asset Side Modelling
  • Liability Side Modelling
  • Market Risk Modelling
  • Credit and Counterparty Credit Risk Modelling
  • Operational Risk Modelling
  • Integrated Balance Sheet and Liquidity Risk Modelling
  • Risk Appetite and Strategy

Book details

ISBN
Book - 9781782722021
Publish date
31 Aug 2017
Format
Paperback
Size
155mm x 235mm

Author biography

Ahraz Sheikh

Table of contents

Full table of contents to appear closer to publication...

Chapters feature:

  • Regulatory Perspectives
  • Balance Sheet Projection
  • Business Risk and Interest Rate Risk Modelling
  • Asset Side Modelling
  • Liability Side Modelling
  • Market Risk Modelling
  • Credit and Counterparty Credit Risk Modelling
  • Operational Risk Modelling
  • Integrated Balance Sheet and Liquidity Risk Modelling
  • Risk Appetite and Strategy

Customer Reviews

Average customer reviews for Firm-wide Stress Testing and Economic Capital
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