Stress Testing (2nd edition) - Risk Books
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Stress Testing (2nd edition)

By Iftekhar Hasan, David Lynch & Akhtar Siddique

Overview

A financial institution's repertoire of tools has to be broad and dynamic in the post-crisis era. Stress testing has come a long way since the first edition, thinking has changed dramatically, and so the second edition of Stress Testing: Approaches, Methods and Applications has added chapters that address these refinements in thinking and deals with new topics such as pre-position net revenue.


The authoritative guide and reference tool for stress testing, this book is essential for risk managers, regulators and consultants who want a clearer understanding of the methods, tools and uses of stress testing in different risk areas.


Described as an industry in itself, stress testing constitutes an extensive element of financial institutions risk management and capital-adequacy assessments. Definitions of what constitutes stress testing and how stress testing should be used had been hard to pin down meaning it can be hard to benchmark one's own firm in this area.


There is now a dearth of published information on stress testing approaches and it can be a time-consuming process working out which approach is best for your firm, often resulting in banks hiring expensive management consultants. The aim of this book is to help CROs, CFOs or those working in the treasury space to figure out which approach will be most appropriate. Offering insights and guidelines that expound the various approaches and highlights those most appropriate with regard to the guidance.


Publish date: 4 Sep 2019

Availability: In stock

£145.00
OR

Book description

A financial institution's repertoire of tools has to be broad and dynamic in the post-crisis era. Stress testing has come a long way since the first edition, thinking has changed dramatically, and so the second edition of Stress Testing: Approaches, Methods and Applications has added chapters that address these refinements in thinking and deals with new topics such as pre-position net revenue.

The authoritative guide and reference tool for stress testing, this book is essential for risk managers, regulators and consultants who want a clearer understanding of the methods, tools and uses of stress testing in different risk areas.

Described as an industry in itself, stress testing constitutes an extensive element of financial institutions risk management and capital-adequacy assessments. Definitions of what constitutes stress testing and how stress testing should be used had been hard to pin down meaning it can be hard to benchmark one's own firm in this area.

There is now a dearth of published information on stress testing approaches and it can be a time-consuming process working out which approach is best for your firm, often resulting in banks hiring expensive management consultants. The aim of this book is to help CROs, CFOs or those working in the treasury space to figure out which approach will be most appropriate. Offering insights and guidelines that expound the various approaches and highlights those most appropriate with regard to the guidance.

Editors Akhtar Siddique (Office of the Comptroller of Currency) and Iftekhar Hasan (Fordham University) have recruited David Lynch of the Federal Reserve Board as a third editor and assembled contributions from key figures directly involved in the measurement, regulation and application of these new stress testing practices. Brand new chapters cover:

  • Stress-testing Applications of Machine-learning Models by Jorge Chan-Lau
  • An Alternative Approach to Stress Testing a Bank's Trading Book by Sean Campbell, Amy Lorenc & Pawel J. Szerszen
  • The Asset Market Effects of Bank Stress-test Disclosures by Li Gu, Ke Wang & Jin Wu
  • Stress Test Modeling for Loan Losses and Reserves by Mike Carhill & Jonathan Jones
  • The authoritative guide and reference tool for stress testing, this book is essential for risk managers, regulators and consultants who want a clearer understanding of the methods, tools and uses of stress testing in different risk areas.

    Book details

    ISBN
    978-1-78272-391-2
    Publish date
    4 Sep 2019
    Format
    Size
    230mm x 280mm

    Author biography

    Iftekhar Hasan, David Lynch & Akhtar Siddique

    Iftekhar Hasan is a university professor at Fordham University and holds the E. Gerald Corrigan Chair in Finance at the Gabelli School. He also serves as a scientific advisor at the Bank of Finland; is on the faculty at the University of Sydney, and is a research fellow at the Financial Institution Center at the Wharton School as well as at the IWH Institute in Halle, Germany. Iftekhar is the managing editor of the Journal of Financial Stability and has served as an associate editor for several other reputed academic journals. A Fulbright scholar and a Fulbright selector, he held visiting faculty positions at several research universities and has over 340 publications in print, including 16 books and edited volumes, and over 260 peer-reviewed journal articles in reputed academic outlets. Iftekhar is a recipient of the prestigious “Changjiang Scholar” award from the Chinese Education Ministry and received a “Doctor Honoris Causa” from the Romanian-American University in Bucharest.

     

    David Lynch is Deputy Associate Director for Quantitative Risk Management in Supervision and Regulation at the Board of Governors of the Federal Reserve. He joined the board in 2005, and his areas of responsibility include Volcker metrics, swap margin, and oversight of models for market risk capital and counterparty risk capital. David was a representative on the Risk Measurement Group of the Basel Committee on Banking Supervision, and is now a representative on the Market Risk Group, where he worked on the Fundamental Review of the Trading Book. He is an Associate Editor of the Journal of Financial Stability. David has worked at the US Securities and Exchange Commission in broker-dealer finance and in the economics department at the University of Mary Washington. He holds a PhD in economics from the University of Maryland.

     

    Akhtar Siddique works at the Office of the Comptroller of the Currency (OCC), where he helps manage a staff of financial economists who work on bank supervision, research and policy along with his own work in the same areas. He taught at the McDonough School of Business at Georgetown University after his PhD in finance from Duke University, and has continued to be involved in research and teaching in finance, including as a research professor at University College Dublin and a technical advisor to the International Monetary Fund, teaching short courses on subjects such as financial sector surveillance and financial development. Akhtar’s research has spanned financial econometrics, financial institutions, capital adequacy, stress testing, asset pricing, corporate finance and numerical methods/optimisation. He has authored numerous papers published in numerous peer-reviewed journals and has been cited in publications such as New York Times, Forbes and USA Today.

    Table of contents

    1. Introduction

    Iftekhar Hasan; David Lynch; Akhtar Siddique

    Fordham University; Federal Reserve Board; Office of the

    Comptroller of the Currency

    2. Response to Financial Crises: The Development of Stress Testing over Time

    Iftekhar Hasan; David Lynch; Akhtar Siddique

    Fordham University; Federal Reserve Board; Office of the Comptroller of the Currency

    3. Stress Testing and Other Risk Management Tools

    Akhtar Siddique; Iftekhar Hasan

    Office of the Comptroller of the Currency; Fordham University

    4. Econometric Pitfalls in Stress Testing

    Iftekhar Hasan; David Lynch; Akhtar Siddique

    Fordham University; Federal Reserve Board; Office of the Comptroller of the Currency

    5. Stress-testing applications of Machine Learning Models

    Jorge A. Chan-Lau

    International Monetary Fund

    6. Four Years of Concurrent Stress Testing at the Bank of England: Developing the Macroprudential Perspective

    Rohan Churm and Paul Nahai-Williamson

    Bank of England

    7. Stress Testing for Market Risk

    Dilip K. Patro; Akhtar Siddique; Xian Sun

    Federal Deposit Insurance Corporation; Office of the Comptroller of the Currency; Johns Hopkins University

    8. The Evolution of Stress Testing Counterparty Exposures

    David Lynch

    Federal Reserve Board

    9. Liquidity Risk: The Case of the Brazilian Banking System

    Benjamin M. Tabak, Solange M. Guerra, Sergio Rubens Stancato de Souza and Rodrigo Cesar de Castro Miranda

    Banco Central do Brasil

    10. Operational Risk: An Overview of Stress-testing Methodologies

    Brian Clark; Bakhodir Ergashev

    Office of the Comptroller of Currency; Federal Reserve

    Bank of Richmond

    11. Peacetime Stress Testing: A Proposal

    Paul Calem, Jose Canals-Cerda, Arden Hall and Lauren Lambie-Hanson

    Federal Reserve Bank of Philadelphia

    12. Stress-test Modelling for Loan Losses and Reserves

    Michael Carhill and Jonathan Jones

    Office of the Comptroller of the Currency

    13. A New Framework for Stress Testing Banks Corporate Credit Portfolio

    Olivier de Bandt, Vincent Martin and Eric Vansteenberghe

    French Prudential Supervision and Resolution Authority

    14. EU-wide Stress Test: The Experience of the EBA

    Pilar Gutierrez, Angel Monzon and Mario Quagliariello

    EBA

    15. Stress Testing Across International Exposures and Activities

    Robert Scavotto, Robert Skinkle and Hein Bogaard

    Office of the Comptroller of the Currency

    16. The Asset Market Effects of Bank Stress-test Disclosures

    Li Gu, Ke Wang and Jin Wu

    Federal Reserve Board

    17. An Alternative Approach to Stress Testing a Banks Trading Book

    Sean D. Campbell; Amy Lorenc and Pawe? J. Szerszen

    Financial Services Forum; Federal Reserve Board

    18. Determining the Severity of Macroeconomic Stress Scenarios

    Kapo Yuen

    Federal Reserve Bank of New York

    19. Governance over Stress Testing

    David E. Palmer

    Federal Reserve Board

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