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Stress Testing: Approaches, Methods and Applications

Edited By Akhtar Siddique and Iftekhar Hasan

Overview

Stress Testing: Approaches, Methods and Applications explores and clarifies the methodology, impetus and functions of stress testing within the context of the latest practices and regulations faced by banks and other financial institutions.

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.

Publish date: 29 May 2013

Availability: In stock

Product Unit Price Qty
Book - Stress Testing: Approaches, Methods and Applications
£145.00
eBook - Stress Testing: Approaches, Methods and Applications
EPUB
£110.00
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Book description

As a result of the financial crisis, stress testing now constitutes an extensive element of financial institutions’ risk management and capital adequacy assessments. However, definitions of what constitutes stress testing and how stress testing should be used have been in a state of flux since the financial crisis.

With Basel III, the Dodd–Frank Act and Interagency Stress Testing guidance in the US and CRD-IV in Europe, understanding the practicalities of stress testing in light of these regulatory practices and considerations is key. Whilst these different sets of guidance and regulation bring clarity with regards to stress testing expectations, multiple approaches towards solving very similar problems have emerged.

Stress Testing: Approaches, Methods and Applications analyses and expounds 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 assembled contributions from key figures directly involved in the measurement, regulation and application of these new stress testing practices. Chapters include:

  • Liquidity Risk: The Case of the Brazilian Banking System
  • The Evolution of Stress Testing Counterparty Exposures
  • A Framework for Stress Testing Banks’ Corporate Credit Portfolio
  • EU-wide Stress Test: The Experience of the EBA

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
Book 9781782720089 / EBook 9781782720355
Publish date
29 May 2013
Format
Paperback
Size
155mm x 235mm

Editor biography

Akhtar Siddique and Iftekhar Hasan

Akhtar Siddique

Akhtar Siddique is the Deputy Director of Enterprise Risk Analysis Division of the Comptroller of the Currency (OCC), Washington, USA where he has worked from 2003. He manages a staff of financial economists who provide technical assistance for examinations of national banks in Pillar 2, operational risk, ALLL, economic capital, enterprise wide stress testing, participate in policy initiatives and conduct independent research. He directly participates in examinations and intra and interagency supervisory and policy initiatives, particularly related to Counterparty Credit Risk, Economic Capital, Valuation Issues, ALLL, Stress Testing and Pillar 2. Akhtar has authored numerous papers published in peer reviewed journals including the Journal of Finance, Review of Financial Studies, Management Science and Journal of Accounting Research.  He holds a PhD in finance from Duke University and taught finance at Georgetown University prior to joining the OCC.

Iftekhar Hasan

Iftekhar Hasan is the E. Gerald Corrigan Chair in International Business and Finance at the Schools of Business of Fordham University, New York. His research focus is primarily in the area financial intermediation, capital market and corporate finance.  He serves as a scientific advisor of the Bank of Finland and a Research Associate at the Berkley Center of New York University.  Iftekhar has held several visiting positions at universities and organisations such as the University of Strasbourg, France; University of Limoges, France; University of Carlos III, Spain; University of Rome-Tor Vergata, Italy; EPFL, Switzerland; National Taiwan University, Taiwan; Academy of Economic Studies, Romania, Stern School of Business, USA, Federal Reserve Bank of Atlanta and International Monetary Fund. He is the managing editor of the Journal of Financial Stability and an associate editor in several other journals.  Iftekhar has over 225 publications in print, including 12 books and edited volumes, over 150 peer reviewed journal articles in reputed finance, economics, management, operation research, accounting, and management information system journals. Iftekhar received his PhD from University of Houston and also received an Honorary PhD from the Romanian American University in Bucharest.

Table of contents

Foreword
Mark Levonian (Senior Deputy Comptroller, Office of the Comptroller of Currency)

Introduction: evolution of stress testing in the financial industry
Akhtar Siddique (Office of the Comptroller of Currency) and Iftekhar Hasan (Fordham University)

1    Governance over stress testing    
David Palmer (Federal Reserve Board)

2    Stress testing and other risk management tools
Akhtar Siddique (Office of the Comptroller of Currency) and Iftekhar Hasan (Fordham University)

3    Stress testing for market risk
Dilip K. Patro (Office of the Comptroller of Currency), Akhtar Siddique (Office of the Comptroller of Currency) and Sun Xian (Johns Hopkins University)

4    The evolution of stress testing counterparty exposures
David Lynch (Federal Reserve Board)

5    Operational risk: an overview of stress testing methodologies
Bakhodir Ergashev (Federal Reserve Bank of Richmond) and Brian Clark (Office of the Comptroller of Currency)

6    Stress testing of bank loan portfolios as a diagnostic tool
Paul Calem and Arden Hall (Federal Reserve Bank of Philadelphia)

7    Stress test modelling for loan losses and reserves
Michael Carhill and Jonathan Jones (Office of the Comptroller of Currency)

8    A framework for stress testing banks’ corporate credit portfolio
Vincent Martin, Olivier deBandt, Nicolas Dumontaux and Denys Médée, (Autorité de Contrôle Prudentiel)

9    EU-wide stress test: the experience of the EBA
Paolo Bisio, Mario Quagliariello and Demelze Jurcevic (European Banking Authority)

10    Stress testing across international exposures and activities
Robert Scavotto and Robert Skinkle (Office of the Comptroller of Currency)

11    Liquidity risk: the case of the Brazilian banking system
Benjamin Miranda Tabak, Solange M. Guerra, Sergio R. S. Souza and Rodrigo C. C. Miranda (Central Bank of Brazil)

12    Determining the severity of macroeconomic stress scenarios
Kapo Yuen (Federal Reserve Bank of New York)

Customer Reviews

Average customer reviews for Stress Testing: Approaches, Methods and Applications

An excellent summary of best-practice approach

The post-crash regulatory challenge that is Basel III is a big one for just about every financial institution, irrespective of size. Stress testing has become an industry in itself, and it can be difficult to benchmark one's own firm in this area. I like this book because it has gathered much of the current thinking, and some of what might be considered best-practice in many instances, into one volume. These are technical disciplines, whether one is looking at capital or liquidity, and it is often difficult to obtain practically useful information and tips from conferences, etc. Often banks will resort to management consultants because of the dearth of published information on stress testing approaches, an expensive and sometimes time-consuming process. This book is well worth reading if one is in the CRO, CFO or Treasury space, and I heartily recommend it for the insights and guidelines that it offers.
Review by SMS CHOUDHRY "moorad" , 16/04/2014

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