Stress Testing (2nd Edition)

Stress Testing (2nd Edition)

Margin in Derivatives Trading

Margin in Derivatives Trading

Firm-wide Stress Testing and Economic Capital


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.

Availability: In stock

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 (an independent consultant with over 19 years' experience in quantitative risk modelling) 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 features: 

  • 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
More Information
ISBN 9781782722021
Navision code MFWS
Publication date 31 Jan 2018
Size 155mm x 235mm
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Ahraz Sheikh

Ahraz Sheikh is an independent consultant with over 19 years’ experience in quantitative risk modelling. He was formerly Head of Scenario Analysis and Stress Testing within the Operational Risk function at RBS Corporate and Institutional Banking. Prior to RBS, Ahraz has worked at EY, KPMG and UBS performing a variety of Economic Capital and Stress Testing modelling roles across all risk types, with particular speciality in Credit and Operational Risk.

Part One: Introduction

1. Introduction

2. Quantitative Fundamentals

3. Economic Capital Foundations

4. Stress Testing Foundations

Part Two: Core Risks

5. Market Risk

6. Credit Risk

7. Counterparty Credit Risk

8. Operational Risk

Part Three: Liquidity and ALM Risks

9. Liquidity Risk

10. Business Risk

11. Interest Rate Risk in the Banking Book

Part Four: Aggregation

12. Balance Sheet Projection

13. Conclusion