Stress Testing for Risk Control Under Basel II

Informationen zum Autor Since 1961, Dr Dimitris N. Chorafas has advised financial institutions and industrial corporations in strategic planning, risk management, computers and communications systems, and internal controls. A graduate of the University of California, Los Angeles, the University of Paris, and the Technical University of Athens, Dr Chorafas has been a Fulbright scholar. Financial institutions which have sought his assistance include the Union Bank of Switzerland, Bank Vontobel, CEDEL, the Bank of Scotland, Credit Agricole, Österreichische Länderbank (Bank Austria), First Austrian Bank, Commerzbank, Dresdner Bank, Mid-Med Bank, Demir Bank, Banca Nazionale dell'Agricoltura, Istituto Bancario Italiano, Credito Commerciale and Banca Provinciale Lombarda. Among multinational corporations Dr Chorafas has worked as consultant to top management, are: General Electric-Bull, Univac, Honeywell, Digital Equipment Corp, Olivetti, Nestlé, Omega, Italcementi, Italmobiliare, AEG-Telefunken, Olympia, Osram, Antar, Pechiney, the American Management Association and host of other client firms in Europe and the United States. Dr Chorafas has served on the faculty of the Catholic University of America and as visiting professor at Washington State University, George Washington University, University of Vermont, University of Florida, and Georgia Institute of Technology. Also, the University of Alberta, Ecole d'Etudes Industrielles de l'Université de Genève, and Technical University of Karlsruhe. More than 6,000 banking, industrial and government executives have participated in his seminars in the United States, England, Germany, other European countries, Asia and Latin America. Klappentext Written for financial industry executives and professionals! this book explains the technological issues associated with risk control in a clear and straightforward manner! including stress testing! mathematical models! and required IT systems and infrastructure. Zusammenfassung Suitable for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, this title explains the testing methodology necessary for risk control to meet Basel II requirements. It focuses on stress testing covering stress analysis and the use of scenarios, models, drills, and benchmarking. Inhaltsverzeichnis Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index...

List of contents

Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing;
Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk;
Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index

Report

"Whenever I want to know anything about risk management, I turn to Dimitris Chorafas. Chorafas' latest book, STRESS TESTING FOR RISK CONTROL UNDER BASEL II, promises to be the key reference for those interested in the sensitivity analysis of exposure and other sorts of risks that financial services companies not only want to, but MUST model and understand."
-- Christopher L Tucci, Professor of Management of Technology, Chair in Corporate Strategy & Innovation, École Polytechnique Fédérale de Lausanne (EPFL), Switzerland

Product details

• Authors: Dimitris N. Chorafas
• Publisher: Academic Press London
• Languages: English
• Product format: Hardback
• Released: 17.11.2006
• EAN: 9780750683050
• ISBN: 978-0-7506-8305-0
• Series: Butterworth-Heinemann
• Subject: Social sciences, law, business > Business > Management