Stress testing for risk control under Basel II /
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford :
Butterworth-Heinemann,
2007.
|
| Series: | Elsevier finance
|
| Subjects: | |
| Online Access: | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=187357 |
Table 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.