Stress Testing for Risk Control Under Basel II is popular PDF and ePub book, written by Dimitris N. Chorafas in 2011-04-08, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Stress Testing for Risk Control Under Basel II can be Read Online from any device for your convenience.
Stress Testing for Risk Control Under Basel II Book PDF Summary
The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document: * "Banks should take into consideration potential future changes in economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions." * "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses."* "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk."Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II. * Written in clear, straightforward style with numerous practical examples* Based on five years of development and research* Focuses on stress probability of default, stress loss given default, stsress exposure at default
Detail Book of Stress Testing for Risk Control Under Basel II PDF
- Author : Dimitris N. Chorafas
- Release : 08 April 2011
- Publisher : Elsevier
- ISBN : 9780080467054
- Genre : Business & Economics
- Total Page : 355 pages
- Language : English
- PDF File Size : 9,5 Mb
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