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Handbook of Financial Stress Testing

2022-04-14 Mathematics
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Release : 2022-04-14
Genre : Mathematics
Kind : eBook
Book Rating : 079/5 ( reviews)

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Book Synopsis Handbook of Financial Stress Testing by : J. Doyne Farmer

Download or read book Handbook of Financial Stress Testing written by J. Doyne Farmer. This book was released on 2022-04-14. Available in PDF, EPUB and Kindle. Book excerpt: Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take center stage. Despite their centrality to public policy, the optimal design and use of stress tests remains highly contested. Written by an international team of leading thinkers from academia, the public sector, and the private sector, this handbook comprehensively surveys and evaluates the state of play and charts the innovations that will determine the path ahead. It is a comprehensive and interdisciplinary resource that bridges theory and practice and places financial stress testing in its wider context. This guide is essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation.

Stress Testing for Financial Institutions

2008 Bank
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Release : 2008
Genre : Bank
Kind : eBook
Book Rating : 113/5 ( reviews)

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Book Synopsis Stress Testing for Financial Institutions by : Daniel Rösch

Download or read book Stress Testing for Financial Institutions written by Daniel Rösch. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: Looks at the regulatory and economic needs of banks and insurance companies, focusing on practical advice and solutions to everyday problems.

Handbook of Financial Risk Management

2020-04-23 Business & Economics
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Release : 2020-04-23
Genre : Business & Economics
Kind : eBook
Book Rating : 224/5 ( reviews)

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Book Synopsis Handbook of Financial Risk Management by : Thierry Roncalli

Download or read book Handbook of Financial Risk Management written by Thierry Roncalli. This book was released on 2020-04-23. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

Handbook of Market Risk

2013-10-16 Business & Economics
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Release : 2013-10-16
Genre : Business & Economics
Kind : eBook
Book Rating : 98X/5 ( reviews)

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Book Synopsis Handbook of Market Risk by : Christian Szylar

Download or read book Handbook of Market Risk written by Christian Szylar. This book was released on 2013-10-16. Available in PDF, EPUB and Kindle. Book excerpt: A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features: An introduction to financial markets The historical perspective from market events and diverse mathematics to the value-at-risk Return and volatility estimates Diversification, portfolio risk, and efficient frontier The Capital Asset Pricing Model and the Arbitrage Pricing Theory The use of a fundamental multi-factors model Financial derivatives instruments Fixed income and interest rate risk Liquidity risk Alternative investments Stress testing and back testing Banks and Basel II/III The Handbook of Market Risk is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.

Stress Testing and Risk Integration in Banks

2016-11-26 Mathematics
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Release : 2016-11-26
Genre : Mathematics
Kind : eBook
Book Rating : 117/5 ( reviews)

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Book Synopsis Stress Testing and Risk Integration in Banks by : Tiziano Bellini

Download or read book Stress Testing and Risk Integration in Banks written by Tiziano Bellini. This book was released on 2016-11-26. Available in PDF, EPUB and Kindle. Book excerpt: Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. - Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements - Follows an integrated bottom-up approach central in the most advanced risk modelling practice - Provides numerous sample codes in Matlab and R

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