Stress Testing for Risk Control Under Basel II

ISBN: 9780750683050 出版年：2011 页码：355 Chorafas, Dimitris N Butterworth-Heinemann_RM

PART ONE: STRESS TESTING DEFINED: THE DYNAMICS OF STRESS TESTING RISK AND ITS MANAGEMENT STRESS ANALYSIS AND THE USE OF SCENARIOS THE CONTRIBUTION OF MODELS TO STRESS TESTING WORSE CASE SCENARIOS AND DRILLS BENCHMARKING, BACKTESTING AND POST-MORTEMS. PART TWO: EXPECTED AND UNEXPECTED LOSSES: STRESS TESTING CREDITCREDITWORTHINESS WRONG WAY RISK AND STATISTICAL INFERENCE PROBABILITY OF DEFAULT LOSS GIVEN DEFAULT, AND EXPOSURE AT DEFAULT STRESS TESTING EXPECTED LOSSES STRESS TESTING CORRELATION COEFFICIENTS STRESS TESTING UNEXPECTED LOSSES. PART THREE: STRESS TESTING, MARKET DISCIPLINE AND CONTROL ACTION: RISK ASSOCIATED TO GLOBAL BANKING SYNERGY BETWEEN ECONOMIC CAPITAL AND RISK MANAGEMENT STRESS TESTING LONG TERM FINANCIAL LIABILITIES BETTER GOVERNANCE, PILLAR 2 AND PILLAR 3 OF BASEL II