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" Stress testing for financial institutions : "
edited by Daniel Rösch and Harald Scheule
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BL
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| Record Number
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648838
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| Doc. No
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dltt
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| Title & Author
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Stress testing for financial institutions : : applications, regulations and techniques /\ edited by Daniel Rösch and Harald Scheule
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| Publication Statement
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London :: Risk Books,, c2008
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| Page. NO
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xxxix, 457 p. :: ill. ;; 24 cm
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| ISBN
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9781906348113
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: 1906348111
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Contents
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Integrating stress-testing frameworks / Daniel Rösch and Harald Scheule -- Stress tests, market risk measures and extremes: bringing stress tests to the forefront of market risk management / José Aragonés, Carlos Blanco and Kevin Dowd -- Credit cycle stress testing using a point-in-time rating system / Sean Keenan, David Li, Stefano Santilli, Andrew Barnes, Kete Chalermkraivuth and Radu Neagu -- Stress-testing credit value-at-risk: a multiyear approach / Alfred Hamerle, Rainer Jobst, Michael Knapp and Matthias Lerner -- Stress testing the impact of group dependence on credit portfolio risk / Steven Vanduffel, Boštjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas -- Hedge the stress: using stress tests to design hedges for foreign currency loans / Thomas Breuer, Martin Jandačka, Klaus Rheinberger and Martin Summer -- Survey of retail loan portfolio stress testing / Joseph L. Breeden -- Stress tests for retail loan portfolios / Bernd Engelmann and Evelyn Hayden -- Stress-testing banks' credit risk using mixture vector autogressive models / Tom Pak-Wing Fong and Chun-Shan Wong -- Uncertainty, credit migration, stressed scenarios and portfolio losses / Jorge Sobehart -- Worst-case and stressed correlations in the asymptotic single risk factor model / Steffi Höse and Stefan Huschens -- Risk aggregation, dependence structure and diversification benefit / Roland Bürgi, Michel Dacorogna and Roger Iles -- Stress-testing credit distributions of banks' portfolios: risk structure and concentration issues / Adolfo Rodríguez and Carlos Trucharte -- Time-varying correlations for credit risk: modelling, estimating and stress testing / Oleg Burd -- Macro model-based stress testing of Basel II Capital Requirements / Esa Jokivuolle, Kimmo Virolainen and Oskari Vähämaa -- Risk tolerance concepts and scenario analysis of bank capital / Håkan Andersson and Andreas Lindell -- Basel II-type stress testing of credit portfolios / Ferdinand Mager and Christian Schmieder
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| Subject
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Financial institutions-- Evaluation
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Financial risk management
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Risk assessment
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| Dewey Classification
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332.1068
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| LC Classification
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HG1615.S774 2008
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| Added Entry
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Rösch, Daniel
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Scheule, Harald
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