Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R) - Hardcover

Bellini, Tiziano

Hardcover

ISBN 10: 0128035900 ISBN 13: 9780128035900

Verlag: Academic Press, 2016

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

Tiziano Bellini received his Ph.D. in Statistics from the Università degli Studi di Milano after being visiting Ph.D. student at the London School of Economics. He gained a wide risk management experience across Europe, in London and New York. He currently holds a Senior Management position at EY Financial Advisory Services in London. Previously he worked at HSBC headquarter, Prometeia and for other Italian leading Companies. He is also a guest Lecturer at the London School of Economics. Formerly, he served as Lecturer at the Università degli Studi di Bologna and Università degli Studi di Parma. He has published in European Journal of Operational Research, Computational Statistics and Data Analysis, and other top-reviewed Journals. He has given numerous training courses, seminars and conference presentations on statistics, risk management and quantitative methods.

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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.

Details zur Ausgabe

• Verlag: Academic Press
• Erscheinungsdatum: 2016
• Sprache: Englisch
• ISBN 10: 0128035900
• ISBN 13: 9780128035900
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 316
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar