Stress-testing the Banking System
Cambridge University Press (Verlag)
978-0-521-76730-9 (ISBN)
Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
Mario Quagliariello is Head of the Risk Analysis Unit at the European Banking Authority (EBA). He previously served as a senior economist in the Regulation and Supervisory Policies Department of Banca d'Italia. He has been the representative of Banca d'Italia in a number of international working groups dealing with financial stability issues at the ECB, CEBS, IMF and the Basel Committee for Banking Supervision and has published several articles in international and Italian journals. His interests concern macro-prudential analysis and stress tests, Basel 2 Capital Accord and procyclicality, the economics of financial regulation. He holds a PhD in Economics from the University of York, UK.
List of figures; List of tables; List of boxes; List of contributors; Acknowledgements; Foreword Giovanni Carosio; Introduction Mario Quagliariello; Part I. Fundamentals: 1. A framework for assessing financial stability Maurizio Trapanese; 2. Macroeconomic stress-testing: definitions and main components Mario Quagliariello; 3. Macroeconomic stress-testing banks: a survey of methodologies Mathias Drehmann; 4. Scenario design and calibration Takashi Isogai; 5. Risk aggregation and economic capital Vincenzo Tola; 6. Data needs for stress-testing Francesco Cannata and Ulrich Krueger; 7. Use of macro stress tests in policy making Patrizia Baudino; Part II. Applications: 8. Stress-testing credit risk: the Italian experience Sebastiano Laviola, Juri Marcucci and Mario Quagliariello; 9. Stress-testing US banks using economic-value-of-equity models Mike Carhill; 10. A framework for integrating different risks: the interaction between credit and interest rate risk Steffen Sorensen and Marco Stringa; 11. Stress-testing linkages between banks in the Netherlands Iman van Lelyveld, Franka Liedorp and Marc Pröpper; 12. An integrated approach to stress-testing: the Austrian systematic risk monitor Michael Boss, Gerald Krenn, Claus Puhr and Martin Summer; 13. From macro to micro: the French experience on credit risk stress-testing Muriel Tiesset and Clément Martin; 14. Stress-testing in the EU new member states Adam Głogowski; 15. Cross-border macro stress-testing: progress and future challenges at the EU level Olli Castren, John Fell and Nico Valckx; 16. Stress-testing at the IMF Marina Moretti, Stéphanie Stolz and Mark Swinburne; Conclusions Mario Quagliariello; Index.
| Erscheint lt. Verlag | 15.10.2009 |
|---|---|
| Zusatzinfo | 34 Tables, unspecified |
| Verlagsort | Cambridge |
| Sprache | englisch |
| Maße | 175 x 249 mm |
| Gewicht | 760 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre | |
| Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft | |
| ISBN-10 | 0-521-76730-X / 052176730X |
| ISBN-13 | 978-0-521-76730-9 / 9780521767309 |
| Zustand | Neuware |
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