This book analyses the theoretical underpinnings, as well as the practical aspects, of applying stress-testing methodologies.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
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 G¿ogowski 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.
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 G¿ogowski 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.
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