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

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.

General

Imprint:	Academic Press Inc
Country of origin:	United States
Release date:	November 2016
First published:	2017
Authors:	Tiziano Bellini
Dimensions:	229 x 152 x 21mm (L x W x T)
Format:	Hardcover
Pages:	316
ISBN-13:	978-0-12-803590-0
Categories:	Books > Reference & Interdisciplinary > Communication studies > Decision theory > Risk assessment Books > Business & Economics > Finance & accounting > Finance > Banking Books > Computing & IT > Computer software packages > Other software packages > Mathematical & statistical software Books > Money & Finance > Banking
LSN:	0-12-803590-0
Barcode:	9780128035900

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