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Reverse Stress Testing in Banking - A Comprehensive Guide (Hardcover): Michael Eichhorn, Tiziano Bellini, Daniel Mayenberger Reverse Stress Testing in Banking - A Comprehensive Guide (Hardcover)
Michael Eichhorn, Tiziano Bellini, Daniel Mayenberger
R2,142 R1,752 Discovery Miles 17 520 Save R390 (18%) Ships in 10 - 15 working days

Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels - from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks' structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

IFRS 9 and CECL Credit Risk Modelling and Validation - A Practical Guide with Examples Worked in R and SAS (Paperback): Tiziano... IFRS 9 and CECL Credit Risk Modelling and Validation - A Practical Guide with Examples Worked in R and SAS (Paperback)
Tiziano Bellini 1
R2,441 R2,091 Discovery Miles 20 910 Save R350 (14%) Ships in 12 - 19 working days

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management.

Stress Testing and Risk Integration in Banks - A Statistical Framework and Practical Software Guide (in Matlab and R)... Stress Testing and Risk Integration in Banks - A Statistical Framework and Practical Software Guide (in Matlab and R) (Hardcover)
Tiziano Bellini
R2,182 R1,983 Discovery Miles 19 830 Save R199 (9%) Ships in 12 - 19 working days

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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