Overview
The importance of stress testing has never been more evident that in today's financial crisis, which has shown the limitations of the current risk management activities in the financial industry and illustrated the acute need for their serious reconsideration. In stress situations, the usual models for risk management may no longer be valid. Internal models play an important role in determining the risk-bearing capacity for banks and asset management companies, especially after the full implementation of the Basel 2 requirements. However, the risk types - credit risk, market risk and operational risk - are still considered in isolation in pillar 1 and the internal capital adequacy assessment process in pillar 2 has not yet been strictly implemented. These isolated views need to be brought together in an integrated approach. This book presents processes for integrated risk modelling , discussing stress testing methods not only by risk type but also from a holistic perspective. This model also serves as a response to the regulatory requirements formulated in the Internal Capital Adequacy Assessment Process (ICAAP), which is discussed in detail in this book.
Full Product Details
Author: Ludger Overbeck ,
Gerrit Jan van den Brink
Publisher: Palgrave Macmillan
Imprint: Palgrave Macmillan
Dimensions:
Width: 15.90cm
, Height: 2.80cm
, Length: 24.00cm
Weight: 0.454kg
ISBN: 9780230574359
ISBN 10: 0230574351
Pages: 256
Publication Date: 17 February 2012
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Hardback
Publisher's Status: Active
Availability: Awaiting stock
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Author Information
LUDGER OVERBECK is Professor of Mathematics and Its Application at Univeristy of Giessen, Germany. He was formerly Head of Quantitative Credit Portfolio Management at Commerzbank in Frankfurt, Germany and London, UK; Head of Portfolio Analytics and Pricing at ACPM, HVB, Munich, Germany and has consulted for major international banks including Worldbank, Washington, USA and Bank for International Settlement, Basel, Switzerland. He has co-authored Introduction to Credit Risk Modeling and Structured Credit Portfolio Analysis, Baskets and CDOs. GERRIT JAN VAN DEN BRINK is Managing Director of ValueData7 GmbH and Partner of Finecs Business Consulting GmbH, Germany. He is a member of various associations and author of books and articles on operational risk, corporate governance and operations management and lecturer on operational risk at the J.W. Goethe-University and Frankfurt School of Management, Germany. He is author of Banking/Trading Operations Management and Operational Risk: The New Challenge For Banks.
