Overview

Full Product Details

Author:   Michael Eichhorn ,  Tiziano Bellini ,  Daniel Mayenberger
Publisher:   De Gruyter
Imprint:   De Gruyter
Weight:   1.129kg
ISBN:  

9783110644821

ISBN 10:   3110644827
Pages:   583
Publication Date:   10 May 2021
Audience:   Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

FOREWORD BY PROF. MOORAD CHOUDHRY CHAPTER I: What is Reverse Stress Testing (and how does it differ from other risk analytics)? Definition What is it and why to use it Overview of reverse stress testing landscape so far (Tiziano Bellini, Michael Eichhorn) CHAPTER II: How to perform Reverse Stress Testing A generic process driven approach (Michael Eichhorn, Philippe Mangold) Definition of failure points Vulnerability analysis Scenario design and parameterization Plausibility check and management actions Monitoring and reporting CHAPTER III: What are the regulatory requirements? Regulatory requirements and considerations from a Board of Directors’ perspective (Melanie Eichhorn-Schurig) Requirements by regulator and supervisory body (BCBS, EBA, FED, PRA) Considerations from Boards’ perspective CHAPTER IV: What can be learned from past failures? Why do banks fail? (TBC) What went wrong in the 2007-2009 crisis? (Tiziano Bellini) Roads to ruin – A study of major risk events (Prof. Chris Parsons, TBC) CHAPTER V: What can be learned from practical use cases? Qualitative reverse stress testing Case study: Pension Protection Fund (Jean-Pierre Charmille) Case study: Moody’s Rating Agency (TBC) Case study: Automotive (Grundke, TBC) Quantitative reverse stress testing Case study: Alpha Bank (Tiziano Bellini) Case study: Interbank Networks (Fabio Caccioli) Case study: Axioma Inc (Robert Stamicar) Case study: EVM Tech (Mirzai, Bahram) CHAPTER VI: What can be learned from planning work? Linking Reverse Stress Testing to Risk Appetite and Risk Capacity (Anand Saxena) Linking Reverse Stress Testing to Recovery & Resolution Planning (Ahmed Nasir)

Reviews

Author Information

M. Eichhorn, Managing Director, Credit Suisse; T. Bellini, Director, Blackrock; D. Mayenberger, trading, banking and investment expert

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions