Buch, Englisch, 570 Seiten, Format (B × H): 170 mm x 240 mm, Gewicht: 1129 g
Reihe: ISSN
Buch, Englisch, 570 Seiten, Format (B × H): 170 mm x 240 mm, Gewicht: 1129 g
Reihe: ISSN
ISBN: 978-3-11-064482-1
Verlag: De Gruyter
- 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.
Autoren/Hrsg.
Weitere Infos & Material
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)