000			03663nam a22003618i 4500
001			CR9780511635618
003			UkCbUP
005			20200124160313.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			090923s2009||||enk o ||1 0|eng|d
020			_a9780511635618 (ebook)
020			_z9780521767309 (hardback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aHG1601 _b.S687 2009
082	0	0	_a332.1068/1 _222
245	0	0	_aStress-testing the banking system : _bmethodologies and applications / _cedited by Mario Quagliariello.
264		1	_aCambridge : _bCambridge University Press, _c2009.
300			_a1 online resource (xxii, 329 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
500			_aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
505	0		_aA framework for assessing financial stability / Maurizio Trapanese -- Macroeconomic stress-testing : definitions and main components / Mario Quagliariello -- Macroeconomic stress-testing banks : a survey of methodologies / Mathias Drehmann -- Scenario design and calibration / Takashi Isogai -- Risk aggregation and economic capital / Vincenzo Tola -- Data needs for stress-testing / Francesco Cannata and Ulrich Krüger -- Use of macro stress tests in policy-making / Patrizia Baudino -- Stress-testing credit risk : the Italian experience / Sebastiano Laviola, Juri Marcucci and Mario Quagliariello -- Stress-testing US banks using economic-value-of-equity (EVE) models / Mike Carhill -- A framework for integrating different risks : the interaction between credit and interest rate risk / Steffen Sorensen and Marco Stringa -- Stress-testing linkages between banks in the Netherlands / Iman van Lelyveld, Franka Liedorp and Marc Pröpper -- An integrated approach to stress-testing : the Austrian Systemic Risk Monitor (SRM) / Michael Boss [and others] -- From macro to micro : the French experience on credit risk stress-testing / Muriel Tiesset and Clément Martin -- Stress-testing in the EU new member states / Adam Głogowski -- Cross-border macro stress-testing : progress and future challenges for the EU / Olli Castrén, John Fell and Nico Valckx -- Stress-testing at the IMF / Marina Moretti, Stéphanie Stolz and Mark Swinburne.
520			_aStress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
650		0	_aBanks and banking.
650		0	_aBanks and banking _xRisk management.
650		0	_aBank failures _xPrevention.
650		0	_aFinancial crises.
700	1		_aQuagliariello, Mario, _eeditor.
776	0	8	_iPrint version: _z9780521767309
856	4	0	_uhttps://doi.org/10.1017/CBO9780511635618
999			_c521235 _d521233