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Title Stress testing for financial institutions : applications, regulations and techniques / edited by Daniel Rosch and Harald Scheule.

Published London : Risk Books, [2008]


Location Call No. Status
 UniM Giblin Eunson  332.1068 STRE    DUE 03-08-17
Physical description xxxix, 457 pages : illustrations ; 24 cm
Bibliography Includes bibliographical references and index.
Contents Integrating stress-testing frameworks / Daniel Rosch and Harald Scheule -- Stress tests, market risk measures and extremes: bringing stress tests to the forefront of market risk management / Jose Aragones, Carlos Blanco and Kevin Dowd -- Credit cycle stress testing using a point-in-time rating system / Sean Keenan, David Li, Stefano Santilli, Andrew Barnes, Kete Chalermkraivuth and Radu Neagu -- Stress-testing credit value-at-risk: a multiyear approach / Alfred Hamerle, Rainer Jobst, Michael Knapp and Matthias Lerner -- Stress testing the impact of group dependence on credit portfolio risk / Steven Vanduffel, Bostjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas -- Hedge the stress: using stress tests to design hedges for foreign currency loans / Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer -- Survey of retail loan portfolio stress testing / Joseph L. Breeden -- Stress tests for retail loan portfolios / Bernd Engelmann and Evelyn Hayden -- Stress-testing banks' credit risk using mixture vector autogressive models / Tom Pak-Wing Fong and Chun-Shan Wong -- Uncertainty, credit migration, stressed scenarios and portfolio losses / Jorge Sobehart -- Worst-case and stressed correlations in the asymptotic single risk factor model / Steffi Ḧose and Stefan Huschens -- Risk aggregation, dependence structure and diversification benefit / Roland Burgi, Michel Dacorogna and Roger Iles -- Stress-testing credit distributions of banks' portfolios: risk structure and concentration issues / Adolfo Rodriguez and Carlos Trucharte -- Time-varying correlations for credit risk: modelling, estimating and stress testing / Oleg Burd -- Macro model-based stress testing of Basel II Capital Requirements / Esa Jokivuolle, Kimmo Virolainen and Oskari Vahamaa -- Risk tolerance concepts and scenario analysis of bank capital / Hakan Andersson and Andreas Lindell -- Basel II-type stress testing of credit portfolios / Ferdinand Mager and Christian Schmieder.
Other author Rösch, Daniel.
Scheule, Harald.
Subject Financial institutions -- Evaluation.
Financial risk management.
Risk assessment.
ISBN 9781906348113