Coverart for item
The Resource Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)

Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)

Label
Stress-testing the banking system : methodologies and applications
Title
Stress-testing the banking system
Title remainder
methodologies and applications
Statement of responsibility
edited by Mario Quagliariello
Contributor
Editor
Subject
Language
eng
Summary
Stress 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.--
Assigning source
Provided by publisher
Cataloging source
UkCbUP
Index
index present
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Quagliariello, Mario
Series statement
Cambridge Social Sciences eBooks
http://library.link/vocab/subjectName
  • Banks and banking
  • Banks and banking
  • Bank failures
  • Financial crises
Label
Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9780511635618
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
A 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
Control code
CR9780511635618
Dimensions
unknown
Extent
1 online resource (xxii, 329 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9780511635618
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)502012522
Label
Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9780511635618
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
A 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
Control code
CR9780511635618
Dimensions
unknown
Extent
1 online resource (xxii, 329 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9780511635618
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)502012522

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...