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)
Resource Information
The item Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- 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.--
- Language
- eng
- Extent
- 1 online resource (xxii, 329 pages)
- 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
- Isbn
- 9780511635618
- 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
- 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)
- 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)
- 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 Links
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Stress-testing-the-banking-system--methodologies/pKE_K2-Q-PE/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Stress-testing-the-banking-system--methodologies/pKE_K2-Q-PE/">Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data - Experimental
Data Citation of the Item Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Stress-testing-the-banking-system--methodologies/pKE_K2-Q-PE/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Stress-testing-the-banking-system--methodologies/pKE_K2-Q-PE/">Stress-testing the banking system : methodologies and applications, edited by Mario Quagliariello, (electronic resource)</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
