Handbook of Financial Stress Testing
Editat de J. Doyne Farmer, Alissa M. Kleinnijenhuis, Til Schuermann, Thom Wetzeren Limba Engleză Hardback – 13 apr 2022
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Specificații
ISBN-13: 9781108830737
ISBN-10: 1108830730
Pagini: 726
Dimensiuni: 182 x 260 x 37 mm
Greutate: 1.59 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
ISBN-10: 1108830730
Pagini: 726
Dimensiuni: 182 x 260 x 37 mm
Greutate: 1.59 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
Cuprins
Foreword Timothy F. Geithner; 1. Introduction and overview J. Doyne Farmer, Alissa M. Kleinnijenhuis, Til Schuermann and Thom Wetzer; Part I. History and Objectives: 2. Objectives and challenges of stress testing Richard J. Herring and Til Schuermann; 3. Fit for purpose? The evolving role of stress testing for financial systems Udaibir Das, Kieran Dent and Miguel Segoviano; 4. Why banks failed the stress test: A progress report on stress testing ten years on Nicola Anderson, Alex Brazier, Andrew Haldane, Paul Nahai-Williamson and Amar Radia; Part II. Inputs and Outputs: 5. Macrofinancial stress test scenario design – for banks and beyond Marco Gross, Jérôme Henry and Elena Rancoita; 6. The role of heterogeneity in scenario design for financial stability stress testing Mark D. Flood, Jonathan Jones, Matthew Pritsker and Akhtar Siddique; 7. Designing coherent scenarios: a practitioner perspective Greg Hopper; 8. Stress testing with market data Robert Engle; 9. On market-based approaches to the valuation of capital Natasha Sarin and Lawrence H. Summers; 10. Granular data offer new opportunities for stress testing Cees Ullersma and Iman van Lelyveld; 11. Stress tests disclosure: theory, practice, and new perspectives Itay Goldstein and Yaron Leitner; 12. Stress testing during times of war Kathryn Judge; Part III. Microprudential Stress Tests: 13. Stress testing for commercial, investment and custody banks Daniel Cope, Carey Hsu, Clinton Lively, James Morgan, Til Schuermann and Evan Sekeris; 14. Microprudential stress testing for asset managers Jacques Longerstaey; 15. Stress testing for insurers Brian Peters; 16. Model risk management in stress testing and capital planning Eduardo Canabarro; 17. A supervisory perspective on stress testing – The U.S. experience Tim P. Clark; 18. Strengths and weaknesses of microprudential stress testing for financial institutions Christine M. Cumming; Part IV. A Macroprudential Perspective on the Financial System: 19. The structure of the financial system: Implications for macro-prudential stress testing Gonzalo Fernandez Dionis and Patricia C. Mosser; 20. Holistic bank regulation C. A. E. Goodhart; 21. Leverage and macro prudential policy John Geanakoplos; 22. Monetary policy and financial stability William B. English; 23. Stress testing networks: The case of central counterparties Richard B. Berner, Stephen G. Cecchetti and Kermit L. Schoenholtz; Part V. Macroprudential Stress Tests: 24. Enhancing stress tests by adding macroprudential elements William F. Bassett and David E. Rappoport W.; 25. Accounting for amplification mechanisms in bank stress test models at the Bank of Canada Grzegorz Halaj and Virginie Traclet; 26. Stress testing at the IMF Tobias Adrian, James Morsink and Liliana Schumacher; 27. A comprehensive approach to macroprudential stress testing Anthony Bousquet, Jérôme Henry and Dawid Żochowski; 28. A complex systems perspective on macroprudential regulation Stefan Thurner; 29. Stress testing a central bank's own balance sheet Nathanaël Benjamin, Abigail Haddow and David Jacobs; Part VI. Concluding Thoughts: The Road Ahead: 30. Stress testing the financial microcosm J. Doyne Farmer, Alissa M. Kleinnijenhuis and Thom Wetzer.
Recenzii
'This well documented compendium on financial stress testing could not arrive at a more timely moment. As the world embarks on a daunting mission to reign in global warming, stress testing promises to be a key tool for helping central banks and supervisors assess climate-related risks, not only on their own balance sheets, but in the economy as a whole, as well as the books of the banks it supervises.' Christine Lagarde, President of the European Central Bank
'Stress tests have grown from their beginnings as a simple, practical tool for communicating risk in a particular portfolio into a much broader framework. This Handbook is a thought-provoking package of thirty essays by leading academics, regulators and practitioners. Topics range widely, from fundamental scenario design to transparency considerations, feedback effects, micro versus macro perspectives, as well as the implications for different types of financial institutions. The Handbook has something for anyone interested in the state of the art, including risk professionals, regulators, policy-makers and academics.' Wilson Ervin, former Chief Risk Officer
'The 2009 bank stress tests were one of the turning points of the global financial crisis, and they are now a basic part of the supervisory toolkit. This volume provides a comprehensive overview of what we have learned about stress testing and what we still need to know to make it even more effective.' Ben Bernanke, former Chair of the United States Federal Reserve
'This excellent compilation of contributions on stress testing covers a vast spectrum ranging from the economic history of evolution of stress tests as a centerpiece in prudential regulation of the financial sector to the challenges going forward. The book covers both micro- and macro-prudential stress tests, provides a conceptual foundation for the use of both, touches upon ongoing issues such as stress tests for central counterparties, and is a must-read for practitioners, policy-makers and academics interested in creating a robust financial sector.' Viral Acharya, New York University Stern School of Business
'This is by far the most comprehensive available reference work on financial stress testing. One need only review the list of contributors to appreciate its definitive quality – many of those who invented stress testing following the Great Financial Crisis are authors. The Handbook of Financial Stress Testing covers the subject in all key dimensions, and from philosophy to execution. I strongly recommend that this magnificent compendium be read by anyone concerned with the risk of future financial crises.' Darrell Duffie, Stanford University
'Stress tests have grown from their beginnings as a simple, practical tool for communicating risk in a particular portfolio into a much broader framework. This Handbook is a thought-provoking package of thirty essays by leading academics, regulators and practitioners. Topics range widely, from fundamental scenario design to transparency considerations, feedback effects, micro versus macro perspectives, as well as the implications for different types of financial institutions. The Handbook has something for anyone interested in the state of the art, including risk professionals, regulators, policy-makers and academics.' Wilson Ervin, former Chief Risk Officer
'The 2009 bank stress tests were one of the turning points of the global financial crisis, and they are now a basic part of the supervisory toolkit. This volume provides a comprehensive overview of what we have learned about stress testing and what we still need to know to make it even more effective.' Ben Bernanke, former Chair of the United States Federal Reserve
'This excellent compilation of contributions on stress testing covers a vast spectrum ranging from the economic history of evolution of stress tests as a centerpiece in prudential regulation of the financial sector to the challenges going forward. The book covers both micro- and macro-prudential stress tests, provides a conceptual foundation for the use of both, touches upon ongoing issues such as stress tests for central counterparties, and is a must-read for practitioners, policy-makers and academics interested in creating a robust financial sector.' Viral Acharya, New York University Stern School of Business
'This is by far the most comprehensive available reference work on financial stress testing. One need only review the list of contributors to appreciate its definitive quality – many of those who invented stress testing following the Great Financial Crisis are authors. The Handbook of Financial Stress Testing covers the subject in all key dimensions, and from philosophy to execution. I strongly recommend that this magnificent compendium be read by anyone concerned with the risk of future financial crises.' Darrell Duffie, Stanford University
Descriere
Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.