Kooperativer Bibliotheksverbund

UID:

Format: 1 online resource (318 pages)

ISBN: 0-12-803611-7

Note: Front Cover -- Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R) -- Copyright -- Dedication -- Contents -- Tiziano Bellini's Biography -- Preface -- Acknowledgments -- Chapter 1: Introduction to Stress Testing and Risk Integration -- 1.1 Antidote to the Crisis -- 1.1.1 What Went Wrong -- 1.1.2 Regulatory Responses -- 1.2 Stress Testing, Risk Integration,and Reverse Stress Testing -- 1.2.1 Stress Testing -- 1.2.2 Risk Integration and Reverse Stress Testing -- 1.3 Book Structure at a Glance -- 1.3.1 Organization of the Book -- 1.4 Summary -- References -- Chapter 2: Macroeconomic Scenario Analysis from a Bank Perspective -- 2.1 Introduction -- 2.2 Autoregression and Moving-Average Modeling -- 2.2.1 AR(p) Analysis -- 2.2.2 MA(q) Analysis -- 2.2.3 ARMA(p,q) Analysis -- 2.2.4 Box-Jenkins Time Series Analysis -- 2.3 Vector Autoregression and Vector Error-Correction Modeling -- 2.3.1 Vector Autoregression and Vector Error-Correction Analysis -- 2.3.2 Vector Autoregression and Vector Error-Correction Forecast -- 2.3.3 Impulse Response Analysis -- 2.4 Global Vector Autoregression Modeling -- 2.4.1 Introduction to the Global Vector Autoregression Model -- 2.4.2 Global Vector Autoregression Analysis -- 2.4.3 Global Vector Autoregression Forecast -- 2.4.4 Generalized Impulse Response Analysis -- 2.5 Stress Testing Scenario -- 2.5.1 Scenario Design -- 2.5.2 Conditional Forecasting -- 2.5.3 Bank Alpha's Stress Testing Scenario -- 2.5.4 Macroeconomic Modeling and Satellite Frameworks -- 2.6 Summary -- Suggestions for Further Reading -- Appendix. Robust Vector Error Correction Model: A Forward Search Approach -- Exercises -- References -- Chapter 3: Asset and Liability Management, and Value at Risk -- 3.1 Introduction -- 3.2 Margin at Risk -- 3.2.1 Margin at Risk Estimation. , 3.2.2 Interest Rate Sensitivity Analysis -- 3.2.3 Term Structure of Interest Rates -- 3.2.4 Margin at Risk Undera Stress Testing Scenario -- 3.2.5 Bank Alpha's Stress Testing Margin at Risk -- 3.3 Value at Risk -- 3.3.1 Variance-Covariance Value at Risk -- 3.3.2 Monte Carlo Simulation Value at Risk -- 3.3.3 Historical Simulation Value at Risk -- 3.3.4 Stress Testing and Regulatory Value at Risk -- 3.3.5 Bank Alpha's Market RWA -- 3.4 Liquidity Analysis -- 3.4.1 Bank Alpha's Liquidity Analysis -- 3.5 Summary -- Suggestions for Further Reading -- Appendix A. Kalman Filter for Affine Term Structure Models -- Appendix B. Robust Kalman Filter: A Forward Search Approach to Estimate Affine Term Structure Models -- Exercises -- References -- Chapter 4: Portfolio Credit Risk Modeling -- 4.1 Introduction -- 4.2 Credit Portfolio Modeling -- 4.2.1 Credit Loss Distribution -- 4.2.2 CreditMetrics -- 4.2.3 Credit Portfolio Modeling With Copulas -- 4.3 Credit Risk-Weighted Assets -- 4.3.1 Standardized Credit Risk-Weighted Assets -- 4.3.2 Internal Ratings-Based Credit Risk-Weighted Assets -- 4.3.3 Bank Alpha's RWAs for Credit Risk -- 4.4 How to Link Credit Risk Parameters and Macroeconomic Variables -- 4.4.1 Default Probability and Macroeconomic Variables -- 4.4.2 Loss Given Default and Macroeconomic Variables -- 4.5 Portfolio Credit Risk Stress Testing -- 4.5.1 Stress Testing Risk-Weighted Assets -- 4.5.2 Portfolio Credit Stress Testing -- 4.6 Summary -- Suggestions for Further Reading -- Appendix A: Default Probability Estimation via Logit Regression -- Appendix B: The Forward Search for Elliptical Copulas -- Exercises -- References -- Chapter 5: Balance Sheet, and Profit and Loss Stress Testing Projections -- 5.1 Introduction -- 5.2 Balance Sheet Projection -- 5.2.1 Credit Life Cycle -- 5.2.2 Performing Portfolio Projection. , 5.2.3 Nonperforming Portfolio Projection -- 5.2.4 Trading Book, Other Assets, and Liabilities Projection -- 5.2.5 Bank Alpha's Stress Testing Balance Sheet -- 5.3 Profit and Loss Projection -- 5.3.1 Profit and Loss Mechanics -- 5.3.2 Bank Alpha's Stress Testing Profit and Loss -- 5.4 Conduct and Operational Risk Stress Testing -- 5.4.1 Projection of Conductand Operational Losses -- 5.4.2 Risk-Weighted Assets for Operational Risk -- 5.4.3 Bank Alpha's Stress Testing Operational RWA -- 5.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 6: Regulatory Capital, RWA, Leverage, and Liquidity Requirements Under Stress -- 6.1 Introduction -- 6.2 Regulatory Capital -- 6.2.1 How to Compute the Regulatory Capital -- 6.2.2 Bank Alpha's Stress Testing Regulatory Capital -- 6.3 Risk-Weighted Assets and Capital Ratios -- 6.3.1 Bank Alpha's Risk-Weighted Assets (From a Silo Perspective) -- 6.3.2 Risk-Weighted Asset Aggregation -- 6.3.3 Bank Alpha's Stress Testing Capital Ratios -- 6.4 Leverage and Liquidity Ratios -- 6.4.1 Leverage Ratio -- 6.4.2 Bank Alpha's Stress Testing Leverage -- 6.4.3 Liquidity Coverage Ratio -- 6.4.4 Bank Alpha's Stress Testing Liquidity Coverage Ratio -- 6.4.5 Net Stable Funding Ratio -- 6.4.6 Bank Alpha's Stress Testing Net Stable Funding Ratio -- 6.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 7: Risk Integration -- 7.1 Introduction -- 7.2 Top-Down Risk Integration Modeling -- 7.2.1 Basic Integration -- 7.2.2 Top-Level Integration -- 7.2.3 Base-Level Integration -- 7.3 Bottom-Up Economic Capital Integration Modeling -- 7.3.1 Economic Capital Integration -- 7.3.2 Integration Process -- 7.3.3 Bank Alpha's Integrated Economic Capital -- 7.4 Bottom-Up Liquidity Integration Modeling -- 7.4.1 Risk Integration:Liquidity (Short-Term Perspective). , 7.4.2 Bank Alpha's Integrated Liquidity -- 7.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 8: Reverse Stress Testing -- 8.1 Introduction -- 8.2 Reverse Stress Testing Objective Function -- 8.2.1 Reverse Stress Testing: Economic Capital Versus Liquidity Mismatching -- 8.3 Integrated Risk Modeling and Vulnerability Thresholds -- 8.3.1 Long- and Short-Run Risk Integration -- 8.3.2 Vulnerability Thresholds -- 8.4 Bank-Specific Disastrous Event Fact Finding -- 8.4.1 Trading Book -- 8.4.2 Banking Book -- 8.4.3 Liquidity and Overall Financial Structure -- 8.5 Exploration of Ruinous Macroeconomic Scenarios -- 8.5.1 Long- and Short-Run Ruinous Scenarios -- 8.5.2 Conditional Mean and Hull Contours -- 8.5.3 Bank Alpha's Ruinous Scenario Analysis -- 8.6 Summary -- Suggestions for Further Reading -- Exercises -- References -- Index -- Back Cover.

Additional Edition: ISBN 0-12-803590-0

Language: English

UID:

Format: 1 online resource (318 pages)

ISBN: 0-12-814941-8

Note: Front Cover -- IFRS 9 and CECL Credit Risk Modelling and Validation -- Copyright -- Contents -- Tiziano Bellini's Biography -- Preface -- Acknowledgements -- 1 Introduction to Expected Credit Loss Modelling and Validation -- Key Abbreviations and Symbols -- 1.1 Introduction -- 1.2 IFRS 9 -- 1.2.1 Staging Allocation -- 1.2.2 ECL Ingredients -- 1.2.3 Scenario Analysis and ECL -- 1.3 CECL -- 1.3.1 Loss-Rate Methods -- 1.3.2 Vintage Methods -- 1.3.3 Discounted Cash Flow Methods -- 1.3.4 Probability of Default Methods -- 1.3.5 IFRS 9 vs. CECL -- 1.4 ECL and Capital Requirements -- 1.4.1 Internal Rating-Based Credit Risk-Weighted Assets -- 1.4.2 How ECL Affects Regulatory Capital and Ratios -- 1.5 Book Structure at a Glance -- 1.6 Summary -- References -- 2 One-Year PD -- Key Abbreviations and Symbols -- 2.1 Introduction -- 2.2 Default De nition and Data Preparation -- 2.2.1 Default De nition -- 2.2.2 Data Preparation -- 2.3 Generalised Linear Models (GLMs) -- 2.3.1 GLM (Scorecard) Development -- 2.3.2 GLM Calibration -- 2.3.3 GLM Validation -- 2.4 Machine Learning (ML) Modelling -- 2.4.1 Classi cation and Regression Trees (CART) -- 2.4.2 Bagging, Random Forest, and Boosting -- 2.4.3 ML Model Calibration -- 2.4.4 ML Model Validation -- 2.5 Low Default Portfolio, Market-Based, and Scarce Data Modelling -- 2.5.1 Low Default Portfolio Modelling -- 2.5.2 Market-Based Modelling -- 2.5.3 Scarce Data Modelling -- 2.5.4 Hints on Low Default Portfolio, Market-Based, and Scarce Data Model Validation -- 2.6 SAS Laboratory -- 2.7 Summary -- Suggestions for Further Reading -- 2.8 Appendix A. From Linear Regression to GLM -- 2.9 Appendix B. Discriminatory Power Assessment -- Exercises -- References -- 3 Lifetime PD -- Key Abbreviations and Symbols -- 3.1 Introduction -- 3.2 Data Preparation -- 3.2.1 Default Flag Creation. , 3.2.2 Account-Level (Panel) Database Structure -- 3.3 Lifetime GLM Framework -- 3.3.1 Portfolio-Level GLM Analysis -- 3.3.2 Account-Level GLM Analysis -- 3.3.3 Lifetime GLM Validation -- 3.4 Survival Modelling -- 3.4.1 KM Survival Analysis -- 3.4.2 CPH survival analysis -- 3.4.3 AFT Survival Analysis -- 3.4.4 Survival Model Validation -- 3.5 Lifetime Machine Learning (ML) Modelling -- 3.5.1 Bagging, Random Forest, and Boosting Lifetime PD -- 3.5.2 Random Survival Forest Lifetime PD -- 3.5.3 Lifetime ML Validation -- 3.6 Transition Matrix Modelling -- 3.6.1 Naïve Markov Chain Modelling -- 3.6.2 Merton-Like Transition Modelling -- 3.6.3 Multi-State Modelling -- 3.6.4 Transition Matrix Model Validation -- 3.7 SAS Laboratory -- 3.8 Summary -- Suggestions for Further Reading -- Appendix A. Portfolio-Level PD Shift -- Appendix B. Account-Level PD Shift -- Exercises -- References -- 4 LGD Modelling -- Key Abbreviations and Symbols -- 4.1 Introduction -- 4.2 LGD Data Preparation -- 4.2.1 LGD Data Conceptual Characteristics -- 4.2.2 LGD Database Elements -- 4.3 LGD Micro-Structure Approach -- 4.3.1 Probability of Cure -- 4.3.2 Severity -- 4.3.3 Defaulted Asset LGD -- 4.3.4 Forward-Looking Micro-Structure LGD Modelling -- 4.3.5 Micro-Structure Real Estate LGD Modelling -- 4.3.6 Micro-Structure LGD Validation -- 4.4 LGD Regression Methods -- 4.4.1 Tobit Regression -- 4.4.2 Beta Regression -- 4.4.3 Mixture Models and Forward-Looking Regression -- 4.4.4 Regression LGD Validation -- 4.5 LGD Machine Learning (ML) Modelling -- 4.5.1 Regression Tree LGD -- 4.5.2 Bagging, Random Forest, and Boosting LGD -- 4.5.3 Forward-Looking Machine Learning LGD -- 4.5.4 Machine Learning LGD Validation -- 4.6 Hints on LGD Survival Analysis -- 4.7 Scarce Data and Low Default Portfolio LGD Modelling -- 4.7.1 Expert Judgement LGD Process -- 4.7.2 Low Default Portfolio LGD. , 4.7.3 Hints on How to Validate Scarce Data and Low Default Portfolio LGDs -- 4.8 SAS Laboratory -- 4.9 Summary -- Suggestions for Further Reading -- Exercises -- References -- 5 Prepayments, Competing Risks and EAD Modelling -- Key Abbreviations and Symbols -- 5.1 Introduction -- 5.2 Data Preparation -- 5.2.1 How to Organize Data -- 5.3 Full Prepayment Modelling -- 5.3.1 Full Prepayment via GLM -- 5.3.2 Machine Learning (ML) Full Prepayment Modelling -- 5.3.3 Hints on Survival Analysis -- 5.3.4 Full Prepayment Model Validation -- 5.4 Competing Risk Modelling -- 5.4.1 Multinomial Regression Competing Risks Modelling -- 5.4.2 Full Evaluation Procedure -- 5.4.3 Competing Risk Model Validation -- 5.5 EAD Modelling -- 5.5.1 A Competing-Risk-Like EAD Framework -- 5.5.2 Hints on EAD Estimation via Machine Learning (ML) -- 5.5.3 EAD Model Validation -- 5.6 SAS Laboratory -- 5.7 Summary -- Suggestions for Further Reading -- Appendix. Average Closure Rate Shortcut -- Exercises -- References -- 6 Scenario Analysis and Expected Credit Losses -- Key Abbreviations and Symbols -- 6.1 Introduction -- 6.2 Scenario Analysis -- 6.2.1 Vector Auto-Regression and Vector Error-Correction Modelling -- 6.2.2 VAR and VEC Forecast -- 6.2.3 Hints on GVAR Modelling -- 6.3 ECL Computation in Practice -- 6.3.1 Scenario Design and Satellite Models -- 6.3.2 Lifetime ECL -- 6.3.3 IFRS 9 Staging Allocation -- 6.4 ECL Validation -- 6.4.1 Historical and Forward-Looking Validation -- 6.4.2 Credit Portfolio Modelling and ECL Estimation -- 6.5 SAS Laboratory -- 6.6 Summary -- Suggestions for Further Reading -- Exercises -- References -- Index -- Back Cover.

Additional Edition: ISBN 0-12-814940-X

Language: English

UID:

Format: 1 Online-Ressource (XIII, 570 Seiten).

ISBN: 978-3-11-064790-7 , 978-3-11-064495-1

Series Statement: The Moorad Choudhry global banking series

Additional Edition: Erscheint auch als Druck-Ausgabe ISBN 978-3-11-064482-1

Additional Edition: Erscheint auch als Druck-Ausgabe ISBN 3-11-064482-7

Language: English

Subjects: Economics

Keywords: Bank ; Stresstest ; Corporate Governance ; Risikomanagement ; Regulierung ; Bankgeschäft ; Stresstest ; Aufsatzsammlung

DOI: 10.1515/9783110647907

URL: Volltext  (URL des Erstveröffentlichers)

URL: https://doi.org/10.1515/9783110647907

URL: https://www.degruyter.com/isbn/9783110647907

URL: https://doi.org/10.1515/9783110647907

URL: https://www.degruyter.com/isbn/9783110647907

Author information: Mayenberger, Daniel.

UID:

Format: XIII, 570 Seiten , Illustrationen , 24 cm x 17 cm

Edition: 1

ISBN: 9783110644821 , 3110644827

Series Statement: The Moorad Choudhry Global Banking Series

Note: Erscheint auch als Online-Ausgabe 9783110644951 (ISBN) , Erscheint auch als Online-Ausgabe 9783110647907 (ISBN)

Language: English

Keywords: Bank ; Stresstest ; Corporate Governance ; Risikomanagement ; Regulierung

URL: http://www.degruyter.com/search?f_0=isbnissn&q_0=9783110644821&searchTitles=true

Author information: Mayenberger, Daniel

UID:

Format: 1 online resource (318 pages)

ISBN: 0-12-803611-7

Note: Front Cover -- Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R) -- Copyright -- Dedication -- Contents -- Tiziano Bellini's Biography -- Preface -- Acknowledgments -- Chapter 1: Introduction to Stress Testing and Risk Integration -- 1.1 Antidote to the Crisis -- 1.1.1 What Went Wrong -- 1.1.2 Regulatory Responses -- 1.2 Stress Testing, Risk Integration,and Reverse Stress Testing -- 1.2.1 Stress Testing -- 1.2.2 Risk Integration and Reverse Stress Testing -- 1.3 Book Structure at a Glance -- 1.3.1 Organization of the Book -- 1.4 Summary -- References -- Chapter 2: Macroeconomic Scenario Analysis from a Bank Perspective -- 2.1 Introduction -- 2.2 Autoregression and Moving-Average Modeling -- 2.2.1 AR(p) Analysis -- 2.2.2 MA(q) Analysis -- 2.2.3 ARMA(p,q) Analysis -- 2.2.4 Box-Jenkins Time Series Analysis -- 2.3 Vector Autoregression and Vector Error-Correction Modeling -- 2.3.1 Vector Autoregression and Vector Error-Correction Analysis -- 2.3.2 Vector Autoregression and Vector Error-Correction Forecast -- 2.3.3 Impulse Response Analysis -- 2.4 Global Vector Autoregression Modeling -- 2.4.1 Introduction to the Global Vector Autoregression Model -- 2.4.2 Global Vector Autoregression Analysis -- 2.4.3 Global Vector Autoregression Forecast -- 2.4.4 Generalized Impulse Response Analysis -- 2.5 Stress Testing Scenario -- 2.5.1 Scenario Design -- 2.5.2 Conditional Forecasting -- 2.5.3 Bank Alpha's Stress Testing Scenario -- 2.5.4 Macroeconomic Modeling and Satellite Frameworks -- 2.6 Summary -- Suggestions for Further Reading -- Appendix. Robust Vector Error Correction Model: A Forward Search Approach -- Exercises -- References -- Chapter 3: Asset and Liability Management, and Value at Risk -- 3.1 Introduction -- 3.2 Margin at Risk -- 3.2.1 Margin at Risk Estimation. , 3.2.2 Interest Rate Sensitivity Analysis -- 3.2.3 Term Structure of Interest Rates -- 3.2.4 Margin at Risk Undera Stress Testing Scenario -- 3.2.5 Bank Alpha's Stress Testing Margin at Risk -- 3.3 Value at Risk -- 3.3.1 Variance-Covariance Value at Risk -- 3.3.2 Monte Carlo Simulation Value at Risk -- 3.3.3 Historical Simulation Value at Risk -- 3.3.4 Stress Testing and Regulatory Value at Risk -- 3.3.5 Bank Alpha's Market RWA -- 3.4 Liquidity Analysis -- 3.4.1 Bank Alpha's Liquidity Analysis -- 3.5 Summary -- Suggestions for Further Reading -- Appendix A. Kalman Filter for Affine Term Structure Models -- Appendix B. Robust Kalman Filter: A Forward Search Approach to Estimate Affine Term Structure Models -- Exercises -- References -- Chapter 4: Portfolio Credit Risk Modeling -- 4.1 Introduction -- 4.2 Credit Portfolio Modeling -- 4.2.1 Credit Loss Distribution -- 4.2.2 CreditMetrics -- 4.2.3 Credit Portfolio Modeling With Copulas -- 4.3 Credit Risk-Weighted Assets -- 4.3.1 Standardized Credit Risk-Weighted Assets -- 4.3.2 Internal Ratings-Based Credit Risk-Weighted Assets -- 4.3.3 Bank Alpha's RWAs for Credit Risk -- 4.4 How to Link Credit Risk Parameters and Macroeconomic Variables -- 4.4.1 Default Probability and Macroeconomic Variables -- 4.4.2 Loss Given Default and Macroeconomic Variables -- 4.5 Portfolio Credit Risk Stress Testing -- 4.5.1 Stress Testing Risk-Weighted Assets -- 4.5.2 Portfolio Credit Stress Testing -- 4.6 Summary -- Suggestions for Further Reading -- Appendix A: Default Probability Estimation via Logit Regression -- Appendix B: The Forward Search for Elliptical Copulas -- Exercises -- References -- Chapter 5: Balance Sheet, and Profit and Loss Stress Testing Projections -- 5.1 Introduction -- 5.2 Balance Sheet Projection -- 5.2.1 Credit Life Cycle -- 5.2.2 Performing Portfolio Projection. , 5.2.3 Nonperforming Portfolio Projection -- 5.2.4 Trading Book, Other Assets, and Liabilities Projection -- 5.2.5 Bank Alpha's Stress Testing Balance Sheet -- 5.3 Profit and Loss Projection -- 5.3.1 Profit and Loss Mechanics -- 5.3.2 Bank Alpha's Stress Testing Profit and Loss -- 5.4 Conduct and Operational Risk Stress Testing -- 5.4.1 Projection of Conductand Operational Losses -- 5.4.2 Risk-Weighted Assets for Operational Risk -- 5.4.3 Bank Alpha's Stress Testing Operational RWA -- 5.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 6: Regulatory Capital, RWA, Leverage, and Liquidity Requirements Under Stress -- 6.1 Introduction -- 6.2 Regulatory Capital -- 6.2.1 How to Compute the Regulatory Capital -- 6.2.2 Bank Alpha's Stress Testing Regulatory Capital -- 6.3 Risk-Weighted Assets and Capital Ratios -- 6.3.1 Bank Alpha's Risk-Weighted Assets (From a Silo Perspective) -- 6.3.2 Risk-Weighted Asset Aggregation -- 6.3.3 Bank Alpha's Stress Testing Capital Ratios -- 6.4 Leverage and Liquidity Ratios -- 6.4.1 Leverage Ratio -- 6.4.2 Bank Alpha's Stress Testing Leverage -- 6.4.3 Liquidity Coverage Ratio -- 6.4.4 Bank Alpha's Stress Testing Liquidity Coverage Ratio -- 6.4.5 Net Stable Funding Ratio -- 6.4.6 Bank Alpha's Stress Testing Net Stable Funding Ratio -- 6.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 7: Risk Integration -- 7.1 Introduction -- 7.2 Top-Down Risk Integration Modeling -- 7.2.1 Basic Integration -- 7.2.2 Top-Level Integration -- 7.2.3 Base-Level Integration -- 7.3 Bottom-Up Economic Capital Integration Modeling -- 7.3.1 Economic Capital Integration -- 7.3.2 Integration Process -- 7.3.3 Bank Alpha's Integrated Economic Capital -- 7.4 Bottom-Up Liquidity Integration Modeling -- 7.4.1 Risk Integration:Liquidity (Short-Term Perspective). , 7.4.2 Bank Alpha's Integrated Liquidity -- 7.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 8: Reverse Stress Testing -- 8.1 Introduction -- 8.2 Reverse Stress Testing Objective Function -- 8.2.1 Reverse Stress Testing: Economic Capital Versus Liquidity Mismatching -- 8.3 Integrated Risk Modeling and Vulnerability Thresholds -- 8.3.1 Long- and Short-Run Risk Integration -- 8.3.2 Vulnerability Thresholds -- 8.4 Bank-Specific Disastrous Event Fact Finding -- 8.4.1 Trading Book -- 8.4.2 Banking Book -- 8.4.3 Liquidity and Overall Financial Structure -- 8.5 Exploration of Ruinous Macroeconomic Scenarios -- 8.5.1 Long- and Short-Run Ruinous Scenarios -- 8.5.2 Conditional Mean and Hull Contours -- 8.5.3 Bank Alpha's Ruinous Scenario Analysis -- 8.6 Summary -- Suggestions for Further Reading -- Exercises -- References -- Index -- Back Cover.

Additional Edition: ISBN 0-12-803590-0

Language: English

UID:

Format: 1 online resource (318 pages)

ISBN: 0-12-803611-7

Note: Front Cover -- Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R) -- Copyright -- Dedication -- Contents -- Tiziano Bellini's Biography -- Preface -- Acknowledgments -- Chapter 1: Introduction to Stress Testing and Risk Integration -- 1.1 Antidote to the Crisis -- 1.1.1 What Went Wrong -- 1.1.2 Regulatory Responses -- 1.2 Stress Testing, Risk Integration,and Reverse Stress Testing -- 1.2.1 Stress Testing -- 1.2.2 Risk Integration and Reverse Stress Testing -- 1.3 Book Structure at a Glance -- 1.3.1 Organization of the Book -- 1.4 Summary -- References -- Chapter 2: Macroeconomic Scenario Analysis from a Bank Perspective -- 2.1 Introduction -- 2.2 Autoregression and Moving-Average Modeling -- 2.2.1 AR(p) Analysis -- 2.2.2 MA(q) Analysis -- 2.2.3 ARMA(p,q) Analysis -- 2.2.4 Box-Jenkins Time Series Analysis -- 2.3 Vector Autoregression and Vector Error-Correction Modeling -- 2.3.1 Vector Autoregression and Vector Error-Correction Analysis -- 2.3.2 Vector Autoregression and Vector Error-Correction Forecast -- 2.3.3 Impulse Response Analysis -- 2.4 Global Vector Autoregression Modeling -- 2.4.1 Introduction to the Global Vector Autoregression Model -- 2.4.2 Global Vector Autoregression Analysis -- 2.4.3 Global Vector Autoregression Forecast -- 2.4.4 Generalized Impulse Response Analysis -- 2.5 Stress Testing Scenario -- 2.5.1 Scenario Design -- 2.5.2 Conditional Forecasting -- 2.5.3 Bank Alpha's Stress Testing Scenario -- 2.5.4 Macroeconomic Modeling and Satellite Frameworks -- 2.6 Summary -- Suggestions for Further Reading -- Appendix. Robust Vector Error Correction Model: A Forward Search Approach -- Exercises -- References -- Chapter 3: Asset and Liability Management, and Value at Risk -- 3.1 Introduction -- 3.2 Margin at Risk -- 3.2.1 Margin at Risk Estimation. , 3.2.2 Interest Rate Sensitivity Analysis -- 3.2.3 Term Structure of Interest Rates -- 3.2.4 Margin at Risk Undera Stress Testing Scenario -- 3.2.5 Bank Alpha's Stress Testing Margin at Risk -- 3.3 Value at Risk -- 3.3.1 Variance-Covariance Value at Risk -- 3.3.2 Monte Carlo Simulation Value at Risk -- 3.3.3 Historical Simulation Value at Risk -- 3.3.4 Stress Testing and Regulatory Value at Risk -- 3.3.5 Bank Alpha's Market RWA -- 3.4 Liquidity Analysis -- 3.4.1 Bank Alpha's Liquidity Analysis -- 3.5 Summary -- Suggestions for Further Reading -- Appendix A. Kalman Filter for Affine Term Structure Models -- Appendix B. Robust Kalman Filter: A Forward Search Approach to Estimate Affine Term Structure Models -- Exercises -- References -- Chapter 4: Portfolio Credit Risk Modeling -- 4.1 Introduction -- 4.2 Credit Portfolio Modeling -- 4.2.1 Credit Loss Distribution -- 4.2.2 CreditMetrics -- 4.2.3 Credit Portfolio Modeling With Copulas -- 4.3 Credit Risk-Weighted Assets -- 4.3.1 Standardized Credit Risk-Weighted Assets -- 4.3.2 Internal Ratings-Based Credit Risk-Weighted Assets -- 4.3.3 Bank Alpha's RWAs for Credit Risk -- 4.4 How to Link Credit Risk Parameters and Macroeconomic Variables -- 4.4.1 Default Probability and Macroeconomic Variables -- 4.4.2 Loss Given Default and Macroeconomic Variables -- 4.5 Portfolio Credit Risk Stress Testing -- 4.5.1 Stress Testing Risk-Weighted Assets -- 4.5.2 Portfolio Credit Stress Testing -- 4.6 Summary -- Suggestions for Further Reading -- Appendix A: Default Probability Estimation via Logit Regression -- Appendix B: The Forward Search for Elliptical Copulas -- Exercises -- References -- Chapter 5: Balance Sheet, and Profit and Loss Stress Testing Projections -- 5.1 Introduction -- 5.2 Balance Sheet Projection -- 5.2.1 Credit Life Cycle -- 5.2.2 Performing Portfolio Projection. , 5.2.3 Nonperforming Portfolio Projection -- 5.2.4 Trading Book, Other Assets, and Liabilities Projection -- 5.2.5 Bank Alpha's Stress Testing Balance Sheet -- 5.3 Profit and Loss Projection -- 5.3.1 Profit and Loss Mechanics -- 5.3.2 Bank Alpha's Stress Testing Profit and Loss -- 5.4 Conduct and Operational Risk Stress Testing -- 5.4.1 Projection of Conductand Operational Losses -- 5.4.2 Risk-Weighted Assets for Operational Risk -- 5.4.3 Bank Alpha's Stress Testing Operational RWA -- 5.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 6: Regulatory Capital, RWA, Leverage, and Liquidity Requirements Under Stress -- 6.1 Introduction -- 6.2 Regulatory Capital -- 6.2.1 How to Compute the Regulatory Capital -- 6.2.2 Bank Alpha's Stress Testing Regulatory Capital -- 6.3 Risk-Weighted Assets and Capital Ratios -- 6.3.1 Bank Alpha's Risk-Weighted Assets (From a Silo Perspective) -- 6.3.2 Risk-Weighted Asset Aggregation -- 6.3.3 Bank Alpha's Stress Testing Capital Ratios -- 6.4 Leverage and Liquidity Ratios -- 6.4.1 Leverage Ratio -- 6.4.2 Bank Alpha's Stress Testing Leverage -- 6.4.3 Liquidity Coverage Ratio -- 6.4.4 Bank Alpha's Stress Testing Liquidity Coverage Ratio -- 6.4.5 Net Stable Funding Ratio -- 6.4.6 Bank Alpha's Stress Testing Net Stable Funding Ratio -- 6.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 7: Risk Integration -- 7.1 Introduction -- 7.2 Top-Down Risk Integration Modeling -- 7.2.1 Basic Integration -- 7.2.2 Top-Level Integration -- 7.2.3 Base-Level Integration -- 7.3 Bottom-Up Economic Capital Integration Modeling -- 7.3.1 Economic Capital Integration -- 7.3.2 Integration Process -- 7.3.3 Bank Alpha's Integrated Economic Capital -- 7.4 Bottom-Up Liquidity Integration Modeling -- 7.4.1 Risk Integration:Liquidity (Short-Term Perspective). , 7.4.2 Bank Alpha's Integrated Liquidity -- 7.5 Summary -- Suggestions for Further Reading -- Exercises -- References -- Chapter 8: Reverse Stress Testing -- 8.1 Introduction -- 8.2 Reverse Stress Testing Objective Function -- 8.2.1 Reverse Stress Testing: Economic Capital Versus Liquidity Mismatching -- 8.3 Integrated Risk Modeling and Vulnerability Thresholds -- 8.3.1 Long- and Short-Run Risk Integration -- 8.3.2 Vulnerability Thresholds -- 8.4 Bank-Specific Disastrous Event Fact Finding -- 8.4.1 Trading Book -- 8.4.2 Banking Book -- 8.4.3 Liquidity and Overall Financial Structure -- 8.5 Exploration of Ruinous Macroeconomic Scenarios -- 8.5.1 Long- and Short-Run Ruinous Scenarios -- 8.5.2 Conditional Mean and Hull Contours -- 8.5.3 Bank Alpha's Ruinous Scenario Analysis -- 8.6 Summary -- Suggestions for Further Reading -- Exercises -- References -- Index -- Back Cover.

Additional Edition: ISBN 0-12-803590-0

Language: English

UID:

Format: 1 online resource (318 pages)

ISBN: 0-12-814941-8

Note: Front Cover -- IFRS 9 and CECL Credit Risk Modelling and Validation -- Copyright -- Contents -- Tiziano Bellini's Biography -- Preface -- Acknowledgements -- 1 Introduction to Expected Credit Loss Modelling and Validation -- Key Abbreviations and Symbols -- 1.1 Introduction -- 1.2 IFRS 9 -- 1.2.1 Staging Allocation -- 1.2.2 ECL Ingredients -- 1.2.3 Scenario Analysis and ECL -- 1.3 CECL -- 1.3.1 Loss-Rate Methods -- 1.3.2 Vintage Methods -- 1.3.3 Discounted Cash Flow Methods -- 1.3.4 Probability of Default Methods -- 1.3.5 IFRS 9 vs. CECL -- 1.4 ECL and Capital Requirements -- 1.4.1 Internal Rating-Based Credit Risk-Weighted Assets -- 1.4.2 How ECL Affects Regulatory Capital and Ratios -- 1.5 Book Structure at a Glance -- 1.6 Summary -- References -- 2 One-Year PD -- Key Abbreviations and Symbols -- 2.1 Introduction -- 2.2 Default De nition and Data Preparation -- 2.2.1 Default De nition -- 2.2.2 Data Preparation -- 2.3 Generalised Linear Models (GLMs) -- 2.3.1 GLM (Scorecard) Development -- 2.3.2 GLM Calibration -- 2.3.3 GLM Validation -- 2.4 Machine Learning (ML) Modelling -- 2.4.1 Classi cation and Regression Trees (CART) -- 2.4.2 Bagging, Random Forest, and Boosting -- 2.4.3 ML Model Calibration -- 2.4.4 ML Model Validation -- 2.5 Low Default Portfolio, Market-Based, and Scarce Data Modelling -- 2.5.1 Low Default Portfolio Modelling -- 2.5.2 Market-Based Modelling -- 2.5.3 Scarce Data Modelling -- 2.5.4 Hints on Low Default Portfolio, Market-Based, and Scarce Data Model Validation -- 2.6 SAS Laboratory -- 2.7 Summary -- Suggestions for Further Reading -- 2.8 Appendix A. From Linear Regression to GLM -- 2.9 Appendix B. Discriminatory Power Assessment -- Exercises -- References -- 3 Lifetime PD -- Key Abbreviations and Symbols -- 3.1 Introduction -- 3.2 Data Preparation -- 3.2.1 Default Flag Creation. , 3.2.2 Account-Level (Panel) Database Structure -- 3.3 Lifetime GLM Framework -- 3.3.1 Portfolio-Level GLM Analysis -- 3.3.2 Account-Level GLM Analysis -- 3.3.3 Lifetime GLM Validation -- 3.4 Survival Modelling -- 3.4.1 KM Survival Analysis -- 3.4.2 CPH survival analysis -- 3.4.3 AFT Survival Analysis -- 3.4.4 Survival Model Validation -- 3.5 Lifetime Machine Learning (ML) Modelling -- 3.5.1 Bagging, Random Forest, and Boosting Lifetime PD -- 3.5.2 Random Survival Forest Lifetime PD -- 3.5.3 Lifetime ML Validation -- 3.6 Transition Matrix Modelling -- 3.6.1 Naïve Markov Chain Modelling -- 3.6.2 Merton-Like Transition Modelling -- 3.6.3 Multi-State Modelling -- 3.6.4 Transition Matrix Model Validation -- 3.7 SAS Laboratory -- 3.8 Summary -- Suggestions for Further Reading -- Appendix A. Portfolio-Level PD Shift -- Appendix B. Account-Level PD Shift -- Exercises -- References -- 4 LGD Modelling -- Key Abbreviations and Symbols -- 4.1 Introduction -- 4.2 LGD Data Preparation -- 4.2.1 LGD Data Conceptual Characteristics -- 4.2.2 LGD Database Elements -- 4.3 LGD Micro-Structure Approach -- 4.3.1 Probability of Cure -- 4.3.2 Severity -- 4.3.3 Defaulted Asset LGD -- 4.3.4 Forward-Looking Micro-Structure LGD Modelling -- 4.3.5 Micro-Structure Real Estate LGD Modelling -- 4.3.6 Micro-Structure LGD Validation -- 4.4 LGD Regression Methods -- 4.4.1 Tobit Regression -- 4.4.2 Beta Regression -- 4.4.3 Mixture Models and Forward-Looking Regression -- 4.4.4 Regression LGD Validation -- 4.5 LGD Machine Learning (ML) Modelling -- 4.5.1 Regression Tree LGD -- 4.5.2 Bagging, Random Forest, and Boosting LGD -- 4.5.3 Forward-Looking Machine Learning LGD -- 4.5.4 Machine Learning LGD Validation -- 4.6 Hints on LGD Survival Analysis -- 4.7 Scarce Data and Low Default Portfolio LGD Modelling -- 4.7.1 Expert Judgement LGD Process -- 4.7.2 Low Default Portfolio LGD. , 4.7.3 Hints on How to Validate Scarce Data and Low Default Portfolio LGDs -- 4.8 SAS Laboratory -- 4.9 Summary -- Suggestions for Further Reading -- Exercises -- References -- 5 Prepayments, Competing Risks and EAD Modelling -- Key Abbreviations and Symbols -- 5.1 Introduction -- 5.2 Data Preparation -- 5.2.1 How to Organize Data -- 5.3 Full Prepayment Modelling -- 5.3.1 Full Prepayment via GLM -- 5.3.2 Machine Learning (ML) Full Prepayment Modelling -- 5.3.3 Hints on Survival Analysis -- 5.3.4 Full Prepayment Model Validation -- 5.4 Competing Risk Modelling -- 5.4.1 Multinomial Regression Competing Risks Modelling -- 5.4.2 Full Evaluation Procedure -- 5.4.3 Competing Risk Model Validation -- 5.5 EAD Modelling -- 5.5.1 A Competing-Risk-Like EAD Framework -- 5.5.2 Hints on EAD Estimation via Machine Learning (ML) -- 5.5.3 EAD Model Validation -- 5.6 SAS Laboratory -- 5.7 Summary -- Suggestions for Further Reading -- Appendix. Average Closure Rate Shortcut -- Exercises -- References -- 6 Scenario Analysis and Expected Credit Losses -- Key Abbreviations and Symbols -- 6.1 Introduction -- 6.2 Scenario Analysis -- 6.2.1 Vector Auto-Regression and Vector Error-Correction Modelling -- 6.2.2 VAR and VEC Forecast -- 6.2.3 Hints on GVAR Modelling -- 6.3 ECL Computation in Practice -- 6.3.1 Scenario Design and Satellite Models -- 6.3.2 Lifetime ECL -- 6.3.3 IFRS 9 Staging Allocation -- 6.4 ECL Validation -- 6.4.1 Historical and Forward-Looking Validation -- 6.4.2 Credit Portfolio Modelling and ECL Estimation -- 6.5 SAS Laboratory -- 6.6 Summary -- Suggestions for Further Reading -- Exercises -- References -- Index -- Back Cover.

Additional Edition: ISBN 0-12-814940-X

Language: English

UID:

Format: 1 online resource (318 pages)

ISBN: 0-12-814941-8

Note: Front Cover -- IFRS 9 and CECL Credit Risk Modelling and Validation -- Copyright -- Contents -- Tiziano Bellini's Biography -- Preface -- Acknowledgements -- 1 Introduction to Expected Credit Loss Modelling and Validation -- Key Abbreviations and Symbols -- 1.1 Introduction -- 1.2 IFRS 9 -- 1.2.1 Staging Allocation -- 1.2.2 ECL Ingredients -- 1.2.3 Scenario Analysis and ECL -- 1.3 CECL -- 1.3.1 Loss-Rate Methods -- 1.3.2 Vintage Methods -- 1.3.3 Discounted Cash Flow Methods -- 1.3.4 Probability of Default Methods -- 1.3.5 IFRS 9 vs. CECL -- 1.4 ECL and Capital Requirements -- 1.4.1 Internal Rating-Based Credit Risk-Weighted Assets -- 1.4.2 How ECL Affects Regulatory Capital and Ratios -- 1.5 Book Structure at a Glance -- 1.6 Summary -- References -- 2 One-Year PD -- Key Abbreviations and Symbols -- 2.1 Introduction -- 2.2 Default De nition and Data Preparation -- 2.2.1 Default De nition -- 2.2.2 Data Preparation -- 2.3 Generalised Linear Models (GLMs) -- 2.3.1 GLM (Scorecard) Development -- 2.3.2 GLM Calibration -- 2.3.3 GLM Validation -- 2.4 Machine Learning (ML) Modelling -- 2.4.1 Classi cation and Regression Trees (CART) -- 2.4.2 Bagging, Random Forest, and Boosting -- 2.4.3 ML Model Calibration -- 2.4.4 ML Model Validation -- 2.5 Low Default Portfolio, Market-Based, and Scarce Data Modelling -- 2.5.1 Low Default Portfolio Modelling -- 2.5.2 Market-Based Modelling -- 2.5.3 Scarce Data Modelling -- 2.5.4 Hints on Low Default Portfolio, Market-Based, and Scarce Data Model Validation -- 2.6 SAS Laboratory -- 2.7 Summary -- Suggestions for Further Reading -- 2.8 Appendix A. From Linear Regression to GLM -- 2.9 Appendix B. Discriminatory Power Assessment -- Exercises -- References -- 3 Lifetime PD -- Key Abbreviations and Symbols -- 3.1 Introduction -- 3.2 Data Preparation -- 3.2.1 Default Flag Creation. , 3.2.2 Account-Level (Panel) Database Structure -- 3.3 Lifetime GLM Framework -- 3.3.1 Portfolio-Level GLM Analysis -- 3.3.2 Account-Level GLM Analysis -- 3.3.3 Lifetime GLM Validation -- 3.4 Survival Modelling -- 3.4.1 KM Survival Analysis -- 3.4.2 CPH survival analysis -- 3.4.3 AFT Survival Analysis -- 3.4.4 Survival Model Validation -- 3.5 Lifetime Machine Learning (ML) Modelling -- 3.5.1 Bagging, Random Forest, and Boosting Lifetime PD -- 3.5.2 Random Survival Forest Lifetime PD -- 3.5.3 Lifetime ML Validation -- 3.6 Transition Matrix Modelling -- 3.6.1 Naïve Markov Chain Modelling -- 3.6.2 Merton-Like Transition Modelling -- 3.6.3 Multi-State Modelling -- 3.6.4 Transition Matrix Model Validation -- 3.7 SAS Laboratory -- 3.8 Summary -- Suggestions for Further Reading -- Appendix A. Portfolio-Level PD Shift -- Appendix B. Account-Level PD Shift -- Exercises -- References -- 4 LGD Modelling -- Key Abbreviations and Symbols -- 4.1 Introduction -- 4.2 LGD Data Preparation -- 4.2.1 LGD Data Conceptual Characteristics -- 4.2.2 LGD Database Elements -- 4.3 LGD Micro-Structure Approach -- 4.3.1 Probability of Cure -- 4.3.2 Severity -- 4.3.3 Defaulted Asset LGD -- 4.3.4 Forward-Looking Micro-Structure LGD Modelling -- 4.3.5 Micro-Structure Real Estate LGD Modelling -- 4.3.6 Micro-Structure LGD Validation -- 4.4 LGD Regression Methods -- 4.4.1 Tobit Regression -- 4.4.2 Beta Regression -- 4.4.3 Mixture Models and Forward-Looking Regression -- 4.4.4 Regression LGD Validation -- 4.5 LGD Machine Learning (ML) Modelling -- 4.5.1 Regression Tree LGD -- 4.5.2 Bagging, Random Forest, and Boosting LGD -- 4.5.3 Forward-Looking Machine Learning LGD -- 4.5.4 Machine Learning LGD Validation -- 4.6 Hints on LGD Survival Analysis -- 4.7 Scarce Data and Low Default Portfolio LGD Modelling -- 4.7.1 Expert Judgement LGD Process -- 4.7.2 Low Default Portfolio LGD. , 4.7.3 Hints on How to Validate Scarce Data and Low Default Portfolio LGDs -- 4.8 SAS Laboratory -- 4.9 Summary -- Suggestions for Further Reading -- Exercises -- References -- 5 Prepayments, Competing Risks and EAD Modelling -- Key Abbreviations and Symbols -- 5.1 Introduction -- 5.2 Data Preparation -- 5.2.1 How to Organize Data -- 5.3 Full Prepayment Modelling -- 5.3.1 Full Prepayment via GLM -- 5.3.2 Machine Learning (ML) Full Prepayment Modelling -- 5.3.3 Hints on Survival Analysis -- 5.3.4 Full Prepayment Model Validation -- 5.4 Competing Risk Modelling -- 5.4.1 Multinomial Regression Competing Risks Modelling -- 5.4.2 Full Evaluation Procedure -- 5.4.3 Competing Risk Model Validation -- 5.5 EAD Modelling -- 5.5.1 A Competing-Risk-Like EAD Framework -- 5.5.2 Hints on EAD Estimation via Machine Learning (ML) -- 5.5.3 EAD Model Validation -- 5.6 SAS Laboratory -- 5.7 Summary -- Suggestions for Further Reading -- Appendix. Average Closure Rate Shortcut -- Exercises -- References -- 6 Scenario Analysis and Expected Credit Losses -- Key Abbreviations and Symbols -- 6.1 Introduction -- 6.2 Scenario Analysis -- 6.2.1 Vector Auto-Regression and Vector Error-Correction Modelling -- 6.2.2 VAR and VEC Forecast -- 6.2.3 Hints on GVAR Modelling -- 6.3 ECL Computation in Practice -- 6.3.1 Scenario Design and Satellite Models -- 6.3.2 Lifetime ECL -- 6.3.3 IFRS 9 Staging Allocation -- 6.4 ECL Validation -- 6.4.1 Historical and Forward-Looking Validation -- 6.4.2 Credit Portfolio Modelling and ECL Estimation -- 6.5 SAS Laboratory -- 6.6 Summary -- Suggestions for Further Reading -- Exercises -- References -- Index -- Back Cover.

Additional Edition: ISBN 0-12-814940-X

Language: English