Banking Systems Simulation
-15%
portes grátis
Banking Systems Simulation
Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion
Zedda, Stefano
John Wiley & Sons Inc
05/2017
272
Dura
Inglês
9781119195894
15 a 20 dias
508
Descrição não disponível.
Foreword xi
Introduction xv
1 Banking Risk 1
1.1 Single Bank Risk 4
1.2 The Basel Committee on Banking Supervision Approach to Regulation 14
1.3 Banking Risk Modeling and Stress Testing 33
1.4 Contagion 36
1.5 System Modeling 41
2 Simulation Models 45
2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks 49
2.2 Simulating Shocks: Stress Testing 54
2.3 Simulating Shocks: Systematic Common Shocks 56
2.4 Simulating Shocks: Common Shocks 58
2.5 Estimation of Losses Variability and Assets Riskiness 70
2.6 Simulating Shocks: Correlated Risk Factors 82
2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks 87
2.8 Correlation 89
2.9 The Interbank Matrix 98
2.10 Loss Given Default 127
2.11 Interbank Losses Attribution 132
2.12 Contagion Simulation Methods 133
2.13 Data and Applied Problems 140
3 Real Economy, Sovereign Risk, and Banking Systems Linkages 149
3.1 Effects of Bank Riskiness on Sovereign Risk 150
3.2 Effects of Sovereign Risk on Bank Riskiness 153
3.3 Linkages to the Real Economy 154
3.4 Modeling 156
3.5 Implementation 159
4 Applications 163
4.1 Testing for Banks-Public Finances Contagion Risk 163
4.2 Banking Systems Regulation What-If Tests 164
4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis 169
4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning 174
4.5 Computing Capital Coverage from Assets PD and Bank PD 178
4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD 180
4.7 Risk Contributions and SiFis 182
4.8 The Regulator's Dilemma 202
Appendix: Software References and Tools 205
References 223
Index 235
Introduction xv
1 Banking Risk 1
1.1 Single Bank Risk 4
1.2 The Basel Committee on Banking Supervision Approach to Regulation 14
1.3 Banking Risk Modeling and Stress Testing 33
1.4 Contagion 36
1.5 System Modeling 41
2 Simulation Models 45
2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks 49
2.2 Simulating Shocks: Stress Testing 54
2.3 Simulating Shocks: Systematic Common Shocks 56
2.4 Simulating Shocks: Common Shocks 58
2.5 Estimation of Losses Variability and Assets Riskiness 70
2.6 Simulating Shocks: Correlated Risk Factors 82
2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks 87
2.8 Correlation 89
2.9 The Interbank Matrix 98
2.10 Loss Given Default 127
2.11 Interbank Losses Attribution 132
2.12 Contagion Simulation Methods 133
2.13 Data and Applied Problems 140
3 Real Economy, Sovereign Risk, and Banking Systems Linkages 149
3.1 Effects of Bank Riskiness on Sovereign Risk 150
3.2 Effects of Sovereign Risk on Bank Riskiness 153
3.3 Linkages to the Real Economy 154
3.4 Modeling 156
3.5 Implementation 159
4 Applications 163
4.1 Testing for Banks-Public Finances Contagion Risk 163
4.2 Banking Systems Regulation What-If Tests 164
4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis 169
4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning 174
4.5 Computing Capital Coverage from Assets PD and Bank PD 178
4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD 180
4.7 Risk Contributions and SiFis 182
4.8 The Regulator's Dilemma 202
Appendix: Software References and Tools 205
References 223
Index 235
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
banking system stability methodologies; banking systems simulation; banking system risk modeling; single bank risk; common bank exposures; bank modeling and simulation basics; methods for analyzing financial systems risks; banking regulation technical concepts; banking regulation legal concepts; banking system regulation what-if tests; computational analysis methods for banks systems; banking systems stability impact on public financing; banking system risk theory; banking system risk within theoretical framework; banking system stability techniques
Foreword xi
Introduction xv
1 Banking Risk 1
1.1 Single Bank Risk 4
1.2 The Basel Committee on Banking Supervision Approach to Regulation 14
1.3 Banking Risk Modeling and Stress Testing 33
1.4 Contagion 36
1.5 System Modeling 41
2 Simulation Models 45
2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks 49
2.2 Simulating Shocks: Stress Testing 54
2.3 Simulating Shocks: Systematic Common Shocks 56
2.4 Simulating Shocks: Common Shocks 58
2.5 Estimation of Losses Variability and Assets Riskiness 70
2.6 Simulating Shocks: Correlated Risk Factors 82
2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks 87
2.8 Correlation 89
2.9 The Interbank Matrix 98
2.10 Loss Given Default 127
2.11 Interbank Losses Attribution 132
2.12 Contagion Simulation Methods 133
2.13 Data and Applied Problems 140
3 Real Economy, Sovereign Risk, and Banking Systems Linkages 149
3.1 Effects of Bank Riskiness on Sovereign Risk 150
3.2 Effects of Sovereign Risk on Bank Riskiness 153
3.3 Linkages to the Real Economy 154
3.4 Modeling 156
3.5 Implementation 159
4 Applications 163
4.1 Testing for Banks-Public Finances Contagion Risk 163
4.2 Banking Systems Regulation What-If Tests 164
4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis 169
4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning 174
4.5 Computing Capital Coverage from Assets PD and Bank PD 178
4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD 180
4.7 Risk Contributions and SiFis 182
4.8 The Regulator's Dilemma 202
Appendix: Software References and Tools 205
References 223
Index 235
Introduction xv
1 Banking Risk 1
1.1 Single Bank Risk 4
1.2 The Basel Committee on Banking Supervision Approach to Regulation 14
1.3 Banking Risk Modeling and Stress Testing 33
1.4 Contagion 36
1.5 System Modeling 41
2 Simulation Models 45
2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks 49
2.2 Simulating Shocks: Stress Testing 54
2.3 Simulating Shocks: Systematic Common Shocks 56
2.4 Simulating Shocks: Common Shocks 58
2.5 Estimation of Losses Variability and Assets Riskiness 70
2.6 Simulating Shocks: Correlated Risk Factors 82
2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks 87
2.8 Correlation 89
2.9 The Interbank Matrix 98
2.10 Loss Given Default 127
2.11 Interbank Losses Attribution 132
2.12 Contagion Simulation Methods 133
2.13 Data and Applied Problems 140
3 Real Economy, Sovereign Risk, and Banking Systems Linkages 149
3.1 Effects of Bank Riskiness on Sovereign Risk 150
3.2 Effects of Sovereign Risk on Bank Riskiness 153
3.3 Linkages to the Real Economy 154
3.4 Modeling 156
3.5 Implementation 159
4 Applications 163
4.1 Testing for Banks-Public Finances Contagion Risk 163
4.2 Banking Systems Regulation What-If Tests 164
4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis 169
4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning 174
4.5 Computing Capital Coverage from Assets PD and Bank PD 178
4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD 180
4.7 Risk Contributions and SiFis 182
4.8 The Regulator's Dilemma 202
Appendix: Software References and Tools 205
References 223
Index 235
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
banking system stability methodologies; banking systems simulation; banking system risk modeling; single bank risk; common bank exposures; bank modeling and simulation basics; methods for analyzing financial systems risks; banking regulation technical concepts; banking regulation legal concepts; banking system regulation what-if tests; computational analysis methods for banks systems; banking systems stability impact on public financing; banking system risk theory; banking system risk within theoretical framework; banking system stability techniques
