Handbook of Financial Stress Testing
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portes grátis
Handbook of Financial Stress Testing
Wetzer, Thom; Kleinnijenhuis, Alissa M.; Farmer, J. Doyne; Schuermann, Til
Cambridge University Press
04/2022
726
Dura
Inglês
9781108830737
15 a 20 dias
1610
Descrição não disponível.
- 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, Jerome 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, Jerome Henry and Dawid Zochowski
- 28. A complex systems perspective on macroprudential regulation Stefan Thurner
- 29. Stress testing a central bank's own balance sheet Nathanael 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.
- 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, Jerome 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, Jerome Henry and Dawid Zochowski
- 28. A complex systems perspective on macroprudential regulation Stefan Thurner
- 29. Stress testing a central bank's own balance sheet Nathanael 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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
- 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, Jerome 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, Jerome Henry and Dawid Zochowski
- 28. A complex systems perspective on macroprudential regulation Stefan Thurner
- 29. Stress testing a central bank's own balance sheet Nathanael 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.
- 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, Jerome 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, Jerome Henry and Dawid Zochowski
- 28. A complex systems perspective on macroprudential regulation Stefan Thurner
- 29. Stress testing a central bank's own balance sheet Nathanael 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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
