Stress-testing the banking system : methodologies and applications / edited by Mario Quagliariello.
"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 practi...
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| Online Access: |
Full Text (via Cambridge) |
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| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge, UK :
Cambridge University Press,
2009.
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| Subjects: |
| 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"--Page 4 of cover |
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| Physical Description: | 1 online resource (xxii, 329 pages) : illustrations |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780511635168 0511635168 9780521767309 052176730X 9780511635618 0511635613 |
| DOI: | 10.1017/CBO9780511635618 |
| Source of Description, Etc. Note: | Print version record. |