Description: Stress Testing and Risk Integration in Banks : A Statistical Framework and Practical Software Guide in Matlab and R, Hardcover by Bellini, Tiziano, ISBN 0128035900, ISBN-13 9780128035900, Like New Used, Free shipping in the US Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over th for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies.
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Book Title: Stress Testing and Risk Integration in Banks : A Statistical Fram
Number of Pages: 316 Pages
Publication Name: Stress Testing and Risk Integration in Banks : A Statistical Framework and Practical Software Guide (in Matlab and R)
Language: English
Publisher: Elsevier Science & Technology
Subject: Game Theory, Banks & Banking, Finance / General
Publication Year: 2016
Type: Textbook
Subject Area: Mathematics, Business & Economics
Item Length: 9 in
Author: Tiziano Bellini
Item Width: 6 in
Format: Hardcover
