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Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R) by [Bellini, Tiziano]
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Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R) 1st Edition, Kindle Edition

5.0 out of 5 stars 2 customer reviews

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Review

"Stress Testing and Risk Integration in Banks is a book that both finance academics and risk management experts have long sought. It bridges a substantial gap between risk theory and banking practice by paving the way for sound quantitative approaches in the area." --Niklas F Wagner, University of Passau

"This book is highly practical and rigorous in its clear and refreshing coverage of current risk issues faced by global banks. Combining Matlab/R code, relevant exercises and business cases, it is comprehensive in scope and operationally highly relevant." --Gary van Vuuren, Aviva Investors, London and North West University, South Africa

"Stress Testing and Risk Integration in Banks reveals the important connections between risk management and stress testing in the banking industry. These days, in which the industry is in the verge of its deepest change in decades, this book provides a much-needed framework to apply stress testing in practical terms." --Juan Ignacio Peña, Universidad Carlos III

From the Back Cover

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 the book 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.


Product details

  • Format: Kindle Edition
  • File Size: 36571 KB
  • Print Length: 280 pages
  • Publisher: Academic Press; 1 edition (26 Nov. 2016)
  • Sold by: Amazon Media EU S.à r.l.
  • Language: English
  • ASIN: B01MRRYD4L
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Enabled
  • Enhanced Typesetting: Enabled
  • Average Customer Review: 5.0 out of 5 stars 2 customer reviews
  • Amazon Bestsellers Rank: #583,538 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
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18 July 2017
Format: Hardcover
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24 July 2017
Format: Hardcover
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Most helpful customer reviews on Amazon.com

Amazon.com: 5.0 out of 5 stars 3 reviews
Amazon Customer
5.0 out of 5 starsThe stylized bank studied step by step throughout the book ...
27 December 2016 - Published on Amazon.com
Format: Hardcover|Verified Purchase
Amazon Customer
5.0 out of 5 starsStress Testing and Risk Integration in Banks conjugates holistic formal ...
29 November 2016 - Published on Amazon.com
Format: Hardcover
One person found this helpful.
Amazon Customer
5.0 out of 5 starsI loved the scenario generation section as well as the VaR ...
5 May 2017 - Published on Amazon.com
Format: Hardcover
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