Banking Systems Simulation : Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion.
Stefano. Zedda
Bok Engelsk 2017 · Electronic books.
| Omfang | 1 online resource (265 pages)
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| Opplysninger | Banking Systems Simulation -- Contents -- Foreword -- Introduction -- 1: Banking Risk -- 1.1 Single Bank Risk -- 1.2 The Basel Committee on Banking Supervision Approach to Regulation -- 1.2.1 The Basel I Framework -- 1.2.2 The Basel II Framework -- 1.2.3 Credit Counterparty Risk -- 1.2.4 Market Risk -- 1.2.5 Operational Risk -- 1.2.6 Basel III -- 1.3 Banking Risk Modeling and Stress Testing -- 1.4 Contagion -- 1.5 System Modeling -- 2: Simulation Models -- 2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks -- 2.2 Simulating Shocks: Stress Testing -- 2.3 Simulating Shocks: Systematic Common Shocks -- 2.4 Simulating Shocks: Common Shocks -- 2.4.1 The Monte Carlo Method -- 2.4.2 Monte Carlo-Based Simulation Models -- 2.5 Estimation of Losses Variability and Assets Riskiness -- 2.5.1 Sector-Historical Approach -- 2.5.2 Market Values-Based Approach -- 2.5.3 Capital Requirements-Based Approach -- 2.5.4 Ratings-Based Approach -- 2.5.5 CAMELS-Z-Score Approach -- 2.6 Simulating Shocks: Correlated Risk Factors -- 2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks -- 2.8 Correlation -- 2.9 The Interbank Matrix -- 2.9.1 Interbank Matrix Estimation -- 2.9.2 Robustness Checks on the Maximum Entropy Hypothesis -- 2.10 Loss Given Default -- 2.10.1 Constant LGD -- 2.10.2 Stochastic LGD -- 2.10.3 Endogenous LGD -- 2.11 Interbank Losses Attribution -- 2.12 Contagion Simulation Methods -- 2.13 Data and Applied Problems -- 3: Real Economy, Sovereign Risk, and Banking Systems Linkages -- 3.1 Effects of Bank Riskiness on Sovereign Risk -- 3.2 Effects of Sovereign Risk on Bank Riskiness -- 3.3 Linkages to the Real Economy -- 3.4 Modeling -- 3.4.1 Banks -- 3.4.2 Public Finances -- 3.5 Implementation -- 3.5.1 Public Finances -- 3.5.2 Banks -- 4: Applications -- 4.1 Testing for Banks-Public Finances Contagion Risk.. - 4.2 Banking Systems Regulation What-If Tests -- 4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis -- 4.3.1 Costs -- 4.3.2 Benefits -- 4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning -- 4.4.1 DGS -- 4.4.2 Resolution Funds -- 4.5 Computing Capital Coverage from Assets PD and Bank PD -- 4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD -- 4.7 Risk Contributions and SiFis -- 4.7.1 Value at Risk (VaR) -- 4.7.2 Expected Shortfall (ES) -- 4.7.3 Conditional Value at Risk (CoVaR) -- 4.7.4 Marginal Expected Shortfall (MES) -- 4.7.5 Shapley Values -- 4.7.6 The Leave-One-Out Approach -- 4.7.7 Starting and Fueling Contagion: Risk Contribution Roles -- 4.8 The Regulator's Dilemma -- Appendix: Software References and Tools -- References -- Index -- End User License Agreement.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781119195900
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