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Firm-wide Stress Testing and Economic Capital
Discipline: Quantitative Analysis, Operational Risk
No of pages: 730
First published:
ISBN: 9781782722021
Firm-wide Stress Testing and Economic Capital presents a common framework for economic capital and firm-wide stress testing modelling across all risk types. The book will provide clear insights on integrated risk models and their use in strategic decision making.
Contents
Introduction
Quantitative Fundamentals
Economic Capital Foundations
Stress Testing Foundations
Market Risk
Credit Risk
Counterparty Credit Risk
Operational Risk
Liquidity Risk
Business Risk
Interest Rate Risk in the Banking Book
Balance-Sheet Projection
Conclusion