Banking systems simulation : theory, practice, and application of modeling shocks, losses, and contagion / Stefano Zedda.

Format:

Book

Author/Creator:

Zedda, Stefano, author.

Series:

Wiley series in modeling and simulation.

THEi Wiley ebooks.

Wiley Series in Modeling and Simulation

THEi Wiley ebooks

Language:

English

Subjects (All):

Banks and banking--Risk management.

Banks and banking.

Risk management--Computer simulation.

Risk management.

Banks and banking--State supervision.

Physical Description:

1 online resource (27 pages).

Edition:

1st ed.

Place of Publication:

Hoboken, New Jersey : Wiley, 2017.

System Details:

Access using campus network via VPN at home (THEi Users Only).

Summary:

Presents information sources and methodologies for modeling and simulating banking system stability Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model. In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models. In addition, this book: * Provides a comprehensive overview of methods for analyzing models and simulating risk for banking and financial systems * Provides a clear presentation of the technical and legal concepts used in banking regulation * Presents unique insights from an expert's perspective, with specific coverage of assessing risks and developing what-if analyses at the systems level * Concludes with a discussion of applications, including banking systems regulation what-if tests, cost-benefit analysis, evaluations of banking systems stability effects on public finances, dimensioning, and risk-based contributions for Deposit Guarantee Schemes (DGS) and Resolution Funds Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion is ideal for banking researchers focusing on computational methods of analysis as well as an appropriate reference for graduate-level students in banking, finance, and computational methods. Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zedda's research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.

Contents:

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.

Notes:

Includes bibliographical references and index.

Description based on print version record.

ISBN:

1-119-19590-X

1-119-19592-6

OCLC:

978248807