Reverse stress testing in banking : a comprehensive guide to success in the software industry / edited by Michael Eichhorn, Tiziano Bellini, and Daniel Mayenberger.

Format:

Book

Contributor:

Bellini, Tiziano, editor.

Mayenberger, Daniel, editor.

Eichhorn, Michael, editor.

Series:

The Moorad Choudhry Global Banking

The Moorad Choudhry Global Banking Series

Language:

English

Subjects (All):

Banks and banking.

Banks and banking--Risk management.

Bank failures--Prevention.

Bank failures.

Physical Description:

1 online resource (XIII, 570 p.)

Place of Publication:

Berlin, Germany : De Gruyter, [2021]

Language Note:

In English.

Summary:

Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

Contents:

Frontmatter

Advance Praise for Reverse Stress Testing in Banking

Acknowledgements

Foreword

Contents

Part I: Fundamentals of Reverse Stress Testing

1 Reverse Stress Testing: A Versatile Thinking Tool

2 Reverse Stress Testing in Banks

3 Reverse Stress Testing: An Overview of Regulatory Guidance

Part II: Quantitative Use Cases

4 Quantitative Reverse Stress Testing

5 Reverse Stress Testing Asset and Liability Portfolios

6 Reverse Liquidity Stress Testing

7 Reverse Stress Testing Banking Networks

8 Reflections on Macroprudential Reverse Stress Testing

9 Reverse Stress Testing: Reliability Analysis

Part III: Qualitative Use Cases

10 Qualitative Reverse Stress Testing

11 Reverse Stress Testing with Cognitive Maps

12 Reverse Stress Testing with Strategic Management Tools

13 Mild Reverse Stress Testing

Part IV: Application of Artificial Intelligence, Quantum Computing and Technology

14 Application of Artificial Intelligence and Big Data to Identify Business Vulnerabilities

15 Reverse Stress Testing Using Artificial Intelligence Techniques

16 Reverse Stress Testing and Funding Sets

17 Capital and Collateral Simulation for Reverse Stress Testing

18 Multi-Period Reverse Stress Testing Using Quantum and Simulated Annealing

19 Reverse Stress Testing and Technology

20 Robust Model Development in Reverse Stress Testing

21 The Role of Artificial Intelligence as Central Banker and in the Stability of Markets

Part V: RST and Its Link to Recovery and Resolution Planning

22 Reverse Stress Testing and Recovery and Resolution Planning: An Implementation Perspective

23 Reverse Stress Testing and Recovery Planning: A Conceptual Perspective

Part VI: Governance

24 On the Governance of Reverse Stress Testing

25 Reverse Stress Testing and Recent Research

26 Reverse Stress Testing and Tail Risk

27 Summary and Outlook

List of Abbreviations

List of Figures

List of Tables

About the Editors

List of Contributors

Index

Notes:

Description based on print version record.

Includes index.

ISBN:

9783110644951

3110644959

9783110647907

3110647907

OCLC:

1252417492