Stress Testing (2nd Edition)

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A financial institution's repertoire of tools has to be broad and dynamic in the post-crisis era. Stress testing has come a long way since the first edition, thinking has changed d ramatically, and so the second edition of Stress Testing: Approaches, Methods and Applications has added chapters that address these refinements in thinking and deals with new topics such as pre-position net revenue. The authoritative guide and reference tool for stress testing, this book is essential for risk managers, regulators and consultants who want a clearer understanding of the methods, tools and uses of stress testing in different risk areas. Described as an industry in itself, stress testing constitutes an extensive element of financial institutions risk management and capital-adequacy assessments. Definitions of what constitutes stress testing and how stress testing should be used had been hard to pin down meaning it can be hard to benchmark one's own firm in this area. There is now a dearth of published information on stress testing approaches and it can be a time-consuming process working out which approach is best for your firm, often resulting in banks hiring expensive management consultants. The aim of this book is to help CROs, CFOs or those working in the treasury space to figure out which approach will be most appropriate. Offering insights and guidelines that expound the various approaches and highlights those most appropriate with regard to the guidance. Editors Akhtar Siddique (Office of the Comptroller of Currency) and Iftekhar Hasan (Fordham University) have recruited David Lynch of the Federal Reserve Board as a third editor and assembled contributions from key figures directly involved in the measurement, regulation and application of these new stress testing practices. Brand new chapters cover: Stress-testing Applications of Machine-learning Models by Jorge Chan-Lau An Alternative Approach to Stress Testing a Bank's Trading Book by Sean Campbell, Amy Lorenc & Pawel J. Szerszen The Asset Market Effects of Bank Stress-test Disclosures by Li Gu, Ke Wang & Jin Wu Stress Test Modeling for Loan Losses and Reserves by Mike Carhill & Jonathan Jones The authoritative guide and reference tool for stress testing, this book is essential for risk managers, regulators and consultants who want a clearer understanding of the methods, tools and uses of stress testing in different risk areas. Show more