Eichhorn / Bellini / Mayenberger Stress Testing in Banking

A Comprehensive Guide
1. Auflage 2021
ISBN: 978-3-11-064495-1
Verlag: De Gruyter
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 583 Seiten

Reihe: The Moorad Choudhry Global Banking Series

The objective of reverse stress tests is usually to identify and analyze the robustness and viability of business models. They are used to examine scenarios in which the business model is no longer viable and to derive mitigating actions. This book will provide practical guidance on where and how readers can apply the concept. Experts cover both qualitatitive and quantitative approaches on applying reverse stress testing concepts at different levels (e.g. portfolio, individual instutition, banking system) using different tools and ideas. Reverse stress testing is becoming a regulatory requirement for almost all financial organizations across the globe and practitioners are looking for guidance. These case studies by known experts in the field provide an in-depth understanding of four key questions: - What can be learned from regulators?
- What can be learned from users of reverse stress tests?
- What can be learned from institutions whose business model failed?
- What can be learned from experts who work on recovery and resolution planning?
Readers will benefit immensely from the case studies, use cases of practitioners, checklists and frequently asked questions provided in this insightful and pioneering book.

Autoren/Hrsg.

Eichhorn, Michael

Bellini, Tiziano

Mayenberger, Daniel

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft

Inhaltsverzeichnis

FOREWORD BY PROF. MOORAD CHOUDHRY CHAPTER I: What is Reverse Stress Testing (and how does it differ from other risk analytics)? - Definition
- What is it and why to use it
- Overview of reverse stress testing landscape so far (Tiziano Bellini, Michael Eichhorn)
CHAPTER II: How to perform Reverse Stress Testing - A generic process driven approach (Michael Eichhorn, Philippe Mangold)
- Definition of failure points
- Vulnerability analysis
- Scenario design and parameterization
- Plausibility check and management actions
- Monitoring and reporting
CHAPTER III: What are the regulatory requirements? - Regulatory requirements and considerations from a Board of Directors’ perspective (Melanie Eichhorn-Schurig)
- Requirements by regulator and supervisory body (BCBS, EBA, FED, PRA)
- Considerations from Boards’ perspective
CHAPTER IV: What can be learned from past failures? - Why do banks fail? (TBC)
- What went wrong in the 2007-2009 crisis? (Tiziano Bellini)
- Roads to ruin – A study of major risk events (Prof. Chris Parsons, TBC)
CHAPTER V: What can be learned from practical use cases? - Qualitative reverse stress testing
- Case study: Pension Protection Fund (Jean-Pierre Charmille)
- Case study: Moody’s Rating Agency (TBC)
- Case study: Automotive (Grundke, TBC)
- Quantitative reverse stress testing
- Case study: Alpha Bank (Tiziano Bellini)
- Case study: Interbank Networks (Fabio Caccioli)
- Case study: Axioma Inc (Robert Stamicar)
- Case study: EVM Tech (Mirzai, Bahram)
CHAPTER VI: What can be learned from planning work? - Linking Reverse Stress Testing to Risk Appetite and Risk Capacity (Anand Saxena)
- Linking Reverse Stress Testing to Recovery & Resolution Planning (Ahmed Nasir)

Über Autor(innen)

Michael Eichhorn, Managing Director, Credit Suisse; Tiziano Bellini, Director, Blackrock; Daniel Mayenberger, trading, banking and investment expert

Michael Eichhorn, Managing Director, Credit Suisse; Tiziano Bellini, Director, Blackrock