Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)

Bellini, Tiziano

ISBN 10: 0128035900 / ISBN 13: 9780128035900

Published by Academic Press (edition 1), 2016

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Bibliographic Details

• Title: Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)
• Publisher: Academic Press (edition 1)
• Publication Date: 2016
• Language: English
• ISBN 10: 0128035900
• ISBN 13: 9780128035900
• Binding: Hardcover
• Edition: 1.
• Condition: New

About this title

Synopsis

Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies.

About the Author

Tiziano Bellini received his Ph.D. in Statistics from the Universitą degli Studi di Milano after being visiting Ph.D. student at the London School of Economics. He gained a wide risk management experience across Europe, in London and New York. He currently holds a Senior Management position at EY Financial Advisory Services in London. Previously he worked at HSBC headquarter, Prometeia and for other Italian leading Companies. He is also a guest Lecturer at the London School of Economics. Formerly, he served as Lecturer at the Universitą degli Studi di Bologna and Universitą degli Studi di Parma. He has published in European Journal of Operational Research, Computational Statistics and Data Analysis, and other top-reviewed Journals. He has given numerous training courses, seminars and conference presentations on statistics, risk management and quantitative methods.