Handbook of financial stress testing
著者
書誌事項
Handbook of financial stress testing
Cambridge University Press, 2022
- : hardback
大学図書館所蔵 全2件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Other editors: Alissa M. Kleinnijenhuis, Til Schuermann, Thom Wetzer
Includes bibliographical references and index
内容説明・目次
内容説明
Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take center stage. Despite their centrality to public policy, the optimal design and use of stress tests remains highly contested. Written by an international team of leading thinkers from academia, the public sector, and the private sector, this handbook comprehensively surveys and evaluates the state of play and charts the innovations that will determine the path ahead. It is a comprehensive and interdisciplinary resource that bridges theory and practice and places financial stress testing in its wider context. This guide is essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation.
目次
- Foreword Timothy F. Geithner
- 1. Introduction and overview J. Doyne Farmer, Alissa M. Kleinnijenhuis, Til Schuermann and Thom Wetzer
- Part I. History and Objectives: 2. Objectives and challenges of stress testing Richard J. Herring and Til Schuermann
- 3. Fit for purpose? The evolving role of stress testing for financial systems Udaibir Das, Kieran Dent and Miguel Segoviano
- 4. Why banks failed the stress test: A progress report on stress testing ten years on Nicola Anderson, Alex Brazier, Andrew Haldane, Paul Nahai-Williamson and Amar Radia
- Part II. Inputs and Outputs: 5. Macrofinancial stress test scenario design - for banks and beyond Marco Gross, Jerome Henry and Elena Rancoita
- 6. The role of heterogeneity in scenario design for financial stability stress testing Mark D. Flood, Jonathan Jones, Matthew Pritsker and Akhtar Siddique
- 7. Designing coherent scenarios: a practitioner perspective Greg Hopper
- 8. Stress testing with market data Robert Engle
- 9. On market-based approaches to the valuation of capital Natasha Sarin and Lawrence H. Summers
- 10. Granular data offer new opportunities for stress testing Cees Ullersma and Iman van Lelyveld
- 11. Stress tests disclosure: theory, practice, and new perspectives Itay Goldstein and Yaron Leitner
- 12. Stress testing during times of war Kathryn Judge
- Part III. Microprudential Stress Tests: 13. Stress testing for commercial, investment and custody banks Daniel Cope, Carey Hsu, Clinton Lively, James Morgan, Til Schuermann and Evan Sekeris
- 14. Microprudential stress testing for asset managers Jacques Longerstaey
- 15. Stress testing for insurers Brian Peters
- 16. Model risk management in stress testing and capital planning Eduardo Canabarro
- 17. A supervisory perspective on stress testing - The U.S. experience Tim P. Clark
- 18. Strengths and weaknesses of microprudential stress testing for financial institutions Christine M. Cumming
- Part IV. A Macroprudential Perspective on the Financial System: 19. The structure of the financial system: Implications for macro-prudential stress testing Gonzalo Fernandez Dionis and Patricia C. Mosser
- 20. Holistic bank regulation C. A. E. Goodhart
- 21. Leverage and macro prudential policy John Geanakoplos
- 22. Monetary policy and financial stability William B. English
- 23. Stress testing networks: The case of central counterparties Richard B. Berner, Stephen G. Cecchetti and Kermit L. Schoenholtz
- Part V. Macroprudential Stress Tests: 24. Enhancing stress tests by adding macroprudential elements William F. Bassett and David E. Rappoport W.
- 25. Accounting for amplification mechanisms in bank stress test models at the Bank of Canada Grzegorz Halaj and Virginie Traclet
- 26. Stress testing at the IMF Tobias Adrian, James Morsink and Liliana Schumacher
- 27. A comprehensive approach to macroprudential stress testing Anthony Bousquet, Jerome Henry and Dawid Zochowski
- 28. A complex systems perspective on macroprudential regulation Stefan Thurner
- 29. Stress testing a central bank's own balance sheet Nathanael Benjamin, Abigail Haddow and David Jacobs
- Part VI. Concluding Thoughts: The Road Ahead: 30. Stress testing the financial microcosm J. Doyne Farmer, Alissa M. Kleinnijenhuis and Thom Wetzer.
「Nielsen BookData」 より