Handbook of Financial Stress Testing

Herausgeber: Farmer, J. Doyne; Schuermann, Til; Kleinnijenhuis, Alissa M.

• Gebundenes Buch

Produktbeschreibung

Discover current uses and future development of stress tests, the most innovative regulatory tool to prevent and fight financial crises.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 728
• Erscheinungstermin: 6. Juli 2022
• Englisch
• Abmessung: 260mm x 183mm x 43mm
• Gewicht: 1540g
• ISBN-13: 9781108830737
• ISBN-10: 1108830730
• Artikelnr.: 62600917

Inhaltsangabe

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, Jérôme 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, Jérôme Henry and Dawid ¿ochowski; 28. A complex systems
perspective on macroprudential regulation Stefan Thurner; 29. Stress
testing a central bank's own balance sheet Nathanaël 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.