Reverse stress testing in banking
a comprehensive guide
- ISBN: 9783110644821
- Editorial: Walter de Gruyter & Co.
- Fecha de la edición: 2021
- Lugar de la edición: Berlin. Alemania
- Colección: The Moorad Choudhry Global Banking Series
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 570
- Idiomas: Inglés
Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process.
Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of:
Regulatory requirements and ways to address them
Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system
The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses
Opportunities to co-integrate reverse stress testing with recovery and resolution planning
Governance and processes for board members and C-suite executives
Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.
PART I: FUNDAMENTALS OF REVERSE STRESS TESTING
1 Reverse Stress Testing: A Versatile Thinking Tool
Michael Eichhorn, Tiziano Bellini and Daniel Mayenberger
2 Reverse Stress Testing in Banks
Philipp Gann
3 Reverse Stress Testing: An Overview of Regulatory Guidance
Michael Eichhorn and Aaron Romano
PART II: QUANTITATIVE USE CASES
4 Quantitative Reverse Stress Testing
Tiziano Bellini
5 Reverse Stress Testing Asset and Liability Portfolios
Bahram Mirzai
6 Reverse Liquidity Stress Testing
Daniel Almehed, Torsten Pfoh and Thomas Steiner
7 Reverse Stress Testing Banking Networks
Fabio Caccioli
8 Reflections on Macroprudential Reverse Stress Testing
Jérôme Henry
9 Reverse Stress Testing: Reliability Analysis
Konrad Wälder and Olga Wälder
PART III: QUALITATIVE USE CASES
10 Qualitative Reverse Stress Testing
Michael Eichhorn and Philippe Mangold
11 Reverse Stress Testing with Cognitive Maps
Jean-Pierre Charmaille
12 Reverse Stress Testing with Strategic Management Tools
Magdalena Kolev
13 Mild Reverse Stress Testing
Meha Lodha and Michael Eichhorn
PART IV: APPLICATION OF ARTIFICIAL INTELLIGENCE, QUANTUM COMPUTING AND TECHNOLOGY
14 Application of Artificial Intelligence and Big Data to Identify Business Vulnerabilities
Daniel Mayenberger
15 Reverse Stress Testing Using Artificial Intelligence Techniques
Iulian Cotoi and Robert Stamicar
16 Reverse Stress Testing and Funding Sets
17 Capital and Collateral Simulation for Reverse Stress Testing
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
18 Multi-Period Reverse Stress Testing Using Quantum and Simulated Annealing
Assad Bouayoun
19 Reverse Stress Testing and Technology
Sidhartha Dash
20 Robust Model Development in Reverse Stress Testing
Daniel Mayenberger
21 The Role of Artificial Intelligence as Central Banker and in the Stability of Markets
Jon Danielsson, Robert Macrae and Andreas Uthemann
PART V: RST AND ITS LINK TO RECOVERY AND RESOLUTION PLANNING
22 Reverse Stress Testing and Recovery and Resolution Planning: An Implementation Perspective
Nasir Ahmad
23 Reverse Stress Testing and Recovery Planning: A Conceptual Perspective
Heike Dengler
PART VI: GOVERNANCE
24 On the Governance of Reverse Stress Testing
Brandon Davies
25 Reverse Stress Testing and Recent Research
Jon Danielsson, Marcela Valenzuela, Ilknur Zer, Robert Macrae, Morgane Fouché, Hyun Song Shin and Jean-Pierre Zigrand
26 Reverse Stress Testing and Tail Risk
Evgueni Ivantsov
27 Summary and Outlook
Michael Eichhorn, Tiziano Bellini and Daniel Mayenberger
