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Stress Testing for Risk Control Under Basel II, by Dimitris N. Chorafas
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The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document:
* "Banks should take into consideration potential future changes in economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions."
* "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses."
* "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk."
Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II.
* Written in clear, straightforward style with numerous practical examples
* Based on five years of development and research
* Focuses on stress probability of default, stress loss given default, stsress exposure at default
- Sales Rank: #6554877 in Books
- Published on: 2007-01-03
- Original language: English
- Number of items: 1
- Dimensions: 9.25" h x 6.75" w x 1.00" l, 1.58 pounds
- Binding: Hardcover
- 360 pages
Review
"Whenever I want to know anything about risk management, I turn to Dimitris Chorafas. Chorafas' latest book, STRESS TESTING FOR RISK CONTROL UNDER BASEL II, promises to be the key reference for those interested in the sensitivity analysis of exposure and other sorts of risks that financial services companies not only want to, but MUST model and understand."
-- Christopher L Tucci, Professor of Management of Technology, Chair in Corporate Strategy & Innovation, École Polytechnique Fédérale de Lausanne (EPFL), Switzerland
About the Author
Since 1961, Dr Dimitris N. Chorafas has advised financial institutions and industrial corporations in strategic planning, risk management, computers and communications systems, and internal controls. A graduate of the University of California, Los Angeles, the University of Paris, and the Technical University of Athens, Dr Chorafas has been a Fulbright scholar. Financial institutions which have sought his assistance include the Union Bank of Switzerland, Bank Vontobel, CEDEL, the Bank of Scotland, Credit Agricole, Österreichische Länderbank (Bank Austria), First Austrian Bank, Commerzbank, Dresdner Bank, Mid-Med Bank, Demir Bank, Banca Nazionale dell'Agricoltura, Istituto Bancario Italiano, Credito Commerciale and Banca Provinciale Lombarda. Among multinational corporations Dr Chorafas has worked as consultant to top management, are: General Electric-Bull, Univac, Honeywell, Digital Equipment Corp, Olivetti, Nestlé, Omega, Italcementi, Italmobiliare, AEG-Telefunken, Olympia, Osram, Antar, Pechiney, the American Management Association and host of other client firms in Europe and the United States. Dr Chorafas has served on the faculty of the Catholic University of America and as visiting professor at Washington State University, George Washington University, University of Vermont, University of Florida, and Georgia Institute of Technology. Also, the University of Alberta, Ecole d'Etudes Industrielles de l'Université de Genève, and Technical University of Karlsruhe. More than 6,000 banking, industrial and government executives have participated in his seminars in the United States, England, Germany, other European countries, Asia and Latin America.
Most helpful customer reviews
3 of 3 people found the following review helpful.
Poorly written text on an important topic
By Dr. M. Joseph
From my perspective, this book was a big disappointment. I was expecting a more practical text that would allow someone to pragmatically apply the theory. Instead, we get this strange writing style full of absurd (and often repeated) anecdotes that do not seem to be properly researched and thoughtfully constructed. However there is one positive, this book has actually inspired me to think about writing a book - as I could not imagine writing one as badly as this text. If you feel so inclined, you too could buy this text as an example of how NOT to write a book on a very important topic!
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