Stress Testing and Risk Integration in Banks : A Statistical Framework and Practical Software Guide (in Matlab and R)
Book Details
Format
Hardback or Cased Book
ISBN-10
0128035900
ISBN-13
9780128035900
Publisher
Elsevier Science Publishing Co Inc
Imprint
Academic Press Inc
Country of Manufacture
NL
Country of Publication
GB
Publication Date
Nov 2nd, 2016
Print length
316 Pages
Weight
618 grams
Dimensions
16.50 x 26.70 x 2.10 cms
Product Classification:
Risk assessmentBankingMathematical & statistical software
Ksh 12,800.00
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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.
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