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Stress-testing the Banking System
Methodologies and Applications

£113.00

Giovanni Carosio, Mario Quagliariello, Maurizio Trapanese, Mathias Drehmann, Takashi Isogai, Vincenzo Tola, Francesco Cannata, Ulrich Krueger, Patrizia Baudino, Sebastiano Laviola, Juri Marcucci, Mike Carhill, Steffen Sorensen, Marco Stringa, Iman van Lelyveld, Franka Liedorp, Marc Pröpper, Michael Boss, Gerald Krenn, Claus Puhr, Martin Summer, Muriel Tiesset, Clément Martin, Adam Głogowski, Olli Castren, John Fell, Nico Valckx, Marina Moretti, Stéphanie Stolz, Mark Swinburne
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  • Date Published: October 2009
  • availability: Available
  • format: Hardback
  • isbn: 9780521767309

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  • Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.

    • Provides a timely overview of stress-testing practices and methodologies
    • Contains policy discussions of pros and cons of different stress-testing tools
    • Written by an international team of experts from central banks and supervisory authorities
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    Reviews & endorsements

    'This book could not be timelier given the crucial role played by stress tests in many governments' strategies to deal with the current crisis. It is essential reading for central bankers, scholars and practitioners. The editor, Mario Quagliariello, has done an outstanding job in bringing together such a good group of knowledgeable authors. The coverage of the foundations of stress testing, applications and experience with various approaches is excellent.' Franklin Allen, University of Pennsylvania

    'The publication of this volume is a dramatic step forward in crystallising the issues that challenge our understanding of systemic fragility and in assessing the promise of macro-stress testing as a tool for policy makers and supervisors. The daunting nature of the task and the monumental efforts required are made evident in the context of a comprehensive presentation of the state of the art.' Barry Schachter, Moore Capital Management

    'The need to complement risk management models with rigorous and sound stress-testing techniques has been clearly highlighted not only by the New Basel Capital Accord but also by the recent financial crisis. Building on the experience gained by economists from a large number of financial authorities worldwide, this book represents the most comprehensive and well organized collection of methodological and empirical studies on this key subject.' Andrea Sironi, Bocconi University, Milan

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    Product details

    • Date Published: October 2009
    • format: Hardback
    • isbn: 9780521767309
    • length: 354 pages
    • dimensions: 249 x 175 x 25 mm
    • weight: 0.76kg
    • contains: 34 tables
    • availability: Available
  • Table of Contents

    List of figures
    List of tables
    List of boxes
    List of contributors
    Acknowledgements
    Foreword Giovanni Carosio
    Introduction Mario Quagliariello
    Part I. Fundamentals:
    1. A framework for assessing financial stability Maurizio Trapanese
    2. Macroeconomic stress-testing: definitions and main components Mario Quagliariello
    3. Macroeconomic stress-testing banks: a survey of methodologies Mathias Drehmann
    4. Scenario design and calibration Takashi Isogai
    5. Risk aggregation and economic capital Vincenzo Tola
    6. Data needs for stress-testing Francesco Cannata and Ulrich Krueger
    7. Use of macro stress tests in policy making Patrizia Baudino
    Part II. Applications:
    8. Stress-testing credit risk: the Italian experience Sebastiano Laviola, Juri Marcucci and Mario Quagliariello
    9. Stress-testing US banks using economic-value-of-equity models Mike Carhill
    10. A framework for integrating different risks: the interaction between credit and interest rate risk Steffen Sorensen and Marco Stringa
    11. Stress-testing linkages between banks in the Netherlands Iman van Lelyveld, Franka Liedorp and Marc Pröpper
    12. An integrated approach to stress-testing: the Austrian systematic risk monitor Michael Boss, Gerald Krenn, Claus Puhr and Martin Summer
    13. From macro to micro: the French experience on credit risk stress-testing Muriel Tiesset and Clément Martin
    14. Stress-testing in the EU new member states Adam Głogowski
    15. Cross-border macro stress-testing: progress and future challenges at the EU level Olli Castren, John Fell and Nico Valckx
    16. Stress-testing at the IMF Marina Moretti, Stéphanie Stolz and Mark Swinburne
    Conclusions Mario Quagliariello
    Index.

  • Editor

    Mario Quagliariello, European Banking Authority, London
    Mario Quagliariello is Head of the Risk Analysis Unit at the European Banking Authority (EBA). He previously served as a senior economist in the Regulation and Supervisory Policies Department of Banca d'Italia. He has been the representative of Banca d'Italia in a number of international working groups dealing with financial stability issues at the ECB, CEBS, IMF and the Basel Committee for Banking Supervision and has published several articles in international and Italian journals. His interests concern macro-prudential analysis and stress tests, Basel 2 Capital Accord and procyclicality, the economics of financial regulation. He holds a PhD in Economics from the University of York, UK.

    Contributors

    Giovanni Carosio, Mario Quagliariello, Maurizio Trapanese, Mathias Drehmann, Takashi Isogai, Vincenzo Tola, Francesco Cannata, Ulrich Krueger, Patrizia Baudino, Sebastiano Laviola, Juri Marcucci, Mike Carhill, Steffen Sorensen, Marco Stringa, Iman van Lelyveld, Franka Liedorp, Marc Pröpper, Michael Boss, Gerald Krenn, Claus Puhr, Martin Summer, Muriel Tiesset, Clément Martin, Adam Głogowski, Olli Castren, John Fell, Nico Valckx, Marina Moretti, Stéphanie Stolz, Mark Swinburne

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