| Description |
1 online resource (265 pages) |
| Contents |
Banking Systems Simulation; Contents; Foreword; Introduction; 1: Banking Risk; 1.1 Single Bank Risk; 1.2 The Basel Committee on Banking Supervision Approach to Regulation; 1.2.1 The Basel I Framework; 1.2.2 The Basel II Framework; 1.2.3 Credit Counterparty Risk; 1.2.4 Market Risk; 1.2.5 Operational Risk; 1.2.6 Basel III; 1.3 Banking Risk Modeling and Stress Testing; 1.4 Contagion; 1.5 System Modeling; 2: Simulation Models; 2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks; 2.2 Simulating Shocks: Stress Testing |
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2.3 Simulating Shocks: Systematic Common Shocks2.4 Simulating Shocks: Common Shocks; 2.4.1 The Monte Carlo Method; 2.4.2 Monte Carlo-Based Simulation Models; 2.5 Estimation of Losses Variability and Assets Riskiness; 2.5.1 Sector-Historical Approach; 2.5.2 Market Values-Based Approach; 2.5.3 Capital Requirements-Based Approach; 2.5.4 Ratings-Based Approach; 2.5.5 CAMELS-Z-Score Approach; 2.6 Simulating Shocks: Correlated Risk Factors; 2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks; 2.8 Correlation; 2.9 The Interbank Matrix; 2.9.1 Interbank Matrix Estimation |
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2.9.2 Robustness Checks on the Maximum Entropy Hypothesis2.10 Loss Given Default; 2.10.1 Constant LGD; 2.10.2 Stochastic LGD; 2.10.3 Endogenous LGD; 2.11 Interbank Losses Attribution; 2.12 Contagion Simulation Methods; 2.13 Data and Applied Problems; 3: Real Economy, Sovereign Risk, and Banking Systems Linkages; 3.1 Effects of Bank Riskiness on Sovereign Risk; 3.2 Effects of Sovereign Risk on Bank Riskiness; 3.3 Linkages to the Real Economy; 3.4 Modeling; 3.4.1 Banks; 3.4.2 Public Finances; 3.5 Implementation; 3.5.1 Public Finances; 3.5.2 Banks; 4: Applications |
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4.1 Testing for Banks-Public Finances Contagion Risk4.2 Banking Systems Regulation What-If Tests; 4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis; 4.3.1 Costs; 4.3.2 Benefits; 4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning; 4.4.1 DGS; 4.4.2 Resolution Funds; 4.5 Computing Capital Coverage from Assets PD and Bank PD; 4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD; 4.7 Risk Contributions and SiFis; 4.7.1 Value at Risk (VaR); 4.7.2 Expected Shortfall (ES); 4.7.3 Conditional Value at Risk (CoVaR) |
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4.7.4 Marginal Expected Shortfall (MES)4.7.5 Shapley Values; 4.7.6 The Leave-One-Out Approach; 4.7.7 Starting and Fueling Contagion: Risk Contribution Roles; 4.8 The Regulator's Dilemma; Appendix: Software References and Tools; References; Index; End User License Agreement |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Banks and banking -- Risk management
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Risk management -- Computer simulation
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Banks and banking -- State supervision.
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Banks and banking -- State supervision
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Risk management -- Computer simulation
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| Form |
Electronic book
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| Author |
Campolongo, Francesca
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Cariboni, Jessica J
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Pagano, Andrea
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Petracco, Marco
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Cannas, Giuseppina
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Di Girolamo, Francesca
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Galliani, Clara
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| ISBN |
9781119195900 |
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111919590X |
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