£145.00

Risk Books Firm-wide Stress Testing and Economic Capital

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Description

Firm-wide Stress Testing and Economic Capital presents a common framework for economic capital and firm-wide stress testing modelling across all risk types. The book will provide clear insights on integrated risk models and their use in strategic decision making. Book description Readers will understand how to construct and connect economic capital and firm-wide stress testing models and what considerations and assumptions are required. They will also learn how to recognize and utilise the connections between liquidity, capital and strategy. Ahraz Sheikh (an independent consultant with over 19 years' experience in quantitative risk modelling) establishes a framework that will close the gap between stress testing and economic capital modelling - meaning risk personnel will undertake their modelling work in a unified, coherent way. Chapters cover: - Regulatory Perspectives - Balance Sheet Projection - Business Risk and Interest Rate Risk - Modelling - Asset Side Modelling - Liability Side Modelling - Market Risk Modelling - Credit and Counterparty Credit Risk - Modelling - Operational Risk Modelling - Integrated Balance Sheet and Liquidity - Risk Modelling - Risk Appetite and Strategy

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
31 January 2018
Listed Since
04 July 2018

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No barcode data available

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