Stress Testing and Risk Integration in Banks

Stress Testing and Risk Integration in Banks provides a comprehensive view of 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's resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multinational bank prototype is used throughout 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 facilitate readers to develop their own models and methodologies.