Risk Management Technology In Financial Services

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Chorafas, Dimitris N.

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ISBN:9780750683043
Editorial: Elsevier Science Publishers
Fecha de la edición:2007
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Dimensiones: 0 cm x 0 cm
Nº Pág.:352
Idiomas:Ingles

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/ Sistema Financiero
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Written for professionals in financial services with responsibility for IT and risk management, Dimitris Chorafas surveys the methodology required and IT systems and structures to support it according to Basel II. The book is consistent with the risk management certification process of GARP, as well as the accounting rules of IFRS, based on research the author conducted with IASB. The author provices an in-depth discussion of the types of risk, stress analysis and the use of scenarios, mathematical models, and IT systems and infrastructure requirements

Preface Part 1: Stress testing defined Chp 1 The need for advanced testing methodology Chp 2 Risk and its management Chp 3 The dynamics of stress testing Chp 4 Stress analysis and its tools Chp 5 Worst Case scenarios and drills Chp 6 Technology strategy for advanced testing Part 2: Stress testing probability of default, loss given default and exposure at default Chp 7 Models and procedures for the study of volatility patterns Chp 8 Stress testing creditworthiness Chp 9 Stress probability of default Chp 10 Stress loss given default and stress exposure at default Chp 11 Counterparty credit risk, transfer of credit risk and wrong-way risk Part 3: Expected and unexpected losses Chp 12 Stress testing expected losses Chp 13 Analysing the reasons for unexpected losses Chp 14 Economic capital and algorithms for stress testing unexpected losses Chp 15 Stress testing leveraged and volatile financial assets Chp 16 Advanced testing provides a basis for better governance Index