by Dimitris N. Chorafas
|
| List Price: | $75.95 |
| Amazon Price: | $66.00 & eligible for FREE Super Saver Shipping on orders over $25. |
| You Save: | $9.95 (13%) |
| Average Rating: |  |
| Lowest New Price: | $61.37 |
| Availablitiy: | Usually ships in 24 hours |
|
 |
|
Product Description
The Consultative paper issued by the Basel Committee on Banking Supervision (Basel II) cites the failure of bankers to adequately stress test exposures as a major reason for bad loans. Sample quotes from this crucial document:
* "Banks should take into consideration potential future changes in economic conditions when assessing individual credits and their credit portfolios, and should assess their credit risk exposures under stressful conditions."
* "The recent disturbances in Asia and Russia illustrate how close linkages among emerging markets under stress conditions and previously undetected correlations between market and credit risks, as well as between those risks and liquidity risk, can produce widespread losses."
* "Effective stress testing which takes account of business or product cycle effects is one approach to incorporating into credit decisions a fuller understanding of a borrower's credit risk."
Written for professionals in financial services with responsibility for IT and risk measurement, management, and modeling, Dimitris Chorafas explains in clear language the testing methodology necessary for risk control to meet Basel II requirements. Stress testing is the core focus of the book, covering stress analysis and the use of scenarios, models, drills, benchmarking, backtesting, and post-mortems, creditworthiness, wrong way risk and statistical inference, probability of default, loss given default and exposure at default, stress testing expected losses, correlation coefficients, and unexpected losses, stress testing related to market discipline and control action, and pillars 2 and 3 of Basel II.
* Written in clear, straightforward style with numerous practical examples
* Based on five years of development and research
* Focuses on stress probability of default, stress loss given default, stsress exposure at default
Customers who bought this item also bought
Average Customer Review:
6 of 7 people found the following review helpful:
so sad....., 2007-08-10
While reading this book you just can't believe how horrible it is. After almost finishing it (I couldn't) you close it and then ask yourself what was this....you have some recollection that the book started with some topic on Basel II but then what happened you just don't know. All in all there is no substance in this book. I bought this book expecting quite a lot especially on the techniques and methods. Instead what you get is pure BS and that is putting it lightly. The author goes on and on (quite often repetitive) on how some things are connected, structured and that they should actually be measured and stress testing should be performed. No kidding!!! But then how you should do this technically there is absolutely nothing.
I just can't imagine this to be a book that someone serious in risk management or in Basel II would take on and it would be of some use.
Overall, this book is like a really bad movie...you simply leave the theater.
Price is accurate as of the date/time indicated. Prices and product availability are subject to change. Any price displayed on the Amazon website at the time of purchase will govern the sale of this product.
|
Store Categories
|