Reverse Stress Testing in Banking

Published by De Gruyter 2021

Reverse Stress Testing in Banking

A Comprehensive Guide

Edited by: Michael Eichhorn , Tiziano Bellini and Daniel Mayenberger

In the series The Moorad Choudhry Global Banking Series

https://doi.org/10.1515/9783110647907

Overview
Contents

About this book

Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process.

Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of:

Regulatory requirements and ways to address them

Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system

The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses

Opportunities to co-integrate reverse stress testing with recovery and resolution planning

Governance and processes for board members and C-suite executives

Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

Author information

M. Eichhorn, Managing Director, Credit Suisse; T. Bellini, Director, Blackrock; D. Mayenberger, trading, banking and investment expert

Topics

Frontmatter Publicly Available Download PDF	I
Advance Praise for Reverse Stress Testing in Banking Publicly Available Download PDF	V
Acknowledgements Publicly Available Download PDF	VII
Foreword Publicly Available Download PDF	IX
Contents Publicly Available Download PDF	XI
Part I: Fundamentals of Reverse Stress Testing
1 Reverse Stress Testing: A Versatile Thinking Tool Michael Eichhorn, Tiziano Bellini and Daniel Mayenberger Requires Authentication Unlicensed Licensed Download PDF	1
2 Reverse Stress Testing in Banks Philipp Gann Requires Authentication Unlicensed Licensed Download PDF	17
3 Reverse Stress Testing: An Overview of Regulatory Guidance Michael Eichhorn and Aaron Romano Requires Authentication Unlicensed Licensed Download PDF	55
Part II: Quantitative Use Cases
4 Quantitative Reverse Stress Testing Tiziano Bellini Requires Authentication Unlicensed Licensed Download PDF	99
5 Reverse Stress Testing Asset and Liability Portfolios Bahram Mirzai Requires Authentication Unlicensed Licensed Download PDF	121
6 Reverse Liquidity Stress Testing Daniel Almehed, Torsten Pfoh and Thomas Steiner Requires Authentication Unlicensed Licensed Download PDF	149
7 Reverse Stress Testing Banking Networks Fabio Caccioli Requires Authentication Unlicensed Licensed Download PDF	161
8 Reflections on Macroprudential Reverse Stress Testing Jérôme Henry Requires Authentication Unlicensed Licensed Download PDF	177
9 Reverse Stress Testing: Reliability Analysis Konrad Wälder and Olga Wälder Requires Authentication Unlicensed Licensed Download PDF	203
Part III: Qualitative Use Cases
10 Qualitative Reverse Stress Testing Michael Eichhorn and Philippe Mangold Requires Authentication Unlicensed Licensed Download PDF	221
11 Reverse Stress Testing with Cognitive Maps Jean-Pierre Charmaille Requires Authentication Unlicensed Licensed Download PDF	249
12 Reverse Stress Testing with Strategic Management Tools Magdalena Kolev Requires Authentication Unlicensed Licensed Download PDF	269
13 Mild Reverse Stress Testing Meha Lodha and Michael Eichhorn Requires Authentication Unlicensed Licensed Download PDF	291
Part IV: Application of Artificial Intelligence, Quantum Computing and Technology
14 Application of Artificial Intelligence and Big Data to Identify Business Vulnerabilities Daniel Mayenberger Requires Authentication Unlicensed Licensed Download PDF	307
15 Reverse Stress Testing Using Artificial Intelligence Techniques Iulian Cotoi and Robert Stamicar Requires Authentication Unlicensed Licensed Download PDF	321
16 Reverse Stress Testing and Funding Sets Claudio Albanese, Stefano Iabichino, Paolo Mammola and Ashutosh Nawani Requires Authentication Unlicensed Licensed Download PDF	341
17 Capital and Collateral Simulation for Reverse Stress Testing Claudio Albanese, Stéphane Crépey and Stefano Iabichino Requires Authentication Unlicensed Licensed Download PDF	349
18 Multi-Period Reverse Stress Testing Using Quantum and Simulated Annealing Assad Bouayoun Requires Authentication Unlicensed Licensed Download PDF	361
19 Reverse Stress Testing and Technology Sidhartha Dash Requires Authentication Unlicensed Licensed Download PDF	383
20 Robust Model Development in Reverse Stress Testing Daniel Mayenberger Requires Authentication Unlicensed Licensed Download PDF	399
21 The Role of Artificial Intelligence as Central Banker and in the Stability of Markets Jon Danielsson, Robert Macrae and Andreas Uthemann Requires Authentication Unlicensed Licensed Download PDF	417
Part V: RST and Its Link to Recovery and Resolution Planning
22 Reverse Stress Testing and Recovery and Resolution Planning: An Implementation Perspective Nasir Ahmad Requires Authentication Unlicensed Licensed Download PDF	429
23 Reverse Stress Testing and Recovery Planning: A Conceptual Perspective Heike Dengler Requires Authentication Unlicensed Licensed Download PDF	457
Part VI: Governance
24 On the Governance of Reverse Stress Testing Brandon Davies Requires Authentication Unlicensed Licensed Download PDF	485
25 Reverse Stress Testing and Recent Research Jon Danielsson, Marcela Valenzuela, Ilknur Zer, Robert Macrae, Morgane Fouché, Hyun Song Shin and Jean-Pierre Zigrand Requires Authentication Unlicensed Licensed Download PDF	495
26 Reverse Stress Testing and Tail Risk Evgueni Ivantsov Requires Authentication Unlicensed Licensed Download PDF	519
27 Summary and Outlook Michael Eichhorn, Tiziano Bellini and Daniel Mayenberger Requires Authentication Unlicensed Licensed Download PDF	537
List of Abbreviations Requires Authentication Unlicensed Licensed Download PDF	551
List of Figures Requires Authentication Unlicensed Licensed Download PDF	553
List of Tables Requires Authentication Unlicensed Licensed Download PDF	559
About the Editors Requires Authentication Unlicensed Licensed Download PDF	561
List of Contributors Requires Authentication Unlicensed Licensed Download PDF	563
Index Requires Authentication Unlicensed Licensed Download PDF	569

(Deutsch)

Language: English
Publisher: De Gruyter
Audience: Financial risk managers, Auditors, Treasury professionals, Compliance managers, Finance and banking executives.
Pages
- Front matter: 13
- Main content: 570
Illustrations
- Illustrations: 20
- Coloured Illustrations: 128
- Tables: 40
Keywords: Reverse Stress Testing; Integrated Stress Testing; Regulators

eBook

Published: May 10, 2021
ISBN: 9783110647907

Hardcover

Published: May 10, 2021
ISBN: 9783110644821