Reverse Stress Testing in Banking : : A Comprehensive Guide / / ed. by Michael Eichhorn, Tiziano Bellini, Daniel Mayenberger.

• Superior document: Title is part of eBook package: De Gruyter DG Ebook Package English 2021
• MitwirkendeR: Ahmad, Nasir,; Albanese, Claudio,; Almehed, Daniel,; Bellini, Tiziano,; Bouayoun, Assad,; Caccioli, Fabio,; Charmaille, Jean-Pierre,; Cotoi, Iulian,; Crépey, Stéphane,; Danielsson, Jon,; Dash, Sidhartha,; Davies, Brandon,; Dengler, Heike,; Eichhorn, Michael,; Fouché, Morgane,; Gann, Philipp,; Henry, Jérôme,; Iabichino, Stefano,; Ivantsov, Evgueni,; Kolev, Magdalena,; Lodha, Meha,; Macrae, Robert,; Mammola, Paolo,; Mangold, Philippe,; Mayenberger, Daniel,; Mirzai, Bahram,; Nawani, Ashutosh,; Pfoh, Torsten,; Romano, Aaron,; Shin, Hyun Song,; Stamicar, Robert,; Steiner, Thomas,; Uthemann, Andreas,; Valenzuela, Marcela,; Wälder, Konrad,; Wälder, Olga,; Zer, Ilknur,; Zigrand, Jean-Pierre,
• HerausgeberIn: Bellini, Tiziano,; Eichhorn, Michael,; Mayenberger, Daniel,
• Place / Publishing House: Berlin ;, Boston : : De Gruyter, , [2021]; ©2021
• Year of Publication: 2021
• Language: English
• Series: The Moorad Choudhry Global Banking Series ,
• Physical Description: 1 online resource (XIII, 570 p.)

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...

Table of Contents

• Frontmatter
• Advance Praise for Reverse Stress Testing in Banking
• Acknowledgements
• Foreword
• Contents
• Part I: Fundamentals of Reverse Stress Testing
• 1 Reverse Stress Testing: A Versatile Thinking Tool
• 2 Reverse Stress Testing in Banks
• 3 Reverse Stress Testing: An Overview of Regulatory Guidance
• Part II: Quantitative Use Cases
• 4 Quantitative Reverse Stress Testing
• 5 Reverse Stress Testing Asset and Liability Portfolios
• 6 Reverse Liquidity Stress Testing
• 7 Reverse Stress Testing Banking Networks
• 8 Reflections on Macroprudential Reverse Stress Testing
• 9 Reverse Stress Testing: Reliability Analysis
• Part III: Qualitative Use Cases
• 10 Qualitative Reverse Stress Testing
• 11 Reverse Stress Testing with Cognitive Maps
• 12 Reverse Stress Testing with Strategic Management Tools
• 13 Mild Reverse Stress Testing
• Part IV: Application of Artificial Intelligence, Quantum Computing and Technology
• 14 Application of Artificial Intelligence and Big Data to Identify Business Vulnerabilities
• 15 Reverse Stress Testing Using Artificial Intelligence Techniques
• 16 Reverse Stress Testing and Funding Sets
• 17 Capital and Collateral Simulation for Reverse Stress Testing
• 18 Multi-Period Reverse Stress Testing Using Quantum and Simulated Annealing
• 19 Reverse Stress Testing and Technology
• 20 Robust Model Development in Reverse Stress Testing
• 21 The Role of Artificial Intelligence as Central Banker and in the Stability of Markets
• Part V: RST and Its Link to Recovery and Resolution Planning
• 22 Reverse Stress Testing and Recovery and Resolution Planning: An Implementation Perspective
• 23 Reverse Stress Testing and Recovery Planning: A Conceptual Perspective
• Part VI: Governance
• 24 On the Governance of Reverse Stress Testing
• 25 Reverse Stress Testing and Recent Research
• 26 Reverse Stress Testing and Tail Risk
• 27 Summary and Outlook
• List of Abbreviations
• List of Figures
• List of Tables
• About the Editors
• List of Contributors
• Index