Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in MATLAB and R)

Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide (in MATLAB and R)

Bellini, Tiziano

Hardcover

AccountingGeneral MathematicsProbability & Statistics

ISBN10: 0128035900
ISBN13: 9780128035900
Publisher: Academic Press
Published: Nov 3 2016
Pages: 316
Weight: 1.40
Height: 0.88 Width: 6.00 Depth: 9.00
Language: English

Stress Testing and Risk Integration in Banks provides a comprehensive view of the 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 resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing.

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