Stress-Testing the Banking System

This book analyses the theoretical underpinnings, as well as the practical aspects, of applying stress-testing methodologies.

List of figures; List of tables; List of boxes; List of contributors; Acknowledgements; Foreword Giovanni Carosio; Introduction Mario Quagliariello; Part I. Fundamentals: 1. A framework for assessing financial stability Maurizio Trapanese; 2. Macroeconomic stress-testing: definitions and main components Mario Quagliariello; 3. Macroeconomic stress-testing banks: a survey of methodologies Mathias Drehmann; 4. Scenario design and calibration Takashi Isogai; 5. Risk aggregation and economic capital Vincenzo Tola; 6. Data needs for stress-testing Francesco Cannata and Ulrich Krueger; 7. Use of macro stress tests in policy making Patrizia Baudino; Part II. Applications: 8. Stress-testing credit risk: the Italian experience Sebastiano Laviola, Juri Marcucci and Mario Quagliariello; 9. Stress-testing US banks using economic-value-of-equity models Mike Carhill; 10. A framework for integrating different risks: the interaction between credit and interest rate risk Steffen Sorensen and Marco Stringa; 11. Stress-testing linkages between banks in the Netherlands Iman van Lelyveld, Franka Liedorp and Marc Pröpper; 12. An integrated approach to stress-testing: the Austrian systematic risk monitor Michael Boss, Gerald Krenn, Claus Puhr and Martin Summer; 13. From macro to micro: the French experience on credit risk stress-testing Muriel Tiesset and Clément Martin; 14. Stress-testing in the EU new member states Adam G ogowski; 15. Cross-border macro stress-testing: progress and future challenges at the EU level Olli Castren, John Fell and Nico Valckx; 16. Stress-testing at the IMF Marina Moretti, Stéphanie Stolz and Mark Swinburne; Conclusions Mario Quagliariello; Index.