Banking Systems Simulation : (Record no. 124573)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04541nam a22004693i 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC4826413 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240729131146.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240724s2017 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119195900 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781119195894 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC4826413 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL4826413 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaPaEBR)ebr11364084 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaONFJC)MIL1002107 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)979242932 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG1615.C667 2017 |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.10681 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Zedda, Stefano. |
| 245 10 - TITLE STATEMENT | |
| Title | Banking Systems Simulation : |
| Remainder of title | Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Newark : |
| Name of producer, publisher, distributor, manufacturer | John Wiley & Sons, Incorporated, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2017. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2017. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (265 pages) |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley Series in Modeling and Simulation Series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Banking Systems Simulation -- Contents -- Foreword -- Introduction -- 1: Banking Risk -- 1.1 Single Bank Risk -- 1.2 The Basel Committee on Banking Supervision Approach to Regulation -- 1.2.1 The Basel I Framework -- 1.2.2 The Basel II Framework -- 1.2.3 Credit Counterparty Risk -- 1.2.4 Market Risk -- 1.2.5 Operational Risk -- 1.2.6 Basel III -- 1.3 Banking Risk Modeling and Stress Testing -- 1.4 Contagion -- 1.5 System Modeling -- 2: Simulation Models -- 2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks -- 2.2 Simulating Shocks: Stress Testing -- 2.3 Simulating Shocks: Systematic Common Shocks -- 2.4 Simulating Shocks: Common Shocks -- 2.4.1 The Monte Carlo Method -- 2.4.2 Monte Carlo-Based Simulation Models -- 2.5 Estimation of Losses Variability and Assets Riskiness -- 2.5.1 Sector-Historical Approach -- 2.5.2 Market Values-Based Approach -- 2.5.3 Capital Requirements-Based Approach -- 2.5.4 Ratings-Based Approach -- 2.5.5 CAMELS-Z-Score Approach -- 2.6 Simulating Shocks: Correlated Risk Factors -- 2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks -- 2.8 Correlation -- 2.9 The Interbank Matrix -- 2.9.1 Interbank Matrix Estimation -- 2.9.2 Robustness Checks on the Maximum Entropy Hypothesis -- 2.10 Loss Given Default -- 2.10.1 Constant LGD -- 2.10.2 Stochastic LGD -- 2.10.3 Endogenous LGD -- 2.11 Interbank Losses Attribution -- 2.12 Contagion Simulation Methods -- 2.13 Data and Applied Problems -- 3: Real Economy, Sovereign Risk, and Banking Systems Linkages -- 3.1 Effects of Bank Riskiness on Sovereign Risk -- 3.2 Effects of Sovereign Risk on Bank Riskiness -- 3.3 Linkages to the Real Economy -- 3.4 Modeling -- 3.4.1 Banks -- 3.4.2 Public Finances -- 3.5 Implementation -- 3.5.1 Public Finances -- 3.5.2 Banks -- 4: Applications -- 4.1 Testing for Banks-Public Finances Contagion Risk. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 4.2 Banking Systems Regulation What-If Tests -- 4.3 Banks' Minimum Capital Requirements: Cost-Benefit Analysis -- 4.3.1 Costs -- 4.3.2 Benefits -- 4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning -- 4.4.1 DGS -- 4.4.2 Resolution Funds -- 4.5 Computing Capital Coverage from Assets PD and Bank PD -- 4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD -- 4.7 Risk Contributions and SiFis -- 4.7.1 Value at Risk (VaR) -- 4.7.2 Expected Shortfall (ES) -- 4.7.3 Conditional Value at Risk (CoVaR) -- 4.7.4 Marginal Expected Shortfall (MES) -- 4.7.5 Shapley Values -- 4.7.6 The Leave-One-Out Approach -- 4.7.7 Starting and Fueling Contagion: Risk Contribution Roles -- 4.8 The Regulator's Dilemma -- Appendix: Software References and Tools -- References -- Index -- End User License Agreement. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) | |
| Local note | Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Banks and banking--Risk management. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Zedda, Stefano |
| Title | Banking Systems Simulation |
| Place, publisher, and date of publication | Newark : John Wiley & Sons, Incorporated,c2017 |
| International Standard Book Number | 9781119195894 |
| 797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN) | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley Series in Modeling and Simulation Series |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4826413">https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4826413</a> |
| Public note | Click to View |
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