000			04541nam a22004693i 4500
001			EBC4826413
003			MiAaPQ
005			20240729131146.0
006			m o d |
007			cr cnu||||||||
008			240724s2017 xx o ||||0 eng d
020			_a9781119195900 _q(electronic bk.)
020			_z9781119195894
035			_a(MiAaPQ)EBC4826413
035			_a(Au-PeEL)EBL4826413
035			_a(CaPaEBR)ebr11364084
035			_a(CaONFJC)MIL1002107
035			_a(OCoLC)979242932
040			_aMiAaPQ _beng _erda _epn _cMiAaPQ _dMiAaPQ
050		4	_aHG1615.C667 2017
082	0		_a332.10681
100	1		_aZedda, Stefano.
245	1	0	_aBanking Systems Simulation : _bTheory, Practice, and Application of Modeling Shocks, Losses, and Contagion.
250			_a1st ed.
264		1	_aNewark : _bJohn Wiley & Sons, Incorporated, _c2017.
264		4	_c©2017.
300			_a1 online resource (265 pages)
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aWiley Series in Modeling and Simulation Series
505	0		_aBanking 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		_a4.2 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			_aDescription based on publisher supplied metadata and other sources.
590			_aElectronic 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	_aBanks and banking--Risk management.
655		4	_aElectronic books.
776	0	8	_iPrint version: _aZedda, Stefano _tBanking Systems Simulation _dNewark : John Wiley & Sons, Incorporated,c2017 _z9781119195894
797	2		_aProQuest (Firm)
830		0	_aWiley Series in Modeling and Simulation Series
856	4	0	_uhttps://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4826413 _zClick to View
999			_c124573 _d124573