Stress Testing: Approaches, Methods and Applications

Stress testing is a tool that will make You able to reveal vulnerabilities within Your Company and point the way to actions that will reduce them.

It is a key element of response to the financial crisis. Helps to assess the scope of the problems, evaluate the resiliency of large financial firms and provide transparency and assurance to financial market participants and others.

Stress Testing: Approaches, Methods and Applications explores and clarifies the methodology, impetus and functions of stress testing within the context of the latest practices and regulations faced by banks and other financial institutions.

Key chapters include:

• Liquidity Risk: The Case of the Brazilian Banking System
• The Evolution of Stress Testing Counterparty Exposures
• A Framework for Stress Testing Banks’ Corporate Credit Portfolio
• EU-wide Stress Test: The Experience of the EBA

Akhtar Siddique

Akhtar Siddique is the Deputy Director of Enterprise Risk Analysis Division of the Comptroller of the Currency (OCC), Washington, USA where he has worked from 2003. He manages a staff of financial economists who provide technical assistance for examinations of national banks in Pillar 2, operational risk, ALLL, economic capital, enterprise wide stress testing, participate in policy initiatives and conduct independent research. He directly participates in examinations and intra and interagency supervisory and policy initiatives, particularly related to Counterparty Credit Risk, Economic Capital, Valuation Issues, ALLL, Stress Testing and Pillar 2. Akhtar has authored numerous papers published in peer reviewed journals including the Journal of Finance, Review of Financial Studies, Management Science and Journal of Accounting Research. He holds a PhD in finance from Duke University and taught finance at Georgetown University prior to joining the OCC.

Iftekhar Hasan

Iftekhar Hasan is the E. Gerald Corrigan Chair in International Business and Finance at the Schools of Business of Fordham University, New York. His research focus is primarily in the area financial intermediation, capital market and corporate finance. He serves as a scientific advisor of the Bank of Finland and a Research Associate at the Berkley Center of New York University. Iftekhar has held several visiting positions at universities and organisations such as the University of Strasbourg, France; University of Limoges, France; University of Carlos III, Spain; University of Rome-Tor Vergata, Italy; EPFL, Switzerland; National Taiwan University, Taiwan; Academy of Economic Studies, Romania, Stern School of Business, USA, Federal Reserve Bank of Atlanta and International Monetary Fund. He is the managing editor of the Journal of Financial Stability and an associate editor in several other journals. Iftekhar has over 225 publications in print, including 12 books and edited volumes, over 150 peer reviewed journal articles in reputed finance, economics, management, operation research, accounting, and management information system journals. Iftekhar received his PhD from University of Houston and also received an Honorary PhD from the Romanian American University in Bucharest.