Regulatory Stress Tests, Capital Ratios, and the Future of CCAR
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Stress testing
Firmwide Scenario Models: Silo vs Integrated Stress Testing
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Market Risk, VaR, Stress Testing, and Chase Manhattan's Playbook
Book: Enterprise Risk Management: From Incentives to Controls
Author: James Lam
ISBN: 978-1-118-41361-6
What Counts as Market Risk?
Market risk is the chance you lose money when prices or rates move against you. Every company has some version of it. Banks face interest rate mismatches and trading books. Multinationals face FX when overseas cash does not match home currency needs. Energy firms feel input and output price gaps. Even pension shortfalls are market risk in disguise. GM still carried a $109 billion pension gap years after its 2009 restructuring. Ford later announced an $18.7 billion shortfall.
Scenario Analysis and Stress Testing
Financial Risk Management by Jimmy Skoglund and Wei Chen (ISBN 978-1-119-13551-7)
VaR looks backward. Stress testing looks forward. Skoglund and Chen treat them as partners, not rivals, and lay out a four-part program every serious market risk desk should recognize.
FRM Handbook Ch 12: Introduction to Risk Models
Book: Financial Risk Manager Handbook Plus Test Bank | Author: Philippe Jorion | ISBN: 978-0-470-90401-5
Previous: FRM Handbook Ch 11: Equity, Currency, and Commodity Markets | Next: FRM Handbook Ch 13: Managing Linear Risk