Download the fantastic book titled From Stress to Costress written by Mr.Rodolfo Maino, available in its entirety in both PDF and EPUB formats for online reading. This page includes a concise summary, a preview of the book cover, and detailed information about "From Stress to Costress", which was released on 01 February 2012. We suggest perusing the summary before initiating your download. This book is a top selection for enthusiasts of the Business & Economics genre.
Summary of From Stress to Costress by Mr.Rodolfo Maino PDF
This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk comovement among banks in the system. The main contribution of this paper is to advance a simple framework to integrate systemic risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which uses analytical techniques—similar to those applied in the insurance industry - to estimate banks’ credit portfolio loss distributions, making no assumptions about the cause of default.
Detail About From Stress to Costress PDF
- Author : Mr.Rodolfo Maino
- Publisher : International Monetary Fund
- Genre : Business & Economics
- Total Pages : 61 pages
- ISBN : 1475576560
- Release Date : 01 February 2012
- PDF File Size : 21,6 Mb
- Language : English
- Rating : 4/5 from 21 reviews
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