Overview
- Proposes different solutions to address scenario analysis issues in financial institutions
- Provides tutorials to help readers implement these solutions
- Applies the solutions to stress testing scenarios
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About this book
This book focuses on identifying and explaining the key determinants of scenario analysis in the context of operational risk, stress testing and systemic risk, as well as management and planning. Each chapter presents alternative solutions to perform reliable scenario analysis. The author also provides technical notes and describes applications and key characteristics for each of the solutions. In addition, the book includes a section to help practitioners interpret the results and adjust them to real-life management activities. Methodologies, including those derived from consensus strategies, extreme value theory, Bayesian networks, Neural networks, Fault Trees, frequentist statistics and data mining are introduced in such a way as to make them understandable to readers without a quantitative background. Particular emphasis is given to the added value of the implementation of these methodologies.
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Table of contents (11 chapters)
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Front Matter
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Back Matter
Authors and Affiliations
About the author
Dr. Bertrand Hassani is Global Head of Research and Innovation - Risk Methodology, Grupo Santander, and Associate Researcher Université Paris 1 Panthéon Sorbonne
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Bibliographic Information
Book Title: Scenario Analysis in Risk Management
Book Subtitle: Theory and Practice in Finance
Authors: Bertrand K. Hassani
DOI: https://doi.org/10.1007/978-3-319-25056-4
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer International Publishing Switzerland 2016
Hardcover ISBN: 978-3-319-25054-0Published: 04 November 2016
Softcover ISBN: 978-3-319-79727-4Published: 23 June 2018
eBook ISBN: 978-3-319-25056-4Published: 26 October 2016
Edition Number: 1
Number of Pages: XIII, 162
Number of Illustrations: 14 b/w illustrations, 20 illustrations in colour
Topics: Macroeconomics/Monetary Economics//Financial Economics, Finance, general, Operations Research/Decision Theory, Economic Theory/Quantitative Economics/Mathematical Methods