Integrated Stress Testing for Financial Institutions

Pillar II of ICAAP requires that banks carry out stress testing. This book discusses how to approach those requirements. It gives an overview of current state-of-the-art techniques and possible extension and solutions in particular on an integrated level.

LUDGER OVERBECK is Professor of Mathematics and Its Application at Univeristy of Giessen, Germany.  He was formerly Head of Quantitative Credit Portfolio Management at Commerzbank in Frankfurt, Germany and London, UK; Head of Portfolio Analytics and Pricing at ACPM, HVB, Munich, Germany and has consulted for major international banks including Worldbank in Washington and Bank for International Settlement, Basel, Switzerland. He has co-authored Introduction to Credit Risk Modeling and Structured Credit Portfolio Analysis, Baskets and CDOs. 

GERRIT JAN VAN DEN BRINK is Managing Director of ValueData7 GmbH and partner with Finecs Business Consulting GmbH. He is a member of various associations and author of books and articles on operational risk, corporate governance and operations management and lecturer on operational risk at the J.W. Goethe-University and Hochschule für Bankwirtschaft and at the Nyenrode University in the Netherlands. He is author of Banking/Trading Operations Management and Operational Risk: The New Challenge For Banks.