Stress Testing for Risk Control Under Basel II

Since 1961, Dr Dimitris N. Chorafas has advised financial institutions and industrial corporations in strategic planning, risk management, computers and communications systems, and internal controls. A graduate of the University of California, Los Angeles, the University of Paris, and the Technical University of Athens, Dr Chorafas has been a Fulbright scholar. Financial institutions which have sought his assistance include the Union Bank of Switzerland, Bank Vontobel, CEDEL, the Bank of Scotland, Credit Agricole, Österreichische Länderbank (Bank Austria), First Austrian Bank, Commerzbank, Dresdner Bank, Mid-Med Bank, Demir Bank, Banca Nazionale dell'Agricoltura, Istituto Bancario Italiano, Credito Commerciale and Banca Provinciale Lombarda. Among multinational corporations Dr Chorafas has worked as consultant to top management, are: General Electric-Bull, Univac, Honeywell, Digital Equipment Corp, Olivetti, Nestlé, Omega, Italcementi, Italmobiliare, AEG-Telefunken, Olympia, Osram, Antar, Pechiney, the American Management Association and host of other client firms in Europe and the United States. Dr Chorafas has served on the faculty of the Catholic University of America and as visiting professor at Washington State University, George Washington University, University of Vermont, University of Florida, and Georgia Institute of Technology. Also, the University of Alberta, Ecole d'Etudes Industrielles de l'Université de Genève, and Technical University of Karlsruhe. More than 6,000 banking, industrial and government executives have participated in his seminars in the United States, England, Germany, other European countries, Asia and Latin America.

Part One: Stress testing defined. The need for advanced testing methodology; Risk and its management; The dynamics of stress testing; Stress analysis and its tools; and the use of scenarios; Worse case scenarios and drills; Technology strategy for advanced testing; Part Two: Stress testing probability of default, loss given default and exposure of default. Models and procedures for the study of volatility patterns; Stress testing creditworthiness; Stress probability of default; Stress loss given default and stress exposure at default; Counterparty credit risk, transfer of credit risk and wrong-way risk; Part Three: Expected and unexpected losses. Stress testing expected losses; Stress testing unexpected losses; Economic capital and algorithms for stress testing unexpected losses; Stress testing leveraged and volatile financial assets; Advanced testing provides for better governance; Index