Stress-testing the Banking System

Mario Quagliariello is Head of the Risk Analysis Unit at the European Banking Authority (EBA). He previously served as a senior economist in the Regulation and Supervisory Policies Department of Banca d'Italia. He has been the representative of Banca d'Italia in a number of international working groups dealing with financial stability issues at the ECB, CEBS, IMF and the Basel Committee for Banking Supervision and has published several articles in international and Italian journals. His interests concern macro-prudential analysis and stress tests, Basel 2 Capital Accord and procyclicality, the economics of financial regulation. He holds a PhD in Economics from the University of York, UK.

• List of figures; List of tables; List of boxes; List of contributors; Acknowledgements; Foreword Giovanni Carosio; Introduction Mario Quagliariello; Part I. Fundamentals: 1. A framework for assessing financial stability Maurizio Trapanese; 2. Macroeconomic stress-testing: definitions and main components Mario Quagliariello; 3. Macroeconomic stress-testing banks: a survey of methodologies Mathias Drehmann; 4. Scenario design and calibration Takashi Isogai; 5. Risk aggregation and economic capital Vincenzo Tola; 6. Data needs for stress-testing Francesco Cannata and Ulrich Krueger; 7. Use of macro stress tests in policy making Patrizia Baudino; Part II. Applications: 8. Stress-testing credit risk: the Italian experience Sebastiano Laviola, Juri Marcucci and Mario Quagliariello; 9. Stress-testing US banks using economic-value-of-equity models Mike Carhill; 10. A framework for integrating different risks: the interaction between credit and interest rate risk Steffen Sorensen and Marco Stringa; 11. Stress-testing linkages between banks in the Netherlands Iman van Lelyveld, Franka Liedorp and Marc Pröpper; 12. An integrated approach to stress-testing: the Austrian systematic risk monitor Michael Boss, Gerald Krenn, Claus Puhr and Martin Summer; 13. From macro to micro: the French experience on credit risk stress-testing Muriel Tiesset and Clément Martin; 14. Stress-testing in the EU new member states Adam Głogowski; 15. Cross-border macro stress-testing: progress and future challenges at the EU level Olli Castren, John Fell and Nico Valckx; 16. Stress-testing at the IMF Marina Moretti, Stéphanie Stolz and Mark Swinburne; Conclusions Mario Quagliariello; Index.

'This book could not be timelier given the crucial role played by stress tests in many governments' strategies to deal with the current crisis. It is essential reading for central bankers, scholars and practitioners. The editor, Mario Quagliariello, has done an outstanding job in bringing together such a good group of knowledgeable authors. The coverage of the foundations of stress testing, applications and experience with various approaches is excellent.' Franklin Allen, University of Pennsylvania