Banking systems simulation : theory, practice, and application of modeling shocks, losses, and contagion

Banking Systems Simulation -- Contents -- Foreword -- Introduction -- 1: Banking Risk -- 1.1 Single Bank Risk -- 1.2 The Basel Committee on Banking Supervision Approach to Regulation -- 1.2.1 The Basel I Framework -- 1.2.2 The Basel II Framework -- 1.2.3 Credit Counterparty Risk -- 1.2.4 Market Risk -- 1.2.5 Operational Risk -- 1.2.6 Basel III -- 1.3 Banking Risk Modeling and Stress Testing -- 1.4 Contagion -- 1.5 System Modeling -- 2: Simulation Models -- 2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks -- 2.2 Simulating Shocks: Stress Testing -- 2.3 Simulating Shocks: Systematic Common Shocks -- 2.4 Simulating Shocks: Common Shocks -- 2.4.1 The Monte Carlo Method -- 2.4.2 Monte Carlo-Based Simulation Models -- 2.5 Estimation of Losses Variability and Assets Riskiness -- 2.5.1 Sector-Historical Approach -- 2.5.2 Market Values-Based Approach -- 2.5.3 Capital Requirements-Based Approach -- 2.5.4 Ratings-Based Approach -- 2.5.5 CAMELS-Z-Score Approach -- 2.6 Simulating Shocks: Correlated Risk Factors -- 2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks -- 2.8 Correlation -- 2.9 The Interbank Matrix -- 2.9.1 Interbank Matrix Estimation -- 2.9.2 Robustness Checks on the Maximum Entropy Hypothesis -- 2.10 Loss Given Default -- 2.10.1 Constant LGD -- 2.10.2 Stochastic LGD -- 2.10.3 Endogenous LGD -- 2.11 Interbank Losses Attribution -- 2.12 Contagion Simulation Methods -- 2.13 Data and Applied Problems -- 3: Real Economy, Sovereign Risk, and Banking Systems Linkages -- 3.1 Effects of Bank Riskiness on Sovereign Risk -- 3.2 Effects of Sovereign Risk on Bank Riskiness -- 3.3 Linkages to the Real Economy -- 3.4 Modeling -- 3.4.1 Banks -- 3.4.2 Public Finances -- 3.5 Implementation -- 3.5.1 Public Finances -- 3.5.2 Banks -- 4: Applications -- 4.1 Testing for Banks-Public Finances Contagion Risk.