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E-raamat: Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion

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Presents information sources and methodologies for modeling and simulating banking system stability

Combining both academic and institutional knowledge and experience, Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion presents banking system risk modeling clearly within a theoretical framework. Written from the global financial perspective, the book explores single bank risk, common bank exposures, and contagion, and how these apply on a systemic level. Zedda approaches these simulation methods logically by providing the basic building blocks of modeling and simulation, and then delving further into the individual techniques that make up a systems model.

In addition, the author provides clear and detailed explanations of the foundational research into the mathematical and legal concepts used to analyze banking risk problems, measures and data for representing the main banking risk sources, and the major problems researchers are likely to encounter. There are numerous software descriptions throughout, with references and tools to help readers gain a proper understanding of the presented techniques and possibly develop new applications and research. The book concludes with an appendix that features real-world datasets and models.

In addition, this book:

Provides a comprehensive overview of methods for analyzing models and simulating risk for banking and financial systems

Provides a clear presentation of the technical and legal concepts used in banking regulation

Presents unique insights from an experts perspective, with specific coverage of assessing risks and developing what-if analyses at the systems level

Concludes with a discussion of applications, including banking systems regulation what-if tests, cost-benefit analysis, evaluations of banking systems stability effects on public finances, dimensioning, and risk-based contributions for Deposit Guarantee Schemes (DGS) and Resolution Funds

Banking Systems Simulation: Theory, Practice, and Application of Modeling Shocks, Losses, and Contagion is ideal for banking researchers focusing on computational methods of analysis as well as an appropriate reference for graduate-level students in banking, finance, and computational methods.

Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zeddas research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.
Foreword xi
Introduction xv
1 Banking Risk
1(44)
1.1 Single Bank Risk
4(10)
1.2 The Basel Committee on Banking Supervision Approach to Regulation
14(19)
1.2.1 The Basel I Framework
16(2)
1.2.2 The Basel II Framework
18(2)
1.2.3 Credit Counterparty Risk
20(5)
1.2.4 Market Risk
25(3)
1.2.5 Operational Risk
28(2)
1.2.6 Basel III
30(3)
1.3 Banking Risk Modeling and Stress Testing
33(3)
1.4 Contagion
36(5)
1.5 System Modeling
41(4)
2 Simulation Models
45(104)
2.1 Simulating Shocks: Idiosyncratic Shocks, or Exogenous Failure of Individual Banks
49(5)
2.2 Simulating Shocks: Stress Testing
54(2)
2.3 Simulating Shocks: Systematic Common Shocks
56(2)
2.4 Simulating Shocks: Common Shocks
58(12)
2.4.1 The Monte Carlo Method
59(4)
2.4.2 Monte Carlo-Based Simulation Models
63(7)
2.5 Estimation of Losses Variability and Assets Riskiness
70(12)
2.5.1 Sector-Historical Approach
71(1)
2.5.2 Market Values-Based Approach
72(4)
2.5.3 Capital Requirements-Based Approach
76(3)
2.5.4 Ratings-Based Approach
79(1)
2.5.5 CAMELS---Z-Score Approach
80(2)
2.6 Simulating Shocks: Correlated Risk Factors
82(5)
2.7 Simulating Shocks: Combining Idiosyncratic and Common Shocks
87(2)
2.8 Correlation
89(9)
2.9 The Interbank Matrix
98(29)
2.9.1 Interbank Matrix Estimation
110(9)
2.9.2 Robustness Checks on the Maximum Entropy Hypothesis
119(8)
2.10 Loss Given Default
127(5)
2.10.1 Constant LGD
128(1)
2.10.2 Stochastic LGD
129(1)
2.10.3 Endogenous LGD
130(2)
2.11 Interbank Losses Attribution
132(1)
2.12 Contagion Simulation Methods
133(7)
2.13 Data and Applied Problems
140(9)
3 Real Economy, Sovereign Risk, and Banking Systems Linkages
149(14)
3.1 Effects of Bank Riskiness on Sovereign Risk
150(3)
3.2 Effects of Sovereign Risk on Bank Riskiness
153(1)
3.3 Linkages to the Real Economy
154(2)
3.4 Modeling
156(3)
3.4.1 Banks
156(2)
3.4.2 Public Finances
158(1)
3.5 Implementation
159(4)
3.5.1 Public Finances
159(1)
3.5.2 Banks
160(3)
4 Applications
163(42)
4.1 Testing for Banks-Public Finances Contagion Risk
163(1)
4.2 Banking Systems Regulation What-If Tests
164(5)
4.3 Banks' Minimum Capital Requirements: Cost--Benefit Analysis
169(5)
4.3.1 Costs
170(2)
4.3.2 Benefits
172(2)
4.4 Deposits Guarantee Schemes (DGS)/Resolution Funds Dimensioning
174(4)
4.4.1 DGS
174(4)
4.4.2 Resolution Funds
178(1)
4.5 Computing Capital Coverage from Assets PD and Bank PD
178(2)
4.6 Computing Banks Probability to Default from Capital Coverage and Assets PD
180(2)
4.7 Risk Contributions and SiFis
182(20)
4.7.1 Value at Risk (VaR)
183(2)
4.7.2 Expected Shortfall (ES)
185(1)
4.7.3 Conditional Value at Risk (CoVaR)
186(3)
4.7.4 Marginal Expected Shortfall (MES)
189(2)
4.7.5 Shapley Values
191(2)
4.7.6 The Leave-One-Out Approach
193(6)
4.7.7 Starting and Fueling Contagion: Risk Contribution Roles
199(3)
4.8 The Regulator's Dilemma
202(3)
Appendix: Software References and Tools 205(18)
References 223(12)
Index 235
Stefano Zedda is Researcher in Financial Mathematics at the University of Cagliari in Italy and qualified as associate professor in banking and corporate finance. His research is mainly focused on quantitative analyses for banking and finance, with a particular focus on banking systems modeling and simulation. In 2008, Zedda developed the mathematical modeling and software implementation of the Systemic Model for Banking Originated Losses (SYMBOL), further developed during his activity at the European Commission. The Commission subsequently adopted it as a standard tool for testing banking regulation proposals. Stefano Zedda's research interests include banking, financial mathematics, and statistics, specifically simulation of banking and financial systems stability, banking regulation impact assessment, and interactive agent simulation.
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