The stylized bank studied step by step throughout the book provided me a new perspective in analyzing a financial institution. I really appreciated how credit risk, finance and econometrics were integrated to show their interactions in a stress testing framework.
Stress Testing and Risk Integration in Banks conjugates holistic formal rigor and high practicality. Its numerous examples worked in Matlab and R qualify the book as unique toolkit both for students approaching risk management as well as practitioners aiming at implementing and enhancing their own software libraries
The book illustrates all the key aspects of stress testing, not only from a business point of view but it also provides insights from the modelling / analytical perspective. There are lots of 'real life' examples which are used to clarify what was presented. I loved the scenario generation section as well as the GVaR example.