Stress Testing: A Review of Key Concepts

Martin Cihak ()

Research and Policy Notes from Czech National Bank, Research and Statistics Department

Abstract: The note is a review of the literature on the quantitative methods used to assess the vulnerabilities of financial systems to risks. In particular, the author focuses on the role of system-wide stress testing. He summarizes the recent developments in the literature, highlighting topics relevant for the Czech case. He presents the key concepts relating to systemwide stress tests, overviews the stress tests performed by central banks and international financial institutions, and discusses conceptual issues relating to modeling of individual risk factors.

Keywords: Financial soundness; macroprudential analysis; stress tests. (search for similar items in EconPapers)
JEL-codes: E44 G21 G28 (search for similar items in EconPapers)
Date: 2004-04
New Economics Papers: this item is included in nep-fin, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:cnb:rpnrpn:2004/02

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