System-wide stress tests: a survey of empirical evidence, concepts, and methodologies

Valentina Michelangeli (), Silvia Sacco (), Valentino Bado (), Valeria De Chiara (), Ginette Eramo (), Francesco Ficarola (), Irene Mavilia (), Claudia Miani (), Ivan Quaglia (), Giuseppe Reale (), Francesco Sciarretta (), Riccardo Scimone () and Laura Sigalotti ()
Additional contact information
Valentina Michelangeli: Bank of Italy
Silvia Sacco: IVASS
Valentino Bado: Bank of Italy
Valeria De Chiara: Bank of Italy
Ginette Eramo: Bank of Italy
Francesco Ficarola: IVASS
Irene Mavilia: Bank of Italy
Claudia Miani: Bank of Italy
Ivan Quaglia: Bank of Italy
Giuseppe Reale: Bank of Italy
Francesco Sciarretta: IVASS
Riccardo Scimone: Bank of Italy
Laura Sigalotti: Bank of Italy

No 1048, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper surveys the rapidly evolving literature on system-wide stress-testing models, with particular emphasis on the interconnections among multiple financial institutions, including both banks and non-bank financial intermediaries. We begin by reviewing the key systemic events that motivate the development of such models. We then describe the network structures that characterize financial interconnections and review the principal modelling approaches, highlighting the most recent methodological advances. We then categorize the types of shocks typically analysed and the mechanisms through which contagion propagates across institutions. Finally, we highlight the main lessons learned and identify the critical gaps that still need to be addressed.

Keywords: banks; insurers; investment funds; system-wide stress test (search for similar items in EconPapers)
JEL-codes: G18 G21 G22 G23 (search for similar items in EconPapers)
Date: 2026-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bancaditalia.it/pubblicazioni/qef/2026-1048/QEF_1048_26.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_1048_26

Access Statistics for this paper

More papers in Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().