Stress Testing

Noel D'Cruz and Davide Crippa

Chapter 3 in Global Credit Review:Volume 2, 2012, pp 39-52 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONSTRESS TESTS — WHAT THEY ARE AND WHAT THEY ARE NOTScenario-Based Stress TestingSensitivity-Based Stress TestingMOTIVATION FOR STRESS TESTSSpecific Business Strategy AssessmentRisk Appetite AssessmentInternal Capital PlanningModel Risk MitigationMacro-Prudential Impact AnalysisRegulatory RequirementSTRESS TESTING APPROACHESTop-Down ApproachesBottom-Up ApproachesAPPLICATIONS OF STRESS TESTINGRisk Appetite and Capital AdequacyLimit SettingDETERMINING EVENTS THAT WOULD ‘BREAK THE BANK’INTEGRATED STRESS TESTSLIMITATIONS OF STRESS TESTINGCONCLUSIONREFERENCES

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis (search for similar items in EconPapers)
Date: 2012
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