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Stress tests: useful complements to financial risk models

Author

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  • Jose A. Lopez

Abstract

Many supervisory agencies have begun using stress-testing techniques to assess the capital adequacy of individual firms and even national financial systems. In this Economic Letter, I define stress testing, describe its possible applications, highlight certain techniques developed to conduct this testing, and survey its recent use by supervisory agencies.

Suggested Citation

  • Jose A. Lopez, 2005. "Stress tests: useful complements to financial risk models," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun24.
    • Handle: RePEc:fip:fedfel:y:2005:i:jun24:n:2005-14
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    Citations

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    Cited by:

    1. Eyden Samunderu & Yvonne T. Murahwa, 2021. "Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach," JRFM, MDPI, vol. 14(11), pages 1-48, November.
    2. Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
    3. Pompella Maurizio & Dicanio Antonio, 2016. "Bank Vulnerability and Financial Soundness Testing: The Bank Resilience Index," Ekonomika (Economics), Sciendo, vol. 95(3), pages 52-63, December.
    4. D. M. Nachane, 2016. "Global Crisis, Regulatory Reform and International Policy Coordination," South Asian Journal of Macroeconomics and Public Finance, , vol. 5(1), pages 63-95, June.
    5. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
    6. Jose A. Lopez, 2008. "What is liquidity risk?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct24.
    7. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.

    More about this item

    Keywords

    Risk assessment; Risk management;

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    1. Deterministische Simulationsmodelle als Insolvenzprognoseverfahren in Wikipedia German

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