Stress tests are used in risk management by banks in order to
determine how certain crisis scenarios would affect the value of
their portfolios, and by public authorities for financial stability
purposes. Until the first half of 2007, interest in stress-testing
was largely restricted to practitioners. Since then, the global
financial system has been hit by deep turbulences, including the
fallout from sub-prime mortgage lending. Many observers have
pointed out that the severity of the crisis has been largely due to
its unexpected nature and have claimed that a more extensive use of
stress-testing methodologies would have helped to alleviate the
repercussions of the crisis. This book analyses the theoretical
underpinnings, as well as the practical aspects, of applying such
methodologies. Building on the experience gained by the economists
of many national and international financial authorities, it
provides an updated toolkit for both practitioners and academics.
General
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