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An international survey of stress tests

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Author Info
Ingo Fender
Michael S. Gibson
Patricia C. Mosser
Abstract

In the summer of 2000, central banks from the Group of Ten countries surveyed large international banks about their use of stress tests_a risk management tool that measures a firm's exposure to extreme movements in asset prices. The survey findings highlight the risks that most concern financial institutions and clarify how these institutions use stress tests in their overall risk management programs.

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Article provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.

Volume (Year): (2001)
Issue (Month): Nov ()
Pages:
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Handle: RePEc:fip:fednci:y:2001:i:nov:n:v.7no.10

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Related research
Keywords: Risk management Financial services industry

References listed on IDEAS
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  1. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 39-69. [Downloadable!]
  2. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 334-362.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Martin Cihak, 2004. "Stress Testing: A Review of key Concepts," Research and Policy Notes 2004/02, Czech National Bank, Research Department. [Downloadable!]
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This page was last updated on 2008-10-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.