IDEAS home Printed from https://ideas.repec.org/a/bis/bisqtr/0106g.html
   My bibliography  Save this article

Stress testing in practive: a survey of 43 major financial institutions

Author

Listed:
  • Ingo Fender
  • Michael S Gibson

Abstract

Over the last couple of years large, internationally active financial institutions have engaged in increasingly complex and diverse activities. This tendency towards greater complexity, together with the experience of recent financial market crises, has reinforced an already large and growing interest in how these institutions measure and monitor their risk exposures. A specific set of risk management techniques, called “stress testing”, has attracted particular attention among both practitioners and regulators.26 Stress tests are tools used by financial firms to gauge their potential vulnerability to exceptional but plausible events. Typically, a stress test estimates how the value of the firm’s portfolio would change if a particular market event were to occur. In recent years, stress testing has grown in importance, being used as a supplement to frameworks based on value-at-risk (VaR) and other risk measurement tools.

Suggested Citation

  • Ingo Fender & Michael S Gibson, 2001. "Stress testing in practive: a survey of 43 major financial institutions," BIS Quarterly Review, Bank for International Settlements, June.
    • Handle: RePEc:bis:bisqtr:0106g
    as

    Download full text from publisher

    File URL: https://www.bis.org/publ/r_qt0106g.pdf
    Download Restriction: no
    File URL: https://www.bis.org/publ/r_qt0106g.htm
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. W. Scott Frame & Lawrence J. White, 2009. "Technological change, financial innovation, and diffusion in banking," FRB Atlanta Working Paper 2009-10, Federal Reserve Bank of Atlanta.
    2. Claudio E. V. Borio, 2004. "Market distress and vanishing liquidity: anatomy and policy options," BIS Working Papers 158, Bank for International Settlements.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisqtr:0106g. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Beslmeisl (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.