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An international survey of stress tests




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.

Suggested Citation

  • Ingo Fender & Michael S. Gibson & Patricia C. Mosser, 2001. "An international survey of stress tests," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 7(Nov).
  • Handle: RePEc:fip:fednci:y:2001:i:nov:n:v.7no.10

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    References listed on IDEAS

    1. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Apr), pages 39-69.
    2. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Proceedings 512, Federal Reserve Bank of Chicago.
    3. Bank for International Settlements, 2000. "Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues," CGFS Papers, Bank for International Settlements, number 14, June.
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    Cited by:

    1. Schuermann, Til, 2014. "Stress testing banks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 717-728.
    2. Stacia Howard, 2009. "Stress testing with incomplete data: a practical guide," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring financial innovation and its impact", Basel, 26-27 August 2008, volume 31, pages 344-355, Bank for International Settlements.
    3. Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank.
    4. Petar Marković & Branko Urošević, 2011. "Market Risk Stress Testing For Internationally Active Financial Institutions," Economic Annals, Faculty of Economics, University of Belgrade, vol. 56(188), pages 62-90, January –.

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