Stress test: Difference between revisions
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imported>Doug Williamson (Denote 'worst case' in quote marks.) |
imported>Doug Williamson m (Add heading.) |
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''Sensitivity analysis and stress testing.'' | |||
Stress testing is a form of scenario analysis. | Stress testing is a form of scenario analysis. | ||
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In the banking context, stress testing is routinely carried out on banks to identify the level of | In the banking context, stress testing is routinely carried out on banks to identify the level of risk of their failure. | ||
== See also == | == See also == | ||
* [[Back test]] | * [[Back test]] | ||
* [[Biennial exploratory scenario]] | |||
* [[Black swan]] | |||
* [[Heuristic]] | |||
* [[Idiosyncratic stress]] | |||
* [[Model]] | * [[Model]] | ||
* [[PRA buffer]] | |||
* [[Reverse stress test]] | * [[Reverse stress test]] | ||
* [[Scenario analysis]] | * [[Scenario analysis]] | ||
* [[Sensitivity analysis]] | * [[Sensitivity analysis]] | ||
* [[Shock]] | |||
* [[Stress]] | |||
[[Category:Risk_frameworks]] | [[Category:Risk_frameworks]] | ||
Latest revision as of 14:09, 8 April 2021
Sensitivity analysis and stress testing.
Stress testing is a form of scenario analysis.
In stress testing, worst case data are input into a financial model.
The idea is to test whether creditworthiness - or any other attribute being modelled - is robust enough to survive the selected 'worst case' scenario.
Stress testing necessarily involves a significant degree of judgement and subjectivity in identifying the appropriate 'worst case' inputs with which to run the stress test.
In the banking context, stress testing is routinely carried out on banks to identify the level of risk of their failure.
