Stress Testing in Practice: A Survey of 43 Major Financial Institutions

5 Pages Posted: 17 Apr 2012

See all articles by Ingo Fender

Ingo Fender

Bank for International Settlements (BIS)

Michael S. Gibson

Board of Governors of the Federal Reserve System

Date Written: June 1, 2001

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. Stress tests are tools used by financial firms to gauge their potential vulnerability to exceptional but plausible events. This article reviews the results of a survey of forty-three major commercial and investment banks from 10 countries, who were asked to report their firm-wide stress tests that captured material risks as of 31 May 2000.

Keywords: banks, stress testing

JEL Classification: G10, G20

Suggested Citation

Fender, Ingo and Gibson, Michael S., Stress Testing in Practice: A Survey of 43 Major Financial Institutions (June 1, 2001). BIS Quarterly Review June 2001, Available at SSRN: https://ssrn.com/abstract=1520554

Ingo Fender (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

HOME PAGE: http://www.bis.org

Michael S. Gibson

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
1-202-452-2495 (Phone)

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