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| Identificatore numerico | 1862 |
| Identificatore completo | BankforInternationalSettlements00 |
| Autore/i | Bank for International Settlements |
| Anno | 2000 |
| Titolo | Stress Testing by Large Financial Institutions: Current Practices and Aggregation Issues |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | Bank for International Settlements, Committee on the Global Financial System, Basel, April Web Download. |
| Keywords | VAR - stress testing |
| Abstract | This report represents the findings of a Working Group on Macro Stress Testing established by the Committee on the Global Financial System. The Group was asked to investigate the current use of stress testing at large financial institutions. Members of the group interviewed risk managers at more than twenty large, internationally active financial institutions. The group explored the possibility that aggregate stress test might produce information that is of use to central banks, other financial regulators and private-sector practitioners in order to monitor broad patterns of risk-taking and risk-intermediation in financial markets. This would provide information that is useful in order to asses market liquidity risk and the dynamic aspects of market behavior under stress. The group concluded that conceptual shortcomings and techical hurdles limit the feasibility and usefulness of aggregate stress tests. However, the report recommends that a one-off census of scenarios in use at dealer firms be conducted in order to experiment a new data source that would provide forward-looking information about aggregate risk exposures. |
| Importanza | media |
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