SAS: A Practical Approach to Firmwide Stress Testing

Stress tests have been used in the past by risk practitioners in larger banks to assess the impact of a scenario on the value of its portfolio. However, the global financial crisis that began in 2007 generated new interest in stress testing. The financial crisis revealed weaknesses in the organizational aspects of current stress testing programs. Prior to the crisis, stress testing was performed mainly as an isolated exercise by the risk function within a bank, and results were manually

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