SAS: Stress Testing: A Board-Level Issue
Stress tests are particularly good for identifying and quantifying the impact of a loss of either trading or funding liquidity – which is a key feature of a crisis. Stress tests are also very good for determining in advance which actions can handle large market moves, such as those that take place in market crashes (e.g., the subprime credit crisis). Large market moves could include significant changes in implied volatility, correlation changes, etc.
There are several types of stress test
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