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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a RiskTech Forum account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: