Three ways to improve stress testing
Better scenario choice, iterative testing and top-down approaches could improve performance, says Ahraz Sheikh
Following the global financial crisis (GFC), the Basel Committee placed a heavier reliance on the role of stress testing in ensuring the stability of the financial services sector. Previously, stress testing was weakly defined, and primarily focused on market risk through the sensitivity analysis of portfolios to univariate and multivariate market shocks over short time horizons. After the crisis
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