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May 1

Stress test analysis

Posted by abiao at 10:01 | Code » VBA/Excel | Comments(3) | Reads(18630)
In recent months and years both practitioners and regulators have embraced the idea of supplementing VaR estimates with stress-testing. Today The Federal Reserve is postponing the release of stress tests on the biggest U.S. banks. Risk managers are beginning to place an emphasis and expend resources on developing more and better stress test analysis.

Here is a good introductory paper aiming to give you a rough idea how to do stress test, to help demystify stress tests, and illustrate their strengths and weaknesses. The author use an Excel-based exercise with institution-by-institution data through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk in the design of stress testing scenarios. The purpose of the workbook is to illustrate basic stress tests (and related tools) that can be used to assess risks in a small and relatively non-complex banking system, using a realistic (but fictional) example.

Paper is available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=973989&rec=1&srcabs=181931.

Hi, the link for the excel stress tester is no more valid. Could you please advice another link or upload the file?

It seems the author closed the download for some reasons, I will update if it opens again, cheers.
Hi, I found out that the link for the stress tester excel file is not working and I didn't find any other source. Could you please advice another link or upload the file?

Thanks in advance
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