Stress Testing

Committee on the Global

Financial System

Stress testing at major

financial institutions: survey

results and practice

Report by a working group established by the Committee on the

Global Financial System

January 2005

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ISBN 92-9131-675-X (print)

ISBN 92-9197-675-X (online)

Contents

Preface .....................................................................................................................................................v

Executive summary ..................................................................................................................................1

1.

Introduction ....................................................................................................................................3

2.

The practice of stress testing .........................................................................................................3

2.1

2.2

Coverage of stress testing ...................................................................................................6

2.3

3.

The role of stress tests ........................................................................................................3

The formulation of stress tests.............................................................................................6

Some survey results.......................................................................................................................8

3.1

Introduction...