How to Conduct a Stress Testing Program

From Open Risk Manual

How to Conduct a Stress Testing Program

A firm wide stress testing program should have the following elements[1]:

  • cover the different types of Stress Testing and their main objectives and applications
  • establish the frequency of the different stress testing exercises
  • specify the Internal Governance regime with clear responsibilities and procedures for the parties involved
  • in case of a group of legal entities, the scope of the entities included and the coverage (e.g. risk types, asset portfolios) of the stress tests
  • the methodological details, including any quantitative models used
  • the range of assumptions, including business and managerial actions, and remedial actions envisaged for each stress test
  • the relevant [Data Infrastructure]]

References

  1. EBA/CP/2016/28

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