Chapter 8. Stress Testing Study Notes contain 24 pages covering the following learning objectives:
* Describe the rationale for the use of stress testing as a risk management tool.
* Identify key aspects of stress testing governance, including choice of scenarios, regulatory specifications, model building, stress-testing coverage, capital and liquidity stress testing, and reverse stress testing.
* Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing.
* Explain the importance of stressed inputs and their importance in stressed VaR and stressed ES.
* Identify the advantages and disadvantages of stressed risk metrics.
* Describe the key elements of effective governance over stress testing.
* Describe the responsibilities of the board of directors and senior management in stress testing activities.
* Identify elements of clear and comprehensive policies, procedures, and documentations for stress testing.
* Identify areas of validation and independent review for stress tests that require attention from a governance perspective.
* Describe the important role of the internal audit in stress testing governance and control.
* Describe the Basel stress testing principles for banks regarding the implementation of stress testing.
After reviewing the notes, you will be able to apply what you learned with practice questions.Shop Courses