White Paper

Portfolio Stress Testing Methodologies

September 25, 2014

Regulators like the US Fed, the International Monetary Fund and the Bank for International Settlements are leading the charge to institutionalize stress testing. Banks are therefore under pressure to adopt the right stress testing approach. Amanjeet Saluja, Sandeep Gupta, Ming Zhou and Rajat Sharma discuss several different types of stress testing methodologies, and explore their pros and cons.