Stress Testing Banks (FRM Part 2 2023 – Book 3 – Chapter 15)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite...

AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams

After completing this reading, you should be able to:
- Describe the historical evolution of the stress testing process and compare methodologies of historical EBA, CCAR, and SCAP stress tests.
- Explain challenges in designing stress test scenarios, including the problem of coherence in modeling risk factors.
- Explain challenges in modeling a bank's revenues, losses, and its balance sheet over a stress test horizon period.