An International Survey of Stress Tests

by Ingo Fender of the Federal Reserve Bank of New York,
Michael S. Gibson of the Federal Reserve Bank of New York, and
Patricia C. Mosser of the Federal Reserve Bank of New York

November 2001

Abstract: In the summer of 2000, central banks from the Group of Ten countries surveyed large international banks about their use of stress tests—a risk management tool that measures a firm's exposure to extreme movements in asset prices. The survey findings highlight the risks that most concern financial institutions and clarify how these institutions use stress tests in their overall risk management programs.

JEL Classification: G21, G24, E58.

Published in: Current Issues in Economics and Finance, Vol. 7, No. 10, (November 2001), pp. 1-6.

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