The Boston Consulting Group

Risk Management

Stress Testing

Author: Christian Rosen, Carsten Gerhardt, Franz J. Herrlein, Thomas Gross

Content:

Introduction and definitions

Stress testing as an extension of traditional VaR approach

Integration of stress testing into the overall risk managment concept

Development of stress testing scenarios- examples
- Market risk
- Credit risk
- Operational risk

Software providers

Summary

这份资料共60页，作者是BCG在risk management方面拥有二十年以上经验的Partner，所有内容都非常实用