Schuermann, Stress Testing Banks Study Notes covers the following learning objectives:
Describe the 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.
After reviewing the notes, you will be able to apply what you learned with practice questions.
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