What is Stress Testing?
Exercise 1.1 Categorising stress tests Scenario writing Sensitivity analysis Statistical inference Drills for a meltdown Exercise 1.2 Why stress testing matters: the case of derivatives exposure Stress testing in action: two examples The fair value of securities Information technology for a supermarket chain Exercise 1.3 Challenges in the development of stress testing The art of scenario writing Exercise 1.4 Concepts underpinning sensitivity analysis How sensitivity analysis differs from scenario writing How sensitivity analysis differs from statistical inference The issue of linearity Sensitivity analysis and historical data: the case of the oil industry The difference between sensitivity and connectivity Exercise 1.5 Statistical inference and the benefits of experimentation Statistical inference for practical purposes Statistical inference and interest rates Other variables to be considered Statistical inference and scenarios Exercise 1.6 Drills for worst-case scenarios The elements
