DCAT

Seite 1

DCAT

Goal of Stress testing

1. Risk identification and control

adjusting the institution’s business strategy.

consider the concentrations and interactions between risks in stress environments

Providing a complementary risk perspective to other risk management tools

provide insights about the validity of statistical models at high confidence intervals; (value at risk (VaR))

simulation of shocks that have not previously occurred,

assess models’ robustness to possible changes in the economic and financial environment.

assess the impacts of customer behaviour arising from options embedded in certain products—particularly where the behaviour in extreme events is not well understood.

Supporting capital management

identify severe events, including a series of compounding events, or changes in market conditions that could adversely impact the financial health of the institution.

Improving liquidity management

central tool in identifying, measuring, and controlling funding liquidity risks

assessing the institution’s liquidity profile and the adequacy of liquidity buffers in case of both institution-specific and market-wide stress events.