Stress Testing Banks (FRM Part 2 2025 – Book 3 – Chapter 15)

Описание: Get a clear, exam-ready walkthrough of Stress Testing Banks for FRM Part 2 (Book 3 – Operational and Integrated Risk Management). You’ll learn the evolution of stress testing, EBA principles, SCAP and CCAR, and how to design coherent scenarios that link macro factors to bank revenues, losses, and capital. We also cover why stress tests failed in 2008 and the modeling challenges that matter on exam day.

What you’ll learn:
Historical frameworks: EBA, SCAP, CCAR
Capital adequacy and risk governance integration
Coherent scenario design and pitfalls
Modeling revenues, losses, and capital under stress

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After completing this reading, you should be able to:
Describe the historical 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.

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