Whither stress testing?

Risk staff
01 Oct 2005

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In the September issue of Risk, I discussed the portion of the Basel Committee's July statement that describes intended revisions to the market risk component of Basel II. An important aspect of these revisions is making sure stress testing is incorporated systematically into the regular process for generating market risk information.

Commenting on my discussion, Barry Schachter notes that "it appears to have been accepted as a self-evident matter of fact" that "the results from portfolio stress

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