This paper was prepared by Hiroko Oura, with assistance from Ryan Scuzzarella. The survey of stress testing practices was designed by Li Lian Ong, Hiroko Oura, and Liliana Schumacher.
Austria, Belgium, Brazil, Canada, China, France, Germany, Hong Kong SAR, Hungary, India, Ireland, Italy, Japan, Malaysia, Mexico, the Netherlands, Russian Federation, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.
However, the answers do not provide enough detail on the length of the historical horizon used to calculate the probability, making it difficult to compare the severity of shocks across countries.
Reverse stress tests assess the maximum shock—within a risk category such as credit, market, or liquidity risk— that a bank can withstand and remain solvent.
Exceptions include the EBA tests and U.S. Supervisory Capital Assessment Program (SCAP) and Comprehensive Capital Assessment Review (CCAR).
The questionnaire did not distinguish between own and foreign sovereign risk.