2012VRM_Basel_Stress_Testing

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1、BaselCommitteeonBankingSupervisionPrinciplesforsoundstresstestingpracticesandsupervisionMay2009Requestsforcopiesofpublications,orforadditions/changestothemailinglist,shouldbesentto:BankforInternationalSettlementsPress&CommunicationsCH-4002Basel,SwitzerlandE-mail:publications@bis.o

2、rgFax:+41612809100and+41612808100©BankforInternationalSettlements2008.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated.ISBNprint:92-9131-784-5ISBNweb:92-9197-784-5TableofContentsIntroduction........................................................

3、.......................................................................1Performanceofstresstestingduringthecrisis.........................................................................2Useofstresstestingandintegrationinriskgovernance..............................................

4、...2Stresstestingmethodologies..........................................................................................3Scenarioselection...........................................................................................................4Stresstestingofspecificrisksandprod

5、ucts...................................................................5Changesinstresstestingpracticessincetheoutbreakofthecrisis...............................6Principlesforsoundstresstestingpracticesandsupervision..................................................8Principlesforb

6、anks..................................................................................................................8Useofstresstestingandintegrationinriskgovernance.................................................8Stresstestingmethodologyandscenarioselection....................

7、..................................12Specificareasoffocus..................................................................................................15Principlesforsupervisors.....................................................................................................

8、...17Principlesforsoundstresstest