This paper presents the methodology, scenarios and results of the stress tests conducted for the update of Austria’s Financial Sector Assessment Program (FSAP) in 2007. The focus of the paper lies in particular on the following two macroeconomic stress scenarios: (a) a regional shock in...

This paper presents the methodology, scenarios and results of the stress tests conducted for the update of Austria’s Financial Sector Assessment Program (FSAP) in 2007. The focus of the paper lies in particular on the following two macroeconomic stress scenarios: (a) a regional shock in...

This paper reviews recent advances made in improving the robustness of stress-testing models against potential misspecification or risk-factor-distribution misestimation, including conceptual advances in measuring robustness against pricing-model misspecification. In addition, we address an...