Stress Testing a China Hard Landing in RiskManager
Research Paper
November 2, 2015
Preview
This document describes how we can implement the stress test proposed in "Stress Testing a China Hard Landing".
This stress test is built up in three layers. At the base are a set of predictive stress tests (PST). These are applied
individually to specific risk types through the machinery of 'By Risk Type' stress test. Finally, a user‐defined
statistic is used to allow different interest rate shocks to the Developed and Emerging Market interest rates. In the
following sections we discuss in detail how the three layered approach can be implemented.
This stress test is built up in three layers. At the base are a set of predictive stress tests (PST). These are applied
individually to specific risk types through the machinery of 'By Risk Type' stress test. Finally, a user‐defined
statistic is used to allow different interest rate shocks to the Developed and Emerging Market interest rates. In the
following sections we discuss in detail how the three layered approach can be implemented.
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