Definicja stress test (FS-BA)

Special instance of simulation in which the results that suggest negative economic effects on the bank portfolio form the basis of the simulated risk parameters.

A bank is involved in export financing with names in Brazil. For investment grade names, the bank does not seek to obtain guarantees from credit agencies. Presidential elections are about to take place in Brazil, and depending on the result, the financial situation of the country could worsen. Stress tests should be used to analyze the effect of such a scenario on the bank's capital.