ERM-120-14: IAA Note on Stress Testing and Scenario Analysis


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Reading Source: http://www.actuaries.org/CTTEES_SOLV/Documents/StressTestingPaper.pdf

Topics Covered in this Reading:

  • Executive Summary
  • Introduction
  • Definitions
    • Scenario
    • Sensitivity
    • Stress Test
    • Examples of Stress Scenarios in Practice
  • Types of Scenarios
    • Reserve Scenarios
    • Historical Scenarios
  • Synthetic Scenarios
    • Company-Specific Scenarios
    • Single-Event Scenarios
    • Multi-Event Scenarios
    • Global Scenarios