System-wide stress tests: a survey of empirical evidence, concepts, and methodologies

descrizione

This paper reviews recent literature on system-wide stress testing, with a focus on the interconnectedness between banks and non-bank financial institutions. It discusses the crises that motivated the development of these exercises, the methodologies used, the main types of shocks, and the related contagion channels. The review shows how interconnected exposures, common behaviors, and interactions between liquidity and solvency risks can amplify shocks across the financial system, while also highlighting remaining methodological challenges and data limitations.

issue date

28 July 2026