with "stress-testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better … practice is to stress-test outside the basic risk model. Such an approach yields two sets of forecasts -- one from the stress … combine the two forecasts into a usable risk metric is not known. Instead, we suggest folding the stress-tests into the risk …

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou …, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual … financial institutions. The systemic risk measure, defined as the insurance cost to protect against distressed losses in a …