Recommendations for developing a Stress and Scenario Testing framework

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By Emma Hutchinson, Fred Vosvenieks | 15 February 2019
This note provides high-level recommendations for insurance companies when developing or enhancing their Stress and Scenario Testing (SST) framework. It includes general principles, purpose of the SST framework, risks to be covered, tests to include, methodology and calibration decisions, weaknesses and limitations, and frequency, ownership and reporting.