## Stress Test Issues

## Source details

**Canonical URL:** [Stress Test Issues](https://www.imf.org/-/media/files/news/seminars/mcm-lse-slides-robert-macrae.pdf)

## Other formats

- [Markdown version](/-/media/files/news/seminars/mcm-lse-slides-robert-macrae.pdf.md)
- [Structured JSON version](/-/media/files/news/seminars/mcm-lse-slides-robert-macrae.pdf.json)

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### Enumerated stress scenarios (chronological list)
- Nov-15 Credit Cycle Deterioration of credit metrics
- Oct-15 Momentum Trends Global unwind in momentum assets
- Sep-15 Productivity Growth Impact on different countries
- Aug-15 Liquidity Worries Crowded trades?
- Jul-15 Emerging Markets Debt Impact of Fed rate rise
- Jun-15 Diverging Europe Early termination of ECB stimulus
- Apr-15 China Growth Inflection Hard landing or stimulus?
- Apr-15 Strong Dollar Where is it going, what does it hit?
- Mar-15 UK Election Possible outcomes
- Mar-15 Style Rotation Potential quant deleveraging event?
- Feb-15 Greece Debt Crisis Contagion and domino effect
- Feb-15 Yield Curve Flattening Possible Fed rate trajectories
- Jan-15 European Sovereign QE Aggressive or inaction?
- Dec-14 QQE Impact of Kuroda’s policies
- Nov-14 Oil Price Slide Freefall or boomerang?
- Oct-14 Ebola Trauma Local tragedy or global pandemic?
- Oct-14 China Policy Conundrum Rumours of low growth and RE collapse
- Sep-14 ECB Policy Euro deflation?
- Sep-14 Ukraine/Russia Revisited Conflict and escalation
- Aug-14 Fed Tightening Impact of early Fed rise
- Aug-14 Return of Volatility Volatility jumps back to normal?

### Observations on scenario selection and design
- These microprudential stress scenarios were considered by Blackrock during 2014 and 2015.
- Note their breadth, spanning the range from fully endogenous to the financial system, via policy issues on the boundaries, to fully exogenous.
- Note also that most did not happen or were not too serious.  This is healthy.  We are not forecasting!  Good tests must come from outside recent experience and must be considered somewhat unlikely if they are to pose any real stress.
- Taken together these properties of breadth and novelty make selecting a good stress test hard and analysing second order effects even harder.

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_Source: https://www.imf.org/-/media/files/news/seminars/mcm-lse-slides-robert-macrae.pdf_