In recent, the necessity to compete VaR by Stress Testing raised its head strongly. And the BIS published the rule that banks should use the Stress Testing necessarily in case of using the internal VaR in 1996. In our country, most of the banks and financial supervisory office recognized the importance of the Stress Testing deep in their hearts going through the IMF crisis. Nevertheless, the study on the Strss Testing is still staying in the basic step in the international financial market not to mention our country, on the contrary the study on the VaR. So, the purpose of this paper focused on not only rearranging theoretical basis about the Stress Testing but also finding out more suitable techniques for Korean financial market conditions by the empirical test. As a result of empirical test, I found out that the Predictive method is superior to the Zeroed-Out method in the phase of accuracy. That is, the results show that E(StressVaR) by Predicitive method offers two times as many as numbers closing to the real value change in comparison with Zeroed-Out method. Especially StressVaR, is another estimation by Predictive method, which offers much more accurat estimation under any circumstances real value change leaded to great loss.
스트레스 테스팅은 위기상황의 리스크 측정뿐 아니라 경영과 관련된 주요정보의 제공, Tail Risk의 측정, 자금조달 리스크 관리, 감마홀의 탐지 등 다양한 분야에서 활용이 가능하며 또한 통합스트레스 테스팅은 중앙은행 등 감독기관에서 금융기관의 위험과 시장움직임을 모니터할 수 있는 유용한 정보로 활용될 수 있는데, 대표적인 분석기법인 "Zeroed-Out"과 "Predictive"를 우리나라 포트폴리오에 적용 분석한 결과 역사적공분산을 이용한 Predictive 추정치(E(StressVaR))가 정확도면에서 우수하며, 특히 주변자산의 불확실성에 따른 손실을 포함한 StressVaR는 손실이 매우 크게 발생하는 극단적인 시점에 예측력이 높은 특징을 보이는 것으로 분석되었음.
