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Table 2 shows some results for “typical” shocks to equity prices, interest rates and
credit quality. The equity and interest rate shocks each represent about two-standard
deviation movements in the underlying risk factor over a three-month horizon (sample
period: 1970–2000). In 2002, for example, Japanese equity prices fell by more than
20 percent while long-term yields declined by nearly 100 basis points (bp).The credit risk
stress test also represents a shock of the same order of magnitude of that observed in 2002,
when three of seven city banks reported losses that exceeded 3 percent of their loan portfolio.
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