The 2008 financial crisis witnesses the stress testing transition from micro-prudential regulation which mainly focuses on single financial institution to macro-prudential regulation which mainly focuses on systemic risk. In practice, stress testing model integrates payment capacity risk and liquidity risk, however, the stress testing model for systematic financial risk mainly uses micro-data of bank industry, reflects that supervision authorities hope to prevent the happening and contagion of systematic financial risk via controlling banking business and is the gradually rising process from micro-supervision to macro-supervision. We should further clarify that systematic financial risk stress testing is one of management tools for financial management, can be supplementary to other risk management tools and has its limitation, complete stress situation design based on China’s reality, use the research results to design effective stress testing model and promote the effectiveness of financial risk management.