In trying to answer these questions let me first recall that the nominal interest rate can be viewed as the sum of three components: 1) the real interest rate, 2) the expected inflation, and 3) a term premium.
Such stress tests would include the potential for key counterparties to fail or suffer difficulty at the same time, for market liquidity to erode and remain low for some time, and for market participants to view the bank itself as an impaired counterparty.