Massimo,
All the tests that I've seen for evaluating the peak-pulse-power
handling capabilities of resistors are based on charging a bank of
capacitors to a high voltage, then applying this energy (E = 1/2 * c * V
* V) to the part/equipment-under-test through a low-resistance
low-inductance switch or relay.  You need to be very careful running
these tests, because there is enough energy involved to kill you!  

For the Keytek surge generator that I used to run IBM Lightning Surge
Susceptibility tests on network adapter cards, this came to something
like 4 joules at 800 volts, with the tester rated to deliver up to 200
amps maximum.  That tester required you to toggle two widely-spaced
switches to trigger a discharge, to make sure that you had both hands on
the tester.  I always triple-checked my test setup, then had another
experienced engineer double-check me, before I even plugged in the surge
tester.  I blew up quite a few components, and fried a few circuit
boards, while developing/helping develop some 35 IBM and Lexmark
networking/digital-office products from 1990 through January 2002.
 
NOTE: You also want to put a direct short across the capacitors when the
tester is not in use.  Dielectric absorbtion stores some energy in the
dielectric of a capacitors as a physical displacement of the atoms. 
This can take seconds to hours to relax, and as it does it induces a
corresponding charge on the capacitors' plates.  Without a bleeder
resistor of some type across the capacitors, up to 10% or so of the
initial charging voltage can appear on the capacitors after they have
supposedly been discharged.  This could give you a nasty, if non-fatal
shock, next time you want to use the tester.

As for help choosing the resistors for your circuit, check out
The Resistor Handbook   by Cletus J. Kaiser (98 pages, 1994, CJ
Publishing, Olathe, Kansas, ISBN 0-9628525-1-1).  This is the best
single source I've found for information on resistors.  On page 3, under
the subheading   One Short Pulse   it says:
     "The theory of pulse handling depends on the pulse width.  One     
      short pulse of 100 milliseconds or less is assumed to never
have        time enough to do more than heat the element.  Therefore
the      
      calculation is based on the total mass of the element (wire)
being       heated to the maximum internal hot-spot temperature."

As Bob Wilson said, this will depend on the overall type of resistor,
and on the specific details of its construction (i.e. manufacturer/
series).  You need to consider the bulk sections of the resistor, which
have relatively-uniform construction, and the interfaces between them.

So I would expect bulk-metal resistors, such as those made by Vishay, to
have the highest peak-power/rated-power capability because they are
essentially one piece of metal.  From there I would look at:
1.  Carbon-composition resistors.
2.  Wirewound resistors.
3.  Untrimmed metal-film resistors.
4.  Untrimmed carbon-film resistors.
5.  Untrimmed cermet resistors.
6.  Trimmed metal-film resistors.
7.  Trimmed carbon-film resistors.
8.  Trimmed cermet resistors.

The untrimmed film resistors have rather sloppy tolerances, on the order
of +/-20% or so, but have much higher pulse-power handling capability
than their trimmed brethren.  (We got bitten by this, when purchasing
had trouble getting the part we had specified for a Token-Ring card, and
substituted a part that the salesman said "was even better than" the one
we wanted.)  If you must use a trimmed resistor, because of tolerances,
abrasive trimming would probably be better than laser trimming, because
it makes a smoother cut and leaves less debris.  

I found it very educational to look at resistors under a microscope
(about 10-30x magnification sufficed), both before and after running the
Lightning Surge Susceptibility test.  The failed resistors looked like
they had been machine-gunned, with a vertical line of pits across the
surface of the resistor from the corner of the "L" (left by trimming) to
the edge of the resistor.

                                        John Barnes
                                        dBi Corporation

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