19. When assessing the stress testing programme, the institution shall consider at least the …

When assessing the stress testing programme, the institution shall consider at least the following:

a) the effectiveness of the programme in meeting its intended purposes;
b) the need for improvements;
c) the identified risk factors, definitions and reasoning for relevant scenarios, model assumptions and the sensitivity of results to these assumptions, as well as the role of expert judgement to ensure that it is accompanied by sound analysis;
d) the model performance, including its performance on out-of-sample data, i.e. on data that was not used for model development;
e) how to incorporate possible solvency-liquidity adverse loops;
f) the adequacy of possible interlinkages between solvency stress tests and liquidity stress tests;
g) feedback received from competent authorities in the context of their supervisory or other stress tests;
h) the adequacy of the data infrastructure (systems implementation and data quality);
i) the proper level of involvement of senior management and the management body;
j) all assumptions including business and/or managerial assumptions, and management actions envisaged, based on the purpose, type and result of the stress testing, including an assessment of the feasibility of management actions in stress situations and a changing business environment; and
k) the adequacy of the relevant documentation.

1. Overview

Summary	Regulation

Requirements
Source	Requirement

Standards
Source	Requirement

EBA -
EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

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