+77. Institutions should ensure that: a) stress tests explicitly take into account dynamic …

77. Institutions should ensure that: a) stress tests explicitly take into account dynamic …

Institutions should ensure that:

  • a) stress tests explicitly take into account dynamic interdependences, e.g. among economic regions and among economic sectors, including the financial sector;
  • b) the overall scenario takes into account system-wide dynamics, e.g. closure of certain markets, and risk concentrations in a whole asset class (e.g. mortgages); and
  • c) adverse feedback dynamics, caused by factors such as interactions among valuations, losses and margining requirements, are covered.

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • 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.

    DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.