114. For the estimation of future losses in stress tests, institutions should, where appropriate …

For the estimation of future losses in stress tests, institutions should, where appropriate, rely on credit risk parameters different from the ones applied in the calculation of capital requirements, which are usually through-the-cycle or hybrid parameters (a combination of through-the-cycle and point-in-time parameters) for PD and under downturn conditions for LGD. In particular, institutions should, where relevant, apply estimates based on point-in-time parameters in accordance with the severity of the scenario for the purpose of estimating credit losses.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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