124. When designing the stress testing approach, institutions should consider the following: a) the …

When designing the stress testing approach, institutions should consider the following:

• a) the impacts of stress tests for structured credit products will materialise on the level of the asset pool in increased defaults (or PDs and LGDs, where applicable) and hence increased expected loss/impairment rates and regulatory capital requirements (as well as increased probabilities for downgrades) should be expected during shocks; and
• b) that further impacts may arise from decreases in the net cash flow, increases in trading losses and value adjustments, or from the deterioration of regulatory metrics such as the net stable funding ratio.

4.7.3 Market risk

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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