131. Institutions should in particular: a) assess the consequences of major market disturbances and …

Institutions should in particular:

• a) assess the consequences of major market disturbances and identify plausible situations that could entail extraordinarily high losses, which should, where appropriate, also include events with a low probability for all main risk types, especially the various components of market risks; for portfolio level stress tests, the effects of adverse changes to correlations might be explored; and mitigating effects of management actions may be taken into account if they are based on plausible assumptions about market liquidity; and
• b) have in place a list of the measures containing limits and other possible actions taken to reduce risks and preserve own funds; in particular, limits on exchange rate, interest rate, equity price and commodity price risks set by institutions should, where appropriate, be taken into account against the results of the stress testing calculations.

4.7.4 Operational risk

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related 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.