130. For investment firms performing activities referred to in point (3) or (6) of Section A of …

For investment firms performing activities referred to in point (3) or (6) of Section A of Annex I to Directive 2014/65/EU, when assessing stress tests or sensitivity analyses, and their results, competent authorities should pay specific attention to the following:

• a. the appropriateness of the selection of the scenarios, which should be relevant to the investment firm’s business model or individual business lines or portfolios and the market in which it operates;
• b. the underlying assumptions, methodologies and risk drivers, including the scenario severity;
• c. the coverage of material risks and vulnerabilities identified, and their impact on the ability of the investment firms to generate profit and maintain adequate capital requirements; and
• d. the use of their results, before and after taking into account relevant management actions, in the investment firm’s risk and strategic management.

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.

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