+Article 18 1
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Article 18 1
1. When assessing the adequacy of the reverse stress testing scenarios referred to in Article 325bi(1), point (g), of Regulation (EU) No 575/2013, competent authorities shall verify whether:
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(a)
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the risk control unit applies the reverse stress test as a tool to identify possible combinations of severe events and risk concentrations within the institution, including severe events and risk concentrations that derive from environmental risks;
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(b)
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the analysis performed with the reverse stress test complements the regular stress testing;
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(c)
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when identifying the scenario or scenarios resulting from reverse stress testing, the risk control unit assesses:
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(i)
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the business lines where traditional risk management models indicate an exceptionally good trade-off between risk and return;
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(ii)
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new products and new markets which have not experienced severe strains;
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(iii)
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exposures where there are no liquid two-way markets;
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(iv)
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foreign exchange exposures either pegged or subject to a cap or floor to other currencies;
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(v)
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positions in deep out-of-the-money options, in particular digital options;
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(vi)
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events not considered in the stress period used to calibrate the expected shortfall risk measures referred to in Article 325bb of Regulation (EU) No 575/2013;
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(vii)
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environmental risks in the form of both physical and transition risks.
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1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
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Requirement |
3. Related Standards
Standards
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Requirement |
- Builddate: 17.06.2024 00:00:00 -Doknr: CELEX:32024R1085
- EULAW -
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