52. In addition to the general information on stress testing as specified in Section 5.4, on the …

In addition to the general information on stress testing as specified in Section 5.4, on the set-up of liquidity stress testing, competent authorities should ensure that they receive from institutions the following:

• a. description of the adverse scenarios applied and the assumptions considered in liquidity stress testing, including any relevant items such as the number of scenarios used, the scope, internal reporting frequency to the management body, risk drivers (macro and idiosyncratic), the applied time horizons and, where relevant, the split in currencies/regions/business units;
• b. description of the criteria for calibrating scenarios, selecting appropriate time horizons (including intraday, where relevant), quantification of the impact of stress on the liquidity value of buffer assets, etc.

7.6.2 Operational documentation

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/