96. IRRBB stress testing should be considered in the ICAAP, where institutions should undertake …

IRRBB stress testing should be considered in the ICAAP, where institutions should undertake rigorous, forward-looking stress testing that identifies the potential adverse consequences of severe changes in market conditions on their capital or earnings, including through changes in the behaviour of their customer base. Stress testing for IRRBB should be integrated into institutions’ overall stress-testing framework, including reverse stress testing, and should be commensurate with their nature, size and complexity, as well as their business activities and overall risk profile.

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/