49. Stress tests should take into account changes in correlations between risk types and risk …

Stress tests should take into account changes in correlations between risk types and risk factors, at individual entity and at a group-wide level. They should also take into account that correlations tend to increase during times of economic or financial distress and that case-by-case analyses of how certain correlations behave in certain scenarios are required.

4.4.2 Portfolio and individual risk level stress testing

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/