69. Where there are uncertainties about the robustness of the estimated dependency between …

Where there are uncertainties about the robustness of the estimated dependency between macroeconomic/macrofinancial risk factors and risk parameters or there is a need to validate the results of more comprehensive scenario analyses, institutions should endeavour to ensure that sensitivity analyses are also carried out by stressing statistical aspects of portfolio risk parameters according to historical distributions supplemented by hypothetical assumptions (e.g. with respect to future volatilities).

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/