77. Institutions should ensure that: a) stress tests explicitly take into account dynamic …

Institutions should ensure that:

• a) stress tests explicitly take into account dynamic interdependences, e.g. among economic regions and among economic sectors, including the financial sector;
• b) the overall scenario takes into account system-wide dynamics, e.g. closure of certain markets, and risk concentrations in a whole asset class (e.g. mortgages); and
• c) adverse feedback dynamics, caused by factors such as interactions among valuations, losses and margining requirements, are covered.

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/