107. Institutions should ensure that credit risk is assessed at various levels of shock scenarios …

Institutions should ensure that credit risk is assessed at various levels of shock scenarios, from simple sensitivity analyses to institution-wide stress tests, or to group-wide stress tests, in particular:

• a) market-wide shock scenarios (e.g. a sharp slowdown of the economy that affects portfolio quality for all of the creditors);
• b) counterparty-specific and idiosyncratic shock scenarios (e.g. bankruptcy of the largest bank creditor);
• c) sector-specific and region-specific shock scenarios; and
• d) a combination of the above.

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/