119. Institutions should ensure that the stress testing of securitised assets addresses the credit …

Institutions should ensure that the stress testing of securitised assets addresses the credit risk of the underlying pool of assets, including the default risk, the possibly non-linear and dynamic default correlations as well as the evolution of the collateral values. Institutions should take into account all relevant information with regard to the specific structure of each securitisation, such as the seniority of the tranche, the thickness of the tranche, credit enhancements and granularity, expressed in terms of the effective number of exposures.

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/