+166. The interest rate scenarios used for stress testing purposes, including for the purposes of …
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166. The interest rate scenarios used for stress testing purposes, including for the purposes of …
The interest rate scenarios used for stress testing purposes, including for the purposes of the application of Article 98(5) of Directive 2013/36/EU for the interest rate risk arising from the non-trading activities, should be adequate to identify all material interest rate risks, e.g. gap risk, basis risk and option risk.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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