172. In assessing this risk in their stress testing programmes, institutions should take into …

In assessing this risk in their stress testing programmes, institutions should take into account the credit risk of each exposure but also consider the additional sources of risks arising from the similar behaviour of certain exposures (i.e. higher correlation). These additional sources of risk under analysis should cover, but not be limited, to the following:

• a) the single-name concentrations (i.e. client or group of connected clients as defined in Article 4(39) of Regulation (EU) No 575/2013);
• b) the sectoral concentrations;
• c) the geographical concentrations;
• d) the product concentrations; and
• e) the collateral and guarantee concentrations.

1. Overview

1.1 References

• Article 4 Definitions

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/