182. Institutions should develop stress scenarios by changing different parameters to allow them to …

Institutions should develop stress scenarios by changing different parameters to allow them to forecast foreign exchange credit portfolio performances in different cases, such as:

• a) assuming the exchange rate appreciation of the host currency by a predetermined percentage;
• b) assuming a shift in the foreign exchange interest rate by a predetermined percentage point; or
• c) combining both 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/