189. In addition to the general requirements related to institutions’ stress testing programmes …

In addition to the general requirements related to institutions’ stress testing programmes specified in these guidelines, stress tests used for ICAAP/ILAAP purposes should meet the following specific requirements:

• a) institutions should cover all material risk categories (and sub-categories) that the institutions are exposed to with regard to both on- and off-balance-sheet assets and liabilities in relation to all material portfolios or sectors/geographies, including relevant structured entities;
• b) a range of scenarios should be considered including at least an adverse economic scenario that is severe but plausible, such as a severe economic downturn and/or a market-wide and idiosyncratic shock to liquidity;
• c) ICAAP and ILAAP stress testing should be performed through comprehensive institution-wide stress testing and reflect all entities for which ICAAPs or ILAAPs are required;
• d) ICAAP and ILAAP stress tests should cover the same forward-looking period as the institution’s ICAAP and ILAAP, respectively, and be updated at least as regularly as the ICAAP and ILAAP; ICAAP stress tests should cover a period of at least two years.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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