+97. In enterprise-wide stress tests, the interaction of IRRBB with other risk categories (credit …
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97. In enterprise-wide stress tests, the interaction of IRRBB with other risk categories (credit …
In enterprise-wide stress tests, the interaction of IRRBB with other risk categories (credit risk, liquidity risk, market risk, etc.), and any material second-round effects, should be computed.
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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