98. Institutions should perform reverse stress tests in order to (i) identify interest rate …

Institutions should perform reverse stress tests in order to (i) identify interest rate scenarios that could severely threaten an institution’s capi tal, economic value and net interest income measures plus market value changes; and (ii) reveal vulnerabilities arising from its hedging strategies and the potential behavioural reactions of its customers.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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