159. If the reliability and stability of diversification assumptions are appropriately validated …

If the reliability and stability of diversification assumptions are appropriately validated and documented; diversification between CSRBB and IRRBB may be possible. Under the same condition, diversification assumptions between CSRBB and other risks may be possible. The diversification effects should be estimated conservatively enough to be assumed to be sufficiently stable even in economic downturns and under market conditions that are unfavourable for the institution’s business and risk structure. In any case institutions should have separate assessments of CSRBB and other risks (including IRRBB).

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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