178. Competent authorities should assess whether an institution has implemented adequate stress …

Competent authorities should assess whether an institution has implemented adequate stress tests that complement its risk measurement system. For this purpose, they should take into account the following elements:

• a. stress test frequency;
• b. whether relevant risk drivers are identified (e.g. illiquidity/gapping of prices, concentrated positions, one-way markets);
• c. assumptions underlying the stress scenario;
• d. internal use of stress testing outcomes for capital planning and market risk strategies.

6.3.3. Assessment of the market risk management and control framework

1. Vue d’ensemble

1.1 Références

1.2 Exigences identifiées

1.3 Normes associées

2. Exigences identifiées

3. Normes associées

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