75. Institutions should ensure that their stress test scenarios meet at least the following …

Institutions should ensure that their stress test scenarios meet at least the following requirements:

• a) address the main risk factors that the institution may be exposed to; in this regard, the results obtained from single risk factor analyses, which aim to provide information about the sensitivity towards single risk factors, should be used to identify scenarios that include a stress of a combined set of highly plausible risk factors; no material risk factor should be left unstressed or unconsidered;
• b) address major institution-specific vulnerabilities, deriving from the regional and sectoral characteristics of an institution, as well as its specific product or business line exposures and funding policies: concentration and correlation risks, both of an intra- and of an inter– risk type, should be identified a priori;
• c) include a coherent narrative for the scenario, covering all main risk factors as well as their (forward-looking) development on the basis of multiple trigger events (i.e. monetary policy, financial sector developments, commodity prices, political events and natural disasters); institutions should ensure that the scenario narrative is plausible and non-contradictory when assuming the co-movement of risk factors and the corresponding reaction of market participants; and, where certain risk factors are excluded from the scenario narrative, institutions should ensure that this exclusion is fully justified and documented;
• d) are internally coherent, so as to ensure that the identified risk factors behave consistently with other risk factors in a stress event and that they contain explicit estimates and assumptions on the dependence structure among the main underlying risk factors; importantly, co-movements in risk factors that may appear contradictory should be explored to identify new sensitivities;
• e) take into account innovation and more specifically technological developments or sophisticated financial products without disregarding their interaction with more traditional products; and
• f) ensure that stressed risk factors translate into internally consistent risk parameters.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.