93. When selecting interest rate shock scenarios, institutions should consider the following: (a) …

When selecting interest rate shock scenarios, institutions should consider the following:

• (a) That their own internally developed interest rate shock scenarios be commensurate with the nature, scale and complexity of their activities as well as their risk profile, taking into account sudden and gradual parallel and non-parallel shifts and changes in the yield curves. Scenarios should be based on the historical movements and behaviour of interest rates, as well as simulations of future interest rates.
• (b) Interest rate scenarios that reflect changes in the relationships between key market rates in order to address basis risk.
• (c) The six prescribed interest rate shock scenarios set out in Annex III.
• (d) Any additional interest rate shock scenarios required by supervisors.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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