101. In testing vulnerabilities under stressed conditions, institutions should use larger and more …

In testing vulnerabilities under stressed conditions, institutions should use larger and more extreme shifts and changes in interest rates than those used for the purpose of ongoing management, including at least the following:

• a) substantial changes in the relationships between key market rates (basis risk);
• b) sudden and substantial shifts in the yield curve (both parallel and non-parallel);
• c) breakdowns of key assumptions about the behaviour of asset and liability classes;
• d) changes in key interest rate correlation assumptions;
• e) significant changes to current market and macro conditions and to the competitive and economic environment, and their possible development; and
• f) specific scenarios that relate to the individual business model and profile of the institution.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/