+4. Institutions’ stress testing
---+4.1 Stress testing programme
------+12. Institutions should have in place a stress testing programme that should cover at least the …
------+13. Parent institutions in a Member State and EU parent institutions should also develop a group …
------+14. The institutions within the scope of prudential consolidation should, when establishing their …
------+15. Institutions should also include reverse stress testing and reverse stress testing scenarios in …
------+16. Institutions should ensure that their stress testing programmes are workable and feasible and …
------+17. Institutions should regularly assess their stress testing programmes to determine their …
------+18. Institutions should ensure that their quantitative analysis in accordance with the previous …
------+19. When assessing the stress testing programme, the institution shall consider at least the …
------+20. The institution’s stress testing programme should be appropriately documented for all types of …
------+21. The stress testing programme should be challenged across the organisation, for instance by the …
------+22. Institutions should ensure, both for the initial design and for the assessment of the stress …
---+4.2 Governance aspects of stress testing
------+23. The management body should approve the stress testing programme of the institution and oversee …
------+24. Without prejudice to the requirement under Article 91(1) of Directive 2013/36/EU that members …
------+25. The management body should understand the material aspects of the stress testing programme to …
------+26. The stress testing programme should be executed in accordance with the relevant internal …
------+27. Institutions should ensure that all elements of the stress testing programme, including its …
------+28. Institutions should ensure that the stress testing programme is effectively communicated across …
------+29. The stress testing programme should be an integral part of an institution’s risk management …
------+30. The management body should take the outcomes of the stress tests into account, in particular …
------+31. The outputs of stress tests (quantitative and qualitative) should be used as inputs to the …
------+32. To be a meaningful part of the risk management system of an institution, stress tests should be …
---+4.3 Data infrastructure
------+33. Institutions should ensure that the stress testing programme is supported by an adequate data …
------+34. To ensure that a proper data infrastructure has been put in place, institutions, including …
------+35. Institutions should ensure that their data infrastructure has the capacity to capture the …
------+36. Institutions should ensure that the data infrastructure allows for both flexibility and …
------+37. Institutions should ensure that their data infrastructure is proportionate to their size …
------+38. Institutions should devote sufficient human, financial and material resources to guarantee the …
------+39. Institutions should also consider stress testing data infrastructure as part of their overall …
------+40. Institutions should maintain and keep up-to-date accurate and reliable risk data to conduct …
------+41. Institutions should ensure that their aggregation of risk data is characterised by accuracy and …
------+42. Institutions should ensure that data are aggregated on a largely automated basis so as to …
------+43. Institutions should have the capacity to guarantee the completeness of risk data. For that …
------+44. Institutions should be able to produce aggregated risk information on a timely basis to meet …
------+45. Institutions should be able to generate aggregate data to meet a broad range of on-demand …
------+46. Institutions should ensure that their risk reporting process: a) is completely supported by …
---+4.4 Stress testing scope and coverage
------+47. Stress tests should take into account all types of material risk having regard to both the on- …
------+48. Stress tests should capture risks at various levels in an institution. In this regard …
------+49. Stress tests should take into account changes in correlations between risk types and risk …
------+50. Institutions should perform stress tests on an individual portfolio basis, covering all risk …
------+51. Institutions should ensure that they stress test portfolios and business lines or units to …
------+52. In particular, when considering inter-risk concentrations, institutions should aggregate across …
------+53. In order to deliver a complete and holistic picture of the institution’s risks, in addition to …
------+54. It should be taken into account that: a) risks at the institution-wide level may not be well …
------+55. A group or an institution that is internationally active should also perform stress tests at …
---+4.5 Proportionality
------+56. In accordance with the principle of proportionality, an institution’s stress testing programme …
------+57. Institutions should take into account their size and internal organisation, and the nature …
------+58. For the purpose of the application of the principle of proportionality and in order to ensure …
---+4.6 Stress testing types
------+59. The specific design, complexity and level of detail of the stress test methodologies should be …
------+60. Institutions should take into account the stage within the economic cycle when designing stress …
------+61. Institutions should identify appropriate, meaningful and robust mechanisms for translating risk …
------+62. The link between stressed risk factors and the risk parameters not only should be based on …
------+63. Because of the complexity involved in modelling hypothetical and macroeconomic-based risk …
------+64. Shortcomings of models and mechanisms that link risk factors with losses or increased risk …
------+65. Institutions should assess possible non-linear interactions between risk factors and stressed …
------+66. Institutions should conduct sensitivity analyses at the level of individual exposures …
------+67. Institutions should identify relevant risk factors at various levels of application of …
------+68. Institutions should define the risk factors identified using different degrees of severity as …
------+69. Where there are uncertainties about the robustness of the estimated dependency between …
------+70. Single risk factor analyses should be supplemented by simple multi-risk factor analyses, where …
------+71. Institutions should maintain a list of the risk factors identified. 4.6.3 Scenario analysis
------+72. Institutions should ensure that scenario analyses are a core part of their stress testing …
------+73. The design of the stress test scenarios should not only be based on historical events, but …
------+74. A range of scenarios should be considered to encompass different events and degrees of severity …
------+75. Institutions should ensure that their stress test scenarios meet at least the following …
------+76. Institutions should determine the time horizon of stress testing in accordance with the aim of …
------+77. Institutions should ensure that: a) stress tests explicitly take into account dynamic …
------+78. Institutions should make qualitative assessments of second-round or feedback effects of stress …
------+79. Institutions should ensure that stress testing is based on severe but plausible scenarios and …
------+80. Institutions should ensure that various degrees of severity are considered for both sensitivity …
------+81. Institutions should ensure that severity is set taking into account the specific …
------+82. Institutions should ensure that their scenarios assess absolute and relative changes of risk …
------+83. For assessing the appropriate degree of severity of scenarios, institutions should also compare …
------+84. Institutions should perform adequate reverse stress tests as part of the stress testing …
------+85. Institutions should include scenarios identified through the reverse stress testing to …
------+86. In carrying out their reverse stress tests, institutions should also consider whether failure …
------+87. Institutions should use reverse stress testing as a regular risk management tool in order to …
------+88. As part of their business planning and risk management, institutions should use reverse stress …
------+89. Institutions should use reverse stress testing in planning and decision-making and to challenge …
------+90. Where reverse stress testing reveals that an institution’s risk of business model failure is …
------+91. Institutions with particular business models, e.g. investment firms, should use reverse stress …
------+92. Institutions using internal models for credit risk, counterparty credit risk and market risk …
------+93. Institutions should perform qualitative analyses in developing a well-defined narrative of the …
------+94. Institutions should perform quantitative and more sophisticated analyses, taking into account …
------+95. Institutions should, where appropriate, use sensitivity analyses as a starting point for …
------+96. Institutions should use reverse stress testing as a tool to gather insights into scenarios that …
------+97. Institutions should develop scenarios of severe macroeconomic and financial distress, varying …
------+98. Because of the different objectives of the two sets of reverse stress tests, the stress tests …
------+99. Institutions should use reverse stress testing to assist with the development, assessment and …
------+100. Institutions should use reverse stress testing to identify the risk factors and further …
------+101. Reverse stress testing should contribute to the recovery plan scenarios by using a dynamic and …
---+4.7 Individual risk areas
------+102. Institutions should ensure that the stress testing of individual risk is proportional to the …
------+103. Institutions should take into account, at the individual level, the impact of second-round …
------+104. Institutions should analyse at least: a) a borrower’s ability to repay their obligations, e.g. …
------+105. Institutions should ensure that their institution-wide credit risk stress tests cover all …
------+106. Institutions should endeavour to determine specific risk factors and set out, on a preliminary …
------+107. Institutions should ensure that credit risk is assessed at various levels of shock scenarios …
------+108. Institutions should subject risk factors to sensitivity analyses, which in turn should provide …
------+109. Institutions should apply different time horizons when applying their stress scenarios. The …
------+110. When stress testing financial collateral values, institutions should identify conditions that …
------+111. In the design of scenarios, institutions should consider the impact of stress events on other …
------+112. Institutions should quantify the impact of the scenario in terms of credit losses (i.e. …
------+113. Institutions should consider, wherever possible, the following relevant parameters: PD, LGD …
------+114. For the estimation of future losses in stress tests, institutions should, where appropriate …
------+115. For the computation of EAD, an institution should also consider a credit conversion factor …
------+116. Institutions should apply, to the extent appropriate, credit risk internal model approaches …
------+117. When assessing their risk to leveraged counterparties or shadow banking entities, institutions …
------+118. Institutions should take into account securitisation risks that arise from structured credit …
------+119. Institutions should ensure that the stress testing of securitised assets addresses the credit …
------+120. The sensitivity to systemic market effects, affecting, for example, liquidity dry-outs or …
------+121. Stress tests should address all relevant contractual arrangements, the potential impact of …
------+122. Scenarios should also consider the default of one or more of the contractual counterparties …
------+123. If the institution relies on external ratings to assess the risk of securitised products, the …
------+124. When designing the stress testing approach, institutions should consider the following: a) the …
------+125. Institutions should take into account market risk, notably risks derived from losses resulting …
------+126. Institutions should conduct stress tests for their positions in financial instruments in …
------+127. Institutions should apply a range of severe but plausible scenarios for all positions referred …
------+128. When calibrating these stress tests, institutions should take into account at least the nature …
------+129. As instruments and trading strategies change over time, institutions should ensure that their …
------+130. Institutions should develop an appropriate approach to capturing the underestimation of tail …
------+131. Institutions should in particular: a) assess the consequences of major market disturbances and …
------+132. Institutions should be aware that relevant risk parameters related to operational risk may …
------+133. In order to stress relevant risk parameters, institutions should use the profit and loss (P&L) …
------+134. As operational losses may induce second-round effects (i.e. reputational risk), in order to …
------+135. Idiosyncratic risk factors should also be explored and used as inputs for scenario design. …
------+136. Institutions should consider the interactions of, and individual exposures to, such …
------+137. Institutions should analyse carefully the possible interaction of operational risk losses with …
------+138. The analysis of the stress test events should involve expert judgement, to include at least …
------+139. Institutions should design severe but plausible stress events. Assumptions may differ from …
------+140. Institutions should build their stress testing programme based on both internal and external …
------+141. Institutions should take into account that conduct-related risk, as part of legal risk under …
------+142. In their stress testing, institutions should assess the relevance and significance of the …
------+143. When measuring conduct-related risk, institutions should consider (a) the uncertainty around …
------+144. In order to capture the risk that the provisions are insufficient or timely inconsistent …
------+145. Institutions should collect and analyse quantitative and qualitative information about the …
------+146. In rare cases where an institution is unable to provide an estimate for an individual material …
------+147. Stress testing should also, where appropriate, be used to assess extreme losses associated …
------+148. Institutions should form a view on the unexpected losses that may originate from …
------+149. Institutions should take into account that liquidity or funding risks arise when an …
------+150. Institutions should take into account that liquidity or funding risks encompass: a) short- to …
------+151. Institutions should analyse and measure themselves against risk factors relating to both …
------+152. Institutions’ analysis of risk factors should take into account, but should not be limited to …
------+153. Institutions should subject these risk factors to sensitivity analyses which in turn should …
------+154. Institutions should apply the following three types of stress scenarios: an idiosyncratic …
------+155. Institutions should design different time horizons in their stress testing: the time horizons …
------+156. Institutions should combine the stress of the short- to medium-term liquidity risk with a …
------+157. Institutions should design a set of adverse behavioural assumptions for customers including …
------+158. In the design of scenarios, institutions should consider the impact of stress events for other …
------+159. The main methodology used for calculating the magnitude of the impact should be the net cash …
------+160. Institutions should extend the analysis, if appropriate, to other metrics, such as: a) …
------+161. When applying the different stress scenarios, institutions should assess and highlight …
------+162. Liquidity stress test metrics should include, if appropriate and in particular for at least …
------+163. Institutions should, where appropriate, integrate liquidity stress test in their …
------+164. This section is without prejudice to the EBA Guidelines on interest rate risk arising from …
------+165. Stress tests should support and be an integral part of the interest rate risk in the banking …
------+166. The interest rate scenarios used for stress testing purposes, including for the purposes of …
------+167. Institutions should ensure that the tests referred to in the previous paragraph are not only …
------+168. Institutions should consider the following elements: a) the spread risk, which arises from …
------+169. Institutions should be aware of potential indirect interest rate effects triggering losses …
------+170. Where less complex financial instruments are employed, institutions should calculate the …
------+171. Stress testing should be a key tool in the identification of concentration risk, as it allows …
------+172. In assessing this risk in their stress testing programmes, institutions should take into …
------+173. In stress testing, especially institution-wide and including group stress testing …
------+174. Stress tests should take into account changes in the business environment that may occur and …
------+175. The way in which concentrated exposures perform in response to the same risk factors should be …
------+176. Institutions should consider the impact on trading books from exposures to a single risk …
------+177. In order to assess the ex ante level of concentration risk and/or impact of the scenario on …
------+178. Institutions should consider the potential existence of overlaps between different …
------+179. Institutions should take into account that foreign exchange lending risk: a) may arise from …
------+180. In their stress testing programmes, institutions should take into account foreign exchange …
------+181. Institutions should consider, when designing or implementing their stress test scenarios, that …
------+182. Institutions should develop stress scenarios by changing different parameters to allow them to …
------+183. In order to assess potential vulnerability, institutions should be able to demonstrate …
------+184. When stress testing the foreign exchange lending risk, institutions should take into account …
------+185. Institutions should take into account possible significant weaknesses that may be built into …
------+186. While assessing the potential impact of foreign exchange lending on profitability in a certain …
---+4.8 Application of stress testing programmes
------+187. As part of ICAAP and ILAAP, institutions should ensure that they have enough capital and …
------+188. Furthermore, by means of stress testing, institutions should evaluate the reliability of their …
------+189. In addition to the general requirements related to institutions’ stress testing programmes …
------+190. ICAAP and ILAAP stress tests should be consistent with the risk appetite and overall strategy …
------+191. Furthermore, in their ICAAP stress test, institutions should assess their ability to stay …
------+192. When doing solvency stress tests for the purposes of ICAAP, institutions should also consider …
------+193. Supervisory stress testing conducted pursuant to Article 100 of Directive 2013/36/EU or the …
------+194. Institutions should identify credible management actions addressing the outputs of stress …
------+195. Institutions should consider a broad range of management actions (including within the …
------+196. To assess possible responses to a stressed situation, institutions should identify the …
------+197. Institutions should explain the qualitative and quantitative impacts of the stress before and …
------+198. Acceptable management actions will be subject to the guidance and judgement of competent …
------+199. Anticipated management actions differentiated by scenario and adjusted to the severity of the …
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4. Institutions’ stress testing
4. Institutions’ stress testing
1. Forbhreathnú
1.1 Tagairtí
1.2 Ceanglais aitheanta
1.3 Caighdeáin ghaolmhara
2. Ceanglais aitheanta
Ceanglais
| Foinse |
Ceanglas |
3. Caighdeáin ghaolmhara
Caighdeáin
| Foinse |
Ceanglas |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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