127. Institutions should apply a range of severe but plausible scenarios for all positions referred …

Institutions should apply a range of severe but plausible scenarios for all positions referred to in the previous paragraph, e.g. exceptional changes in market prices, shortages of liquidity in the markets and the defaulting of large market participants. Dependencies and correlations between different markets and, consequently, adverse changes in correlations should, where appropriate, also be taken into account and factored in. The impact on accounting credit value adjustment (CVA) and on reserves related to institutions’ portfolios (e.g. reserves for liquidity, for modelling uncertainties) should be taken into account equally in stress tests. Market risk reserve stress testing should be substantiated.

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/