92. 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 prescribed interest rate shock scenarios as referred to in paragraph 5 of Article 98 of Directive 2013/36/EU;
• (d) Any additional interest rate-shock scenarios required by supervisors;
• (e) That the validity of diversification assumptions is appropriately stressed; and
• (f) In low interest rate environments, institutions should also consider negative interest rate scenarios and the possibility of asymmetrical effects of negative interest rates on their interest rate sensitive instruments.

1. Áttekintés

1.1 Hivatkozások

1.2 Azonosított követelmények

1.3 Kapcsolódó szabványok

2. Azonosított követelmények

3. Kapcsolódó szabványok

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