+407. Competent authorities should also assess whether the institution takes a conservative approach …

407. Competent authorities should also assess whether the institution takes a conservative approach …

Competent authorities should also assess whether the institution takes a conservative approach to setting stress testing assumptions. Depending on the type and severity of the scenario, competent authorities should consider, as relevant, the appropriateness of a number of assumptions, in particular:

  • a. the run-off of retail funding;
  • b. the reduction of secured and unsecured wholesale funding;
  • c. the correlation between funding markets and diversification across different markets;
  • d. additional contingent off-balance sheet exposures;
  • e. funding tenors (e.g. where the funding provider has call options);
  • f. the impact of any deterioration of the institution’s credit rating;
  • g. FX convertibility and access to foreign exchange markets and correspondent banking accounts;
  • h. the ability to transfer liquidity across entities, sectors and countries;
  • i. estimates of future balance-sheet growth;
  • j. due to reputational risks, an implicit requirement for the institution to roll over assets and to extend or maintain other forms of liquidity support.

1. Overzicht

,

1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

Eisen

3. Gerelateerde standaarden

Standaarden
  • EBA -

    EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

    DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.