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. Visão geral

1.1 Referências

1.2 Requisitos identificados

1.3 Normas relacionadas

2. Requisitos identificados

3. Normas relacionadas

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