Scenario Severity
From Open Risk Manual
Scenario Severity
Scenario Severity in a Bank Stress Testing context denotes the degree of deterioration of the Scenario expressed in terms of the underlying macroeconomic and financial variables (or any other assumptions) [1]
The greater the severity of the scenario, in general, the larger the impact of the Stress Test on the firm, thereby determining the actual Severity of the Stress Test
References
- ↑ EBA/CP/2016/28
