Difference between revisions of "How to Conduct a Stress Testing Program"
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Latest revision as of 12:27, 25 September 2021
How to Conduct a Stress Testing Program
A firm wide stress testing program should have the following elements[1]:
- cover the different types of Stress Testing and their main objectives and applications
- establish the frequency of the different stress testing exercises
- specify the Internal Governance regime with clear responsibilities and procedures for the parties involved
- in case of a group of legal entities, the scope of the entities included and the coverage (e.g. risk types, asset portfolios) of the stress tests
- the methodological details, including any quantitative models used
- the range of assumptions, including business and managerial actions, and remedial actions envisaged for each stress test
- the relevant [Data Infrastructure]]
References
- ↑ EBA/CP/2016/28