12
Stress Tests and Scenario Analysis
General stress test and scenario analysis rule
12.1
As part of its obligation under the overall Pillar 2 rule in 3.1, a firm must, for the major sources of risk identified in accordance with that rule, carry out stress tests and scenario analyses that are appropriate to the nature, scale and complexity of those major sources of risk and to the nature, scale and complexity of the firm's business.
- 01/01/2014
12.2
In carrying out the stress tests and scenario analyses in 12.1, a firm must identify an appropriate range of adverse circumstances of varying nature, severity and duration relevant to its business and risk profile and consider the exposure of the firm to those circumstances, including:
- (a) circumstances and events occurring over a protracted period of time;
- (b) sudden and severe events, such as market shocks or other similar events; and
- (c) some combination of the circumstances and events described in (a) and (b), which may include a sudden and severe market event followed by an economic recession.
- 01/01/2014
12.3
In carrying out the stress tests and scenario analyses in 12.1, the firm must estimate the financial resources that it would need in order to continue to meet the overall financial adequacy rule in 2.1 and the obligations laid down in Part Three of the CRR under the adverse circumstances being considered.
- 01/01/2014