Skip to main content

Article 5: Stress Testing

C 165/2018 Effective from 29/8/2018
  1. A Bank must include appropriate scenarios in its stress testing programs to measure its vulnerability to loss under adverse interest rate movements, including but not limited to the impact on the banking book of a standardized interest rate shock as prescribed by the Central Bank.
     
  2. A Bank must ensure that its internal capital measurement systems adequately capture IRRBB.