CEBS consults on its draft revised guidelines on stress testing
14 December 2009
The revised guidelines draw on the experience supervisors have obtained by reviewing institutions’ stress tests. They are supplemented by a number of annexes focusing on the stress testing of specific risks as market risk, securitisation or credit risk.
The Committee of European Banking Supervisors (CEBS) today publishes the draft of its revised Guidelines on stress testing for consultation. The consultation is open to all interested parties, including supervised institutions and other market participants.
The revised guidelines draw on the experience that supervisors have obtained by reviewing institutions’ stress tests in recent years, and take account of the
revised principles for sound stress testing practices and supervision published by the Basel Committee of Banking Supervision (BCBS).
Given the experience gathered during the financial crisis, the guidelines are designed to assist institutions and supervisors in achieving robust, methodologically sound outputs that are effective in identifying risks and their potential mitigants during stressed conditions and their overall impact on an institution.
The guidelines aim to assist institutions in designing and implementing stress-testing programmes with a robust governance structure, meaningful senior management engagement and an effective infrastructure, including information technology, data handling and skilled human resources. The revised guidelines also provide assistance to supervisors in their assessments of institutions’ stress testing. It is intended that the guidelines should be implemented by institutions proportionately, having regard to the nature, scale, and complexity of the activities of the institution concerned.
The revised guidelines are designed to be as practical as possible and aim to identify the relevant 'building blocks' in an effective stress testing programme.
The revised guidelines are supplemented by a number of annexes that focus on the stress testing of specific risks (market risk, securitisation, credit risk, operational risk, interest rate risk in the banking book and concentration risk).
Deadline for comments is 31 March 2010.
A public hearing will be held on 10 March 2010 at CEBS’s premises in London, from 10:00 to 13:00 to allow interested parties to share their views with CEBS.
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