ALFI response to ESMA's consultation on the review of the methodology included in the Guidelines on stress test scenarios under the MMF Regu

24 April 2023

This consultation is related to a proposed update of the stress-testing methodologies applicable in the context of Article 28 of the MMF Regulation.

ALFI responded to ESMA’s consultation on the review of the methodology included in the Guidelines on stress test scenarios under the MMF Regulation.

These updates relate to the two following main aspects:

  • The liquidity scenario to account for assets and liabilities interactions (price impact incorporation)
  • The macro-scenario to capture prudential consequences (economic spill-over)

Two other items of second order importance relate to:

  • The opportunity to provide feedbacks on the overall framework
  • The (non) inclusion of climate risk in the scenarios

View the ALFI response.

 

 

ALFI


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