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Effective from Nov 23 2011 - Nov 22 2011 To view other versions open the versions tab on the right
Banks are expected to take into account the following factors in designing their stress testing programs:
i.
The overall stress testing process should be managed/coordinated by the Chief Risk Officer of the bank;
ii.
Stress testing process should identify and stress all relevant risks faced by the bank. This should cover all risks prevalent in the entire portfolio of the bank including both on-balance sheet and off-balance sheet positions;
iii.
The frequency of stress tests should be determined in line with the requirements set out under Section 2.4;
iv.
The stress scenarios should be developed by using both quantitative and qualitative factors and can be based on historical events and/or expert judgment;
v.
The adequacy of IT system and availability of required data for conducting robust stress tests. The IT system should be capable of producing aggregate data at portfolio level as well as granular data at the level of business units;
vi.
The effectiveness of the bank’s stress testing framework. The stress testing program may be independently evaluated by the bank’s internal audit function or by a third-party consultant engaged for this purpose.
