Stress testingStress testing

Stress testing

1. An ADI must have in place a comprehensive and rigorous program of stress testing its internal model. Stress testing must include:
   1. consideration of a breakdown in the ADI’s key modelling assumptions, such as its repricing assumptions; and
   2. scenarios based on sudden changes in the level of interest rates and changes in the slope and shape of the yield curve.
2. An ADI’s policies and limits must reflect the results of stress-testing exercises and these results must be communicated to relevant senior management and the ADI’s Board, or Board committee, on a regular basis.