Include material risks in stress scenarios

Aufsichtserwartung

The stress scenarios should comprise all material risks that may deplete internal capital or impact regulatory capital ratios and be used as part of the institution’s stress-testing programme in both the economic and normative perspective.

Adressat: Institutions

Fundstelle: Guide on climate-related and environmental risks, Expectation 11

Quelldokument

• Guide on climate-related and environmental risks - Supervisory expectations relating to risk management and disclosure (November 2020)