Measuring and managing market, credit and Op risk [97]

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Bullet points include: Increasing regulatory focus on stress testing Including liquidity stresses E.g. Reverse stress-testing or “test to destruction” But these again typically just focus on the PD element What we ideally need is a “test beyond destruction” Otherwise we will miss the LGD element As regulators point out, capital is held to cover both the going concern and the gone concern situation, hence different Tiers

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