Stress testing / Liquidity and funding risk [8]

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Bullet points include: In the past many firms have used standardised stress tests May assist firms in comparing across times and supervisors comparing firms E.g. Derivatives Policy Group (DPG) “Framework for Voluntary Oversight” Examples: Parallel yield curve shift of 100 bp up or down Change in slope of yield curve and /or combination of shift and slope change Change in yield volatilities by 20 per cent of prevailing levels Change in equity index values by 40%

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