Stress testing incorporating causal dependency [30]

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Bullet points include: Compare versus ‘standardised’ stress tests, e.g. as set by regulator (more top down in nature, although probably have chosen by reference to typical vulnerabilities of similar organisations) Compare versus worst losses applicable to risk factors present in our portfolio and in longest readily available data series More ‘bottom up’ in style Although if a particularly long data series then far past may not have much current relevance Could also compare with worst losses our own portfolio has actually suffered in the past, but portfolio construction may have changed over time

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