Stress testing incorporating causal dependency [37]

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Bullet points include: Be particularly aware of exposures to positions that are sensitive to aggregate ‘market risk appetite’ Markets will not always behave rationally according to your view of ‘rational’ Be particularly aware of exposure to liquidity risk Again market participants may be particularly sensitive to this risk Keep things simple Chimes with creating coherent stories as per causal dependency links Bear in mind roll-over risk Long-term-ness in long-term contracts has a value

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