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Stress testing / Liquidity and funding risk [7]

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Bullet points include: Analysis of impact on portfolio (or firm) of movements in specific market drivers, such movements being appropriately within the envelope of the plausible range of outcomes E.g. Stock market down 40%, Oil up 30%, currency devalues by x% Historic worst loss A specialised type of ‘VaR’? Specific industry-wide stresses mandated by the regulator and used in capital computations Similar to (1) but set by the regulator A focus on configurations of events that might lead to large losses

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