Related provisions for BIPRU 7.1.20

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BIPRU 12.4.2RRP
In accordance with BIPRU 12.3.11R, BIPRU 12.4.-2 R and BIPRU 12.4.-1 R,2 a firm must ensure that its governing body reviews regularly the stresses and scenarios tested to ensure that their nature and severity remain appropriate and relevant to that firm.
BIPRU 12.4.3GRP
Consistent with BIPRU 12.3.5R, the expects that the extent and frequency of such testing, as well as the degree of regularity of governing body review under BIPRU 12.4.2R, should be proportionate to the nature scale and complexity of a firm's activities, as well as to the size of its liquidity risk exposures. Consistent with the appropriate regulator's statutory objectives under the Act, in assessing the adequacy of a firm's stress testing arrangements (including their frequency
BIPRU 12.4.4GRP
For the purposes of BIPRU 12.4.2R, a review should take into account:(1) changes in market conditions;(2) changes in the nature, scale or complexity of the firm's business model and activities; and(3) the firm's practical experience in periods of stress.
BIPRU 12.4.5ARRP
2A firm must consider the potential impact of institution-specific, market-wide and combined alternative scenarios. Different time periods4and varying degrees of stressed conditions must be considered.42[Note: article 86(9) of the CRD]4
BIPRU 2.2.5GRP
The obligation to conduct an ICAAP, includes requirements on a firm to:(1) carry out regularly assessments of the amounts, types and distribution of financial resources, capital resources and internal capital that it considers adequate to cover the nature and level of the risks to which it is or might be exposed (GENPRU 1.2.30 R to GENPRU 1.2.41 G (the overall Pillar 2 rule and related rules);(2) identify the major sources of risk to its ability to meet its liabilities as they
BIPRU 2.2.12AGRP
4As part of its SREP, the appropriate regulator will also consider whether a firm should hold a capital planning buffer and, in that case, the amount and quality of such capital planning buffer. In making these assessments, the appropriate regulator will have regard to the nature, scale and complexity of a firm's business and of the major sources of risks relevant to such business as referred to in the general stress and scenario testing rule. Accordingly, a firm's capital planning
BIPRU 2.2.19BGRP
4For the purposes of BIPRU 2.2.19A G, BIPRU 2.2.17 G to BIPRU 2.2.19 G apply as they apply to individual capital guidance. References in those provisions to individual capital guidance or guidance should be read as if they were references to capital planning buffer. In relation to BIPRU 2.2.19G (3) and GENPRU 1.2.59 R, where the general stress and scenario testing rule, as part of the ICAAP rules, applies to a firm on a consolidated basis, the appropriate regulator may notify
BIPRU 2.2.25GRP
(1) This paragraph applies to a small3firm whose activities are simple and primarily not credit-related.3(2) In carrying out its ICAAP it could:(a) identify and consider that firm's largest losses over the last 3 to 5 years and whether those losses are likely to recur;(b) prepare a short list of the most significant risks to which that firm is exposed;(c) consider how that firm would act, and the amount of capital that would be absorbed, in the event that each of the risks identified
BIPRU 2.2.48GRP
(1) 66BIPRU 2.2.61 G to BIPRU 2.2.70 G set out guidance for:(a) 6[deleted]6(b) an asset management firm; and(c) a securities firm;whose activities are either simple or moderately complex.(2) BIPRU 2.2.49 G to BIPRU 2.2.70 G provide examples of the sorts of risks which such a firm might typically face and of stress tests or scenario analyses which it might carry out as part of its ICAAP.(3) The material on securities firms is also relevant to a commoditiesfirm.
BIPRU 7.1.17RRP
3A firm must conduct a regular programme of stress testing and scenario analysis of its trading bookpositions, both at the trading desk level and on a firm-wide basis. The results of these tests must be reviewed by senior management and reflected in the policies and limits the firm sets.
BIPRU 7.1.18RRP
3In carrying out the stress tests and scenario analyses required by BIPRU 7.1.17 R, a firm must incorporate and take into account any other relevant stress tests and scenario analyses that it is required to carry out under any other provision of the Handbook, and in particular under BIPRU 7.10.72 R where the firm has a VaR model permission.
BIPRU 7.1.19GRP
3This paragraph gives guidance in relation to the stress testing programme that a firm must carry out in relation to its trading bookpositions.(1) The frequency of the stress testing of trading bookpositions should be determined by the nature of the positions.(2) The stress testing should include shocks which reflect the nature of the portfolio and the time it could take to hedge out or manage risks under severe market conditions.(3) The firm should have procedures in place to
MIPRU 4.2D.10RRP
A firm must ensure that its governing body reviews regularly the stresses and scenarios tested and the assumptions underlying the funding position of the firm to ensure that their nature and severity remain appropriate and relevant to it.
MIPRU 4.2D.13RRP
(1) A firm must have in place contingency funding plans setting out adequate strategies and proper implementation measures in order to address potential liquidity shortfalls. (2) The contingency funding plans must be: (a) in writing;(b) approved by the firm'sgoverning body;(c) regularly tested; and(d) updated on the basis of the outcome of the stress tests, testing alternative scenarios set out in MIPRU 4.2D.8 R.
BIPRU 7.10.55NRRP
3A firm must validate its approach to incremental risk charge. In particular, a firm must: (1) validate that its modelling approach for correlations and price changes is appropriate for its portfolio, including the choice and weights of its systematic risk factors;(2) perform a variety of stress tests (not limited to the range of events experienced historically), including sensitivity analysis and scenario analysis, to assess the qualitative and quantitative reasonableness of
BIPRU 2.3.4GRP
BIPRU 2.3 sets out more detail on how the systems and controls requirements in SYSC1 and GENPRU 1.2.30 R (Processes, strategies and systems for risks) and the requirements about stress and scenario testing in GENPRU 1.2.36 R apply to interest rate risk in the non-trading book.
BIPRU 2.3.7RRP
(1) As part of its obligations under GENPRU 1.2.30 R (Processes, strategies and systems for risks) and GENPRU 1.2.36 R (Stress and scenario tests) a firm must carry out an evaluation of its exposure to the interest rate risk arising from its non-trading activities.(2) The evaluation under (1) must cover the effect of a sudden and unexpected parallel change in interest rates of 200 basis points in both directions.(3) A firm must immediately notify the appropriate regulator if any
INSPRU 7.1.9AGRP
2This section sets out in greater detail the approach to be taken by a firm when carrying out the assessment of capital described in the preceding paragraph. This is the assessment referred to as an individual capital assessment. 3GENPRU 1.2.42 R is a general requirement for a firm to carry out stress tests and scenario analyses taking into account an appropriate range of adverse circumstances and events relevant to the firm's business and risk profile and to estimate the financial
INSPRU 7.1.10GRP
A firm may choose to carry out its ICA in another way than through the use of stress tests and scenario analyses. 3The method should be proportionate to the size and nature of its business.33
INSPRU 7.1.12GRP
The appropriate regulator may ask for the results of these assessments to be provided to it together with a description of the processes by which the assessments have been made, the range of results from each stress test or scenario analysis performed and the main assumptions made. The appropriate regulator may also carry out a more detailed examination of the details of the firm's processes and calculations.
BIPRU 4.3.39AGRP
4The appropriate regulator expects that firms will routinely make use of stress testing and scenario analysis as a tool in the calibration and/or validation of their IRB approach parameters in order to increase the accuracy or, at least, the conservatism of the estimates. Stress testing should include a thorough exploration of various outturns different to the firm's normal expectations in order to give the firm a clear view of the potential for the forward-looking estimate to
REC 2.3.17GRP
4The financial risk assessment should be based on a methodology which provides a reasonable estimate of the potential business losses which a UK RIE might incur in stressed but plausible market conditions. The FCA5 would expect a UK RIE to carry out a financial risk assessment at least once in every twelve-month period, or more frequently if there are material changes in the nature, scale or complexity of the UK RIE's operations or its business plans that suggest such financial
BIPRU 5.2.9RRP
A firm must be able to satisfy the appropriate regulator that it has adequate risk management processes to control the 1risks to which the firm may be exposed as a result of carrying out credit risk mitigation. Those processes must include appropriate stress tests and scenario analyses relating to those risks, including residual risk and the risks relating to the intrinsic value of the credit risk mitigation1.[Note: BCD Annex VIII Part 2 point 1]1
BIPRU 7.11.61GRP
BIPRU 7.11.62 G - 4BIPRU 7.11.63 G4 cover risks relating to credit derivatives that may not be captured in this section. This guidance is of particular relevance to the overall financial adequacy rule, the overall Pillar 2 rule and the general stress and scenario testing rule.
SYSC 21.1.5GRP
(1) The FCA9 considers that, while the firm'sgoverning body is ultimately responsible for risk governance throughout the business, firms should consider establishing a governing body risk committee to provide focused support and advice on risk governance.(2) Where a firm has established a governing body risk committee, its responsibilities will typically include:(a) providing advice to the firm'sgoverning body on risk strategy, including the oversight of current risk exposures
MIPRU 4.2C.10RRP
(1) 1A firm must satisfy the FCA that it has adequate risk management processes to control the risks to which it may be exposed as a result of carrying out credit risk mitigation.(2) These processes must include appropriate stress tests and scenario analyses relating to those risks, including residual risk and the risks relating to the intrinsic value of the credit risk mitigation.
SUP 4.3.15GRP
SUP 4.3.13 R is not intended to be exhaustive of the professional advice that a firm should take whether from an actuary appointed under this chapter or from any other actuary acting for the firm. Firms should consider what systems and controls are needed to ensure that they obtain appropriate professional advice on financial and risk analysis; for example:11(1) risk identification, quantification and monitoring;1(2) stress and scenario testing;1(3) ongoing financial conditions;1(4)
SYSC 12.1.9GRP
For the purposes of SYSC 12.1.8 R, the question of whether the risk management processes and internal control mechanisms are adequate, sound and appropriate should be judged in the light of the nature, scale and complexity of the group's business and of the risks that the group bears. 18141212144
BIPRU 5.4.53RRP
A firm must take into account the illiquidity of lower-quality assets. The liquidation period must be adjusted upwards in cases where there is doubt concerning the liquidity of the collateral. A firm must also identify where historical data may understate potential volatility, e.g. a pegged currency. Such cases must be dealt with by means of stress scenario assessments3.[Note:BCD Annex VIII Part 3 point 50]3