| (10) |
Counterparty credit risk: operational requirements relating to stress testing |
As a minimum, the senior management of a bank that wishes to adopt the internal model method for the measurement of the bank's exposure to counterparty credit risk—
| (a) |
shall ensure that the bank has in place a robust stress-testing process, which stress-testing process, amongst other things, shall comply with the relevant minimum requirements specified in subregulation (8)(h) above; |
| (b) |
shall take a lead role in the integration of stress testing into the risk management framework and risk culture of the bank; |
| (c) |
shall ensure that the results of— |
| (i) |
the stress testing process are meaningful and proactively used to manage counterparty credit risk; |
| (ii) |
stress testing for significant exposures are compared to board-approved standards that express the bank's risk appetite and elevated for discussion and action when excessive or material concentrated risks are present. |
Medicines and Related Substances Act, 1965
