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Home > Prudential Regulation Authority > Stress testing, scenario analysis and capital planning - SS6/13 SUPERSEDED
 

Stress testing, scenario analysis and capital planning - SS6/13 SUPERSEDED

19 December 2013

29 July 2015 – SS6/13 has been superseded by SS31/15, see:

The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) – SS31/15

This supervisory statement clarifies how the Prudential Regulation Authority (PRA) expects firms to undertake stress testing, scenario analysis and capital planning in accordance with Chapter 12 of the Internal Capital Adequacy Assessment rules in the PRA Rulebook.

The effective and meaningful use of stress testing and scenario analysis by firms is a critical factor in allowing them to identify the risks to which they might be exposed in the future. And to assess the appropriate capital that might be required to address those risks, thereby informing firms’ capital plans.

The supervisory statement sets out our expectations of firms in relation to stress testing and scenario analysis including:

  • scenarios appropriate to the firm’s nature, scale and complexity must be used to assess its potential vulnerabilities;
  • the governing body of the firm must be actively involved and engaged at all relevant stages; and
  • the results should feed through into the Internal Capital Adequacy Assessment Process (ICAAP).

Supervisory statement

Stress testing, scenario analysis and capital planning - SS6/13 

 

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