UK regulators' new stress-testing framework will include a price shock to bank trading book positions based largely on the speed at which they can be unwound in a period of stress. It will also require banks to recognise the impact of a stressed cost of funding on the valuation of uncollateralised derivatives.
The trading book focus is part of a new approach to stress testing announced by the Bank of England (BoE) today. It also includes an extension of stress scenarios to take in global as well
The week on Risk.net, May 12-18, 2018Receive this by email