Regulatory Alerts2008-12-17 | Amendment of the parameters for conducting BaFin stress tests from 2009 (Circular 1/2004)Added · Updated
Amendment to BaFin Stress Test Parameters under Circular 1/2004
BaFin has amended the stress test parameters under Circular 1/2004, effective 31 December 2008. The update recalibrates the equities-only, mixed bonds/equities, and mixed property/equities scenarios by applying tiered stress factors based on EuroStoxx50 index levels, while maintaining the R 10 scenario. Institutions must additionally incorporate credit risk discounts for fixed-income investments and loans into all applicable stress test scenarios.
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