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MIR 4.7.27

Past version: effective from 21/10/2015 - 20/10/2015
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In conducting stress testing, a Recognised Clearing House should consider:

(a) a wide range of relevant scenarios including relevant peak historic price volatilities, shifts in other market factors such as price determinants and yield curves, multiple defaults over various time horizons, simultaneous pressures in funding and asset markets, and a spectrum of forward-looking stress scenarios in a variety of extreme but plausible market conditions;
(b) the design and operation of the Recognised Clearing House;
(c) all entities that may pose material liquidity risks to the Recognised Clearing House (such as settlement banks, custodian banks, liquidity providers, and other involved entities); and
(d) where appropriate, for price fluctuations during a multi-day period.