Capital Markets School

Internal Use Only

Stress Scenario Development - Assumptions

• Scenarios are a high-level picture of a potential negative event. • Do assumptions generated for that scenario accurately reflect event? • Do they assume an integrated stress event?

Internal Use Only

Stress Scenario Development - Assumptions • Are stresses kept relevant to the bank’s balance sheet & cash flows? • Are both short- & long-term stresses considered? • Is there any analysis of yield curve shift impacts on products?