Concept Paper on Stress Testing
BNM/RH/CP 029-13; Consultation Paper; Issuing Authority: Bank Negara Malaysia
14 October 2016 | Source: Bank Negara Malaysia
This Concept Paper sets out the Bank's expectations and guidance with regards to the governance, design, coverage of risks, and implementation of a stress testing programme.

TABLE OF CONTENTS

PART A OVERVIEW

1 Introduction

2 Applicability

3 Legal provisions

4 Effective date

5 Interpretation

6 Related legal instruments and policy documents

7 Policy documents superseded

PART B STRESS TESTING POLICY REQUIREMENTS

8 General requirements

9 Responsibilities of the board and senior management

10 Policies, procedures and documentation

11 Infrastructure and information system

12 Stress testing approaches

13 Stress testing methodologies

14 Construction of internally developed scenarios

15 Reverse stress testing requirement

16 Use of stress testing results in formulating management actions

17 Independent review

18 Supervisory review and evaluation

19 Reporting of stress test and reverse stress test

20 Stress tests based on specified scenarios

PART C STRESS TESTING FOR MAJOR RISK CATEGORIES

21 Credit risk

22 Market risk

23 Interest rate/rate of return risk in the banking book

24 Liquidity risk

25 Risk from securitisation activities

26 Operational and Shariah non-compliance risks

27 Financial group risk

APPENDICES

APPENDIX 1 Factors to be considered in management actions

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