Related provisions for GENPRU 1.2.65

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BIPRU 7.10.55NRRP
3A firm must validate its approach to incremental risk charge. In particular, a firm must: (1) validate that its modelling approach for correlations and price changes is appropriate for its portfolio, including the choice and weights of its systematic risk factors;(2) perform a variety of stress tests (not limited to the range of events experienced historically), including sensitivity analysis and scenario analysis, to assess the qualitative and quantitative reasonableness of
BIPRU 5.4.53RRP
A firm must take into account the illiquidity of lower-quality assets. The liquidation period must be adjusted upwards in cases where there is doubt concerning the liquidity of the collateral. A firm must also identify where historical data may understate potential volatility, e.g. a pegged currency. Such cases must be dealt with by means of stress scenario assessments3.[Note:BCD Annex VIII Part 3 point 50]3