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Banks Act, 1990 (Act No. 94 of 1990)

Regulations

Regulations relating to Banks

Chapter III : Corporate Governance

39. Process of corporate governance

Subregulation (10) Counterparty credit risk: operational requirements relating to stress testing

 

(10) Counterparty credit risk: operational requirements relating to stress testing

 

As a minimum, the senior management of a bank that wishes to adopt the internal model method for the measurement of the bank's exposure to counterparty credit risk—

(a) shall ensure that the bank has in place a robust stress-testing process, which stress-testing process, amongst other things, shall comply with the relevant minimum requirements specified in subregulation (8)(h) above;
(b) shall take a lead role in the integration of stress testing into the risk management framework and risk culture of the bank;
(c) shall ensure that the results of—
(i) the stress testing process are meaningful and proactively used to manage counterparty credit risk;
(ii) stress testing for significant exposures are compared to board-approved standards that express the bank's risk appetite and elevated for discussion and action when excessive or material concentrated risks are present.