This refers to Guidelines on Stress Testing issued vide BSD Circular No. 5 dated October 27, 2005.
State Bank, in pursuance of its goal to further strengthen the risk management capacity of banks and DFIs, has revised the existing Guidelines on Stress Testing in conformity with international standards and improved capacity of banks/DFIs to perform such analysis. The revised guidelines have been divided into three sections; Section 1 prescribes standards for designing and implementing the stress-testing framework, Section 2 delineates the mandatory set of stress tests for credit, market and liquidity risk factors using sensitivity analysis, and Section 3 provides guidance on optional stress tests for operational risk, Islamic banking, and advanced approaches, including scenario analysis, and reverse stress tests.
All banks and DFIs are advised to submit the results of the stress tests as specified in Section 2 on the prescribed format (Annexure –C) of these Guidelines to the Banking Surveillance Department on quarterly basis, starting from quarter ending June 30, 2012, within 30 days of the close of each quarter.
Please acknowledge receipt.
Enclosure:-