Vietnam: Supplementing requirements for constructing stress scenarios in banking sector
Recently, the State Bank of Vietnam has issued Circular No. 40/2018/TT-NHNN amending and supplementing Circular No. 13/2018/TT-NHNN prescribing internal control systems of commercial banks and foreign bank branches.
Article table of contents
According to Circular No. 40/2018/TT-NHNN of the State Bank of Vietnam, the commercial bank and/or the foreign bank branch shall construct stress scenarios as detailed below:
- For interest rate assumptions: Calculate the influence on the prudential ratio, based on the respective change in total asset weighted according to the operational risk, market risk (interest rate risk) and IRRBB based on the interest rate assumption;
- For exchange rate and gold price assumptions: Calculate the influence on the prudential ratio, based on the respective change in total asset weighted according to the operational risk, market risk (foreign exchange risk) based on the exchange rate and gold price assumption;
- For credit quality assumptions: Calculate the influence on the prudential ratio, based on the respective change in total asset weighted according to the operational risk and credit risk based on the credit quality assumption.
View details at Circular No. 40/2018/TT-NHNN of the State Bank of Vietnam, effective from February 12, 2019.
- Thanh Lam -
- Key word:
- Circular No. 40/2018/TT-NHNN
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