Stress testing of estimates of counterparty credit risks should also be required. The logic is the same as for market risk. The factors that are used to determine supervisory capital requirements for counterparty credit exposures are based on statistical analyses of non-panic periods. Moreover, during panic periods the usual assumption that potential future exposures are uncorrelated with default probabilities becomes invalid.
In that case, Danmarks Nationalbank would quite simply take over the market's function. Our efforts are designed to ensure that the fluctuations are so moderate that for most ordinary business enterprises - in contrast to foreign-exchange dealers - they no longer even need to be considered. Our instruments are also well-known: intervention in the currency market and adjustments to Danmarks Nationalbank's interest rates.