In carrying out the stress tests and scenario analyses in 12.1, a
firm must identify an appropriate range of adverse circumstances of varying
nature, severity and duration relevant to its business and risk profile and
consider the exposure of the firm to those circumstances, including:
(a) circumstances and events occurring over a protracted period of time;
(b) sudden and severe events, such as market shocks or other similar
events; and
(c) some combination of the circumstances and events described in (a) and
(b), which may include a sudden and severe market event followed by an
economic recession.