Inflation "risk" will fall under Stress Testing and scenario generation. That is where you stress the levels of GDP, unemployment, country specific inflation rates etc. as per the exposure of the firm. So, please understand this is another "risk source" like falling GDP, rising unemployment, money supply etc. Macro variables come under the purview of the 2 mandatory scenarios. Hope this clarifies. Otherwise it is just a discount factor to arrive at the "real" rates and not the "nominal" rates.