Article 2 Specification of supervisory shock scenarios

Given, for each currency c, the specified size of the parallel, short and long shocks to the ‘risk-free’ interest rate, the following parameterisations of the six supervisory shock scenarios shall be applied:

1. Overview

,

Summary	Regulation
Article 2 (1)	Parallel shock for currency c: A constant parallel shock up or down across all time buckets:
Article 2 (2)	Short rate shock for currency c: where tk is the midpoint (in time) of the k th time bucket.
Article 2 (3)	Long rate shock for currency c:
Article 2 (4)	Rotation shocks for currency c: ;

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• Builddate: 24.04.2024 00:00:00 -Doknr: CELEX:32024R0856
• EULAW -

  European Regulation published on http://eur-lex.europa.eu/