+Article 2 Specification of supervisory shock scenarios
---+Article 2 (1)
---+Article 2 (2)
---+Article 2 (3)
---+Article 2 (4)

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. Panoramica

,
Article 2 (1)

Parallel shock for currency c: A constant parallel shock up or down across all time buckets:

Formula

Article 2 (2)

Short rate shock for currency c:

Formula

where tk is the midpoint (in time) of the k th time bucket.
Article 2 (3)

Long rate shock for currency c:

Formula

Article 2 (4)

Rotation shocks for currency c:

Formula
;

Formula

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

Requisiti

3. Standard correlati

Standard