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