SSAE and Shock: Difference between pages

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imported>Doug Williamson
(Create page. Sources: Smart Cash conference report Spring 2017, p14 & AICPA webpage https://www.aicpa.org/Research/Standards/AuditAttest/Pages/SSAE.aspx)
 
imported>Doug Williamson
(Mend link.)
 
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''Auditing - US''
1. ''Interest rate risk analysis and management.''


Statements on Standards for Attestation Engagements, issued by the AICPA in relation to auditing and assurance work, including systems and controls.
A change in interest rates, used to analyse interest rate risk.


The shock is usually a simplified risk modelling assumption (although the source of the assumption could also be an assumed future repetition of an actual shock that happened in the past).


==See also==
 
*[[AICPA]]
The simplest form of interest shock is a change which is:
*[[Assurance]]
 
*[[Auditing standards]]
*Immediate; and
*[[Controls]]
*Permanent;
*And which affects all interest rates by an equal amount.
 
 
2.
 
A large, usually adverse, change in market conditions.
 
 
== See also ==
* [[Back test]]
* [[Down-shock]]
* [[Economic value of equity]] (EVE)
* [[Interest rate risk]]
* [[Interest Rate Risk in the Banking Book]] (IRRBB)
* [[NII]]
* [[Non-parallel shock]]
* [[Parallel shock]]
* [[Scarring]]
* [[Up-shock]]
* [[Yield curve risk]]
 
[[Category:The_business_context]]
[[Category:Identify_and_assess_risks]]
[[Category:Manage_risks]]
[[Category:Risk_frameworks]]
[[Category:Risk_reporting]]
[[Category:Cash_management]]
[[Category:Financial_products_and_markets]]
[[Category:Liquidity_management]]

Revision as of 09:22, 24 June 2022

1. Interest rate risk analysis and management.

A change in interest rates, used to analyse interest rate risk.

The shock is usually a simplified risk modelling assumption (although the source of the assumption could also be an assumed future repetition of an actual shock that happened in the past).


The simplest form of interest shock is a change which is:

  • Immediate; and
  • Permanent;
  • And which affects all interest rates by an equal amount.


2.

A large, usually adverse, change in market conditions.


See also