Shock: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Layout.) |
(Add link.) |
||
| (2 intermediate revisions by one other user not shown) | |||
| Line 20: | Line 20: | ||
== See also == | == See also == | ||
* [[Back test]] | * [[Back test]] | ||
*[[Confidence]] | |||
* [[Down-shock]] | * [[Down-shock]] | ||
* [[ | * [[Economic value of equity]] (EVE) | ||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[ | * [[Interest Rate Risk in the Banking Book]] (IRRBB) | ||
* [[NII]] | * [[NII]] | ||
* [[Non-parallel shock]] | * [[Non-parallel shock]] | ||
| Line 31: | Line 32: | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
[[Category:Financial_products_and_markets]] | |||
[[Category:Identify_and_assess_risks]] | |||
[[Category:Manage_risks]] | |||
[[Category:Risk_reporting]] | |||
[[Category:Risk_frameworks]] | |||
[[Category:The_business_context]] | [[Category:The_business_context]] | ||
Latest revision as of 16:47, 20 February 2024
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.
