Shock: Difference between revisions
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imported>Doug Williamson (Expand. Source: NASDAQ http://www.nasdaq.com/investing/glossary/e/economic-shock) |
imported>Doug Williamson (Add links.) |
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A large, usually adverse, change in market conditions. | A large, usually adverse, change in market conditions. | ||
== See also == | == See also == | ||
* [[Back test]] | * [[Back test]] | ||
* [[EVE]] | |||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[IRRBB]] | * [[IRRBB]] | ||
* [[NII]] | |||
* [[Non-parallel shock]] | * [[Non-parallel shock]] | ||
* [[Parallel shock]] | * [[Parallel shock]] | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
Revision as of 15:04, 24 August 2016
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.
