Shock: Difference between revisions
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imported>Doug Williamson (Add links.) |
imported>Doug Williamson (Layout.) |
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1. | 1. ''Interest rate risk analysis and management.'' | ||
''Interest rate risk analysis and management.'' | |||
A change in interest rates, used to analyse interest rate risk. | A change in interest rates, used to analyse interest rate risk. | ||
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* [[Non-parallel shock]] | * [[Non-parallel shock]] | ||
* [[Parallel shock]] | * [[Parallel shock]] | ||
* [[Scarring]] | |||
* [[Up-shock]] | * [[Up-shock]] | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
[[Category:The_business_context]] | |||
[[Category:Cash_management]] | |||
[[Category:Financial_products_and_markets]] | |||
[[Category:Liquidity_management]] | |||
Revision as of 15:22, 20 June 2020
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.
