Scenario Types and Economic Assumptions
|
Functional Objective |
Scenario Type |
Economic Assumption |
Jobstream |
|---|---|---|---|
|
Rate |
Historical |
Market rates |
Rate |
|
Charge |
Historical |
Market rates |
Instrument, Treasury Positions, Account |
|
Post (to ledger) |
Historical |
Market rates |
Post |
|
Forecast rate |
Forecast |
Market rates, deterministic drift |
Forecast Attribution, Forecast Rate |
|
Forecast charges |
Forecast |
Market rates, deterministic drift rates |
Forecast Attribution, Forecast Pool Charges |
|
Basel II credit risk |
Any |
Any |
Credit Risk |
Note: Forecast rates and charges can also be calculated through a market rate scenario, using forward rates.