1. Cash Flow Engine Reference Guide
  2. Forecast Rate Calculations
  3. Standardized Approach Shocks
  4. SA Short Up and Down

12.3.2 SA Short Up and Down

Figure 12-7 Formula for SA Short Up and Down


This image displays the formula for SA Short Up and Down.

Description of formula to calculate SA Short Up and Down follows:

Figure 12-8 Formula to calculate SA Short Up and Down


This image displays the Formula to calculate SA Short Up and Down.

Where Delta R short shock for currency c on tenor (tk) is equal to the up or down R-bar rate in basis points by currency times the Sshort scaling factor on tenor (tk), which is equal to the natural exponent of the quantity of the negative yield curve tenor length in years (tk), divided by x = 4. The constant x, as with other SA shock formula constants, are stored in FSI_IRC_STDAPRCH_SHOCKS.