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

12.3.1 SA Parallel Up and Down

Figure 12-6 Formula of SA Parallel Up and Down


This image displays the Formula of SA Parallel Up and Down.

Description of the formula to calculate SA Parallel Up and Down follows:

Where Delta R for the parallel shift, for currency c on tenor (tk) is equal to the parallel Up and Down R-bar IRRBB-specified Shock Amount by currency.