4.3.7.1 Currency Shocks

The Standardized Approach specifies that yield curves of specific currencies must be shocked in differing manners. There are 14 predefined currencies, however it is expected that these default values may be modified or that new currencies may be added/removed at the client's discretion.

Here, you can search, sort, and filter a Currency. "Defined Status" can only sort capability.

This section is divided into two blocks:

• The top block shows the list of available currencies.
• The bottom block allows you to View/Edit The Standardized Approach settings for this currency.

Figure 4-81 Currency Shocks

The top block lists all active, defined currencies as defined in Rate Management (FSI_CURRENCIES).

The status of Currency Shock is also displayed as Defined or Undefined. If the Currency details are matches to the IRRBB Standardized Approach table (FSI_IRC_STDAPRCH_SHOCKS), then the status of currency is "Defined" . Else, the status of currency is "Undefined".

When you click Undefine button, a confirmation message is displayed: "The active currency will be permanently removed from IRRBB Standardized Approach Shocks. Continue?". Once you confirm, the active currency is deleted from the standardized Approach table FSI_IRC_STDAPRCH_SHOCKS and its status becomes "Undefined".