6.5.1.4.3 Time Horizon Detailed Behavior
If Frequency is set to Instantaneous, the Start Date is automatically aligned to the updated Base Reference Date.
This enhancement introduces improved handling of scenario date parameters for cases where stress tests are intended to occur at a single point in time—a use case known as “instantaneous frequency.” This change is designed to offer the flexibility needed for both standard periodic stress testing (such as monthly or quarterly regulatory cycles) and for ad hoc or event-driven “as-of-date” scenarios, while maintaining data integrity and strict user control.
To support these workflows, the system now incorporates four scenario date parameters, each with a precise function:
Table 6-5 Four-Date Framework
| Date Parameter | Description |
|---|---|
| Base Reference Date | The source date from which unstressed (historical) data is extracted. Typically, this is a cut-off date for audited figures. |
| Current Value Date | The date up to which actual, unstressed figures are known and valid, before scenario shocks are applied. In many standard cases, this matches the base reference date. |
| Scenario Start Date | The date when the stress test horizon begins; shocks to portfolio values commence from this date. |
| First Forecast Date | The first date on which the system expects to produce a forecasted (stressed) output. Always greater than or equal to the scenario start date, and typically driven by the scenario’s frequency (e.g., month-end, quarter-end). |
Table 6-6 Scenario Date Entry Behavior by Frequency
| Frequency Type | Editable Fields | Auto-filled/Locked Fields | Validation Rule |
|---|---|---|---|
| Non-instantaneous | Base Reference Date, Current Value Date, Scenario Start Date, First Forecast Date | None (all must be entered) |
|
| Instantaneous | Base Reference Date, Current Value Date | Scenario Start Date, First Forecast Date (locked to Current Value Date) |
|