Given, for each currency c, the specified size of the parallel, short and long shocks to the ‘risk-free’ interest rate, the following parameterisations of the six supervisory shock scenarios shall be applied:
Parallel shock for currency c: A constant parallel shock up or down across all time buckets:
\Delta \mathrm{R}_{\mathrm{parallel,c}} (\mathrm{t}_{\mathrm{k}}) = \overline{\mathrm{R}_{\mathrm{parallel,c}}}
Short rate shock for currency c:
\Delta \mathrm{R}_{\mathrm{short},\mathrm{c}}(t_{k}) = \mathrm{R}_{\mathrm{short},\mathrm{c}}^{-} \cdot \mathrm{e}^{\frac{-t_{k}}{4}}
where tk is the midpoint (in time) of the kth time bucket.
Long rate shock for currency c:
\Delta R_{\mathrm{long}, \mathrm{c}}(t_k) = \bar{R}_{\mathrm{long}, \mathrm{c}} \cdot \left(1 - \mathrm{e}^{\frac{-t_k}{4}}\right)
Rotation shocks for currency c:;
\Delta \mathrm{R}_{\mathrm{steepener},\mathrm{c}}(t_k) = -0.65 \cdot |\Delta \mathrm{R}_{\mathrm{short},\mathrm{c}}(t_k)| + 0.9 \cdot |\Delta \mathrm{R}_{\mathrm{long},\mathrm{c}}(t_k)|
\Delta \mathrm{R}_{\mathrm{flattener}, c}(t_k) = + 0.8 \bullet |\Delta \mathrm{R}_{\mathrm{short}, c}(t_k)| - 0.6 \bullet |\Delta \mathrm{R}_{\mathrm{long}, c}(t_k)|