Index IndexConstraints ConstraintsDPM Map DPM Map

boemd_tIM.03.07.01.05 - Market Risk Outputs - model outputs (material currencies)

IM.03.07.01.05
Model outputs
MeanStandard deviation Percentile of model output distribution
Max99,9%99,5%99%97.5%95%90%75%50%25%10%5%2,5%1%0,5%0,1%Min
C201C202C205C206C207C208C209C210C211C212C213C214C215C216C217C218C219C220C221
Risk ComponentMKT099
Risk free yields data - material currencyMKT420
Increase in risk free zero coupon bond spot yield Term 1 MKT421
Increase in risk free zero coupon bond spot yield Term 2MKT422
Increase in risk free zero coupon bond spot yield Term 5MKT423
Increase in risk free zero coupon bond spot yield Term 10MKT424
Increase in risk free zero coupon bond spot yield Term 15MKT425
Increase in risk free zero coupon bond spot yield Term 25MKT426
Credit spread data - material currencyMKT650
Increase in AAA rate ZCB spot yield spread (over RF) Term 1MKT651
Increase in AAA rate ZCB spot yield spread (over RF) Term 2MKT652
Increase in AAA rate ZCB spot yield spread (over RF) Term 5MKT653
Increase in AAA rate ZCB spot yield spread (over RF) Term 10MKT654
Increase in AAA rate ZCB spot yield spread (over RF) Term 15MKT655
Increase in AA rate ZCB spot yield spread (over RF) Term 1MKT656
Increase in AA rate ZCB spot yield spread (over RF) Term 2MKT657
Increase in AA rate ZCB spot yield spread (over RF) Term 5MKT658
Increase in AA rate ZCB spot yield spread (over RF) Term 10MKT659
Increase in AA rate ZCB spot yield spread (over RF) Term 15MKT660
Increase in A rate ZCB spot yield spread (over RF) Term 1MKT661
Increase in A rate ZCB spot yield spread (over RF) Term 2MKT662
Increase in A rate ZCB spot yield spread (over RF) Term 5MKT663
Increase in A rate ZCB spot yield spread (over RF) Term 10MKT664
Increase in A rate ZCB spot yield spread (over RF) Term 15MKT665
Increase in BBB rate ZCB spot yield spread (over RF) Term 1MKT666
Increase in BBB rate ZCB spot yield spread (over RF) Term 2MKT667
Increase in BBB rate ZCB spot yield spread (over RF) Term 5MKT668
Increase in BBB rate ZCB spot yield spread (over RF) Term 10MKT669
Increase in BBB rate ZCB spot yield spread (over RF) Term 15MKT670
Increase in B rate ZCB spot yield spread (over RF) Term 1MKT671
Increase in B rate ZCB spot yield spread (over RF) Term 2MKT672
Increase in B rate ZCB spot yield spread (over RF) Term 5MKT673
Increase in B rate ZCB spot yield spread (over RF) Term 10MKT674
Increase in B rate ZCB spot yield spread (over RF) Term 15MKT675
Currency exchange rate dataMKT800
Material currency: relative increase in exchange rate to GBPMKT801
Inflation data for modelling asset values - material currencyMKT920
Inflation spot rate Term 1MKT921
Inflation spot rate Term 2MKT922
Inflation spot rate Term 5MKT923
Inflation spot rate Term 10MKT924
Inflation spot rate Term 15MKT925
Inflation spot rate Term 25MKT926

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