chap10 - 0.05 9 Zones 1& 3 0.74-0.05 0.18 19 0.25 10...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Daily Price Day No. Daily Rate BIS Standardized Model Fixed Income Secu Movement Change bp ($million) Specific R -1.51 15 0.01 Time Band Issuer Position Weight -1.24 14 0.01 3 mo Treas 5 0 -1.13 2 0.01 6 mos Qual Corp -22.5 0 -0.99 20 0 1 yr Treas 1.9 0 -0.9 3 0 15 yrs Qual Corp 12 0.02 -0.88 16 0 10 yrs NonQual -2 0.08 -0.5 11 0 Specific Risk -0.2 7 0 -0.14 17 0 Vertical Offsets Longs Shorts -0.11 8 0 10-15 years 0.83 -0.09 -0.09 13 0 -0.07 1 0 Horizontal Offsets Within Same Time Zones -0.07 12 0 Zone 1 0.01 -0.06 -0.05 18 0 Zone 3 0.83 -0.09 -0.02 6 0 0.05 5 0 Horizontal Offsets Between Time Zones
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 0.05 9 Zones 1 & 3 0.74-0.05 0.18 19 0.25 10 Total Capital Charge = $ 1.22 0.68 4 urities isk General Market Risk Charge MD Int Shock Charge 0.25 0.01 0.06 0.5 0.01-0.06 0.77 0.01 0.19 13.9 0.01 0.83 0.16 7.5 0.01-0.09 0.41 General Market Risk 0.7 Residual Offset DisallowanCharge 0.74 0.09 0.1 0.01 s-0.05 0.01 0.4 0.74 0.09 0.3 0.03 0.7 0.05 1.5 0.07 million...
View Full Document

This note was uploaded on 08/27/2011 for the course FINANCE Fixed Inco taught by Professor Proflim during the Three '09 term at University of Adelaide.

Page1 / 2

chap10 - 0.05 9 Zones 1& 3 0.74-0.05 0.18 19 0.25 10...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online