ALM 8.0.7.4/8.1 Standard Approach Shock Formula Constant Is Always The Same (x=4) No Matter The Value Present In FSI_IRC_STDAPRCH_SHOCKS Table
(Doc ID 2913160.1)
Last updated on JULY 31, 2023
Applies to:
Oracle Financial Services Asset Liability Management - Version 8.0.7.4.0 and laterInformation in this document applies to any platform.
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI)
Interest Rate Risk in the Banking Book (IRRBB)
Oracle Financial Services Analytical Applications (OFSAA)
Symptoms
ALM engine is always taking x=4, even if the value from FSI_IRC_STDAPRCH_SHOCKS table is changed, it does not effect the result.
Below is the description of Short Up and Down formula in CFE Guide:
"Where Delta R short shock for currency c on tenor (tk) is equal to the up or down R-bar rate in basis points by currency times the S(short) scaling factor on tenor (tk), which is equal to the natural exponent of the quantity of the negative yield curve tenor length in years (tk), divided by x = 4. The constant x, as with other SA shock formula constants, are stored in FSI_IRC_STDAPRCH_SHOCKS."
Cause
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In this Document
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