Notice removed Authoritative reference needed by User
Bounty Ended with Daneel Olivaw's answer chosen by User
edited tags
Daneel Olivaw
  • 7.4k
  • 3
  • 19
  • 50
Notice added Authoritative reference needed by User
Bounty Started worth 100 reputation by User
Source Link
  • 93
  • 1
  • 12

CCAR Shocks Scenario

I was going through CCAR-2018-severely adverse market shocks file and under the tab: Equity by Geography, I found these shocks.

enter image description here

I have two questions:

  1. Whether the shocks to Vol points are in % or bps. For example, For Australia, bump to 1M vol is 16.2, so is this 16.2% of original Vol or it is a bump of 16.2 basis points to the original vol.
  1. This is to just ensure that my understanding is correct: Shocks to Vol points are simultaneous shock or parallel shock?

I think that we are providing simultaneous shocks to the vol surface and finding the PnL.

Can anyone please share their knowledge on this

It will be good if you can provide a source from where I can find these type of details.