Book traversal links for 5.1. Sensitivity Analysis
5.1. Sensitivity Analysis
No: 60697.BCS. 28747 | Date(g): 23/11/2011 | Date(h): 27/12/1432 | Status: In-Force |
Sensitivity Analysis measures the change in the value of portfolio for shocks of various degrees to a single risk factor or a small number of closely related risk factors while the underlying relationships among the risk factors are not evaluated For example, the shock might be a parallel shift in the yield curve. In sensitivity analysis, the impact of the shock on the dependent variable i.e. capital is generally estimated.