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5.1. Sensitivity Analysis

No: 60697.BCS. 28747 Date(g): 23/11/2011 | Date(h): 27/12/1432

Effective from Nov 23 2011 - Nov 22 2011
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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.