Given, for each currency c , the specified size of the parallel, short and long shocks to the ‘risk-free’ interest rate, the following parameterisations of the six supervisory shock scenarios shall be applied:
(1)
Parallel shock for currency c : A constant parallel shock up or down across all time buckets:
(2)
Short rate shock for currency c:
where t k
is the midpoint (in time) of the k
th
time bucket.
(3)
Long rate shock for currency c:
(4)
Rotation shocks for currency c:
;
Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗ · Data as of 2026-07-04
CitationArticle 2 of Commission Delegated Regulation (EU) 2024/856 (LawPlayer, data as of 2026-07-04)
