Valuation results for interest rate 1bp shock
| r+1BP | Scenario | Value | Probability | PV01 | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| ET1 | ET2 | ET3 | ET4 | ET5 | ET6 | NTK | KI | ||||
| MC | 10,000 | 1.011185 | 78.22% | 6.52% | 4.47% | 1.74% | 1.96% | 1.06% | 2.90% | 3.130% | 0.20 |
| 30,000 | 1.010648 | 78.05% | 6.73% | 4.56% | 1.90% | 1.96% | 0.98% | 2.59% | 3.243% | −0.68 | |
| 50,000 | 1.010490 | 78.33% | 6.73% | 4.56% | 1.85% | 1.98% | 0.88% | 2.43% | 3.242% | −0.82 | |
| 1,00,000 | 1.009995 | 78.29% | 6.89% | 4.48% | 1.85% | 1.86% | 0.90% | 2.42% | 3.323% | −0.30 | |
| 2,50,000 | 1.010107 | 78.20% | 6.81% | 4.58% | 1.82% | 1.81% | 0.91% | 2.53% | 3.323% | −0.55 | |
| 4,00,000 | 1.010036 | 78.27% | 6.89% | 4.61% | 1.83% | 1.80% | 0.85% | 2.43% | 3.317% | −0.58 | |
| Proposed | – | 1.007994 | 78.17% | 6.90% | 4.61% | 1.82% | 1.83% | 0.87% | 1.92% | 3.880% | −0.53 |
| r+1BP | Scenario | Value | Probability | PV01 | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| ET1 | ET2 | ET3 | ET4 | ET5 | ET6 | NTK | KI | ||||
| MC | 10,000 | 1.011185 | 78.22% | 6.52% | 4.47% | 1.74% | 1.96% | 1.06% | 2.90% | 3.130% | 0.20 |
| 30,000 | 1.010648 | 78.05% | 6.73% | 4.56% | 1.90% | 1.96% | 0.98% | 2.59% | 3.243% | −0.68 | |
| 50,000 | 1.010490 | 78.33% | 6.73% | 4.56% | 1.85% | 1.98% | 0.88% | 2.43% | 3.242% | −0.82 | |
| 1,00,000 | 1.009995 | 78.29% | 6.89% | 4.48% | 1.85% | 1.86% | 0.90% | 2.42% | 3.323% | −0.30 | |
| 2,50,000 | 1.010107 | 78.20% | 6.81% | 4.58% | 1.82% | 1.81% | 0.91% | 2.53% | 3.323% | −0.55 | |
| 4,00,000 | 1.010036 | 78.27% | 6.89% | 4.61% | 1.83% | 1.80% | 0.85% | 2.43% | 3.317% | −0.58 | |
| Proposed | – | 1.007994 | 78.17% | 6.90% | 4.61% | 1.82% | 1.83% | 0.87% | 1.92% | 3.880% | −0.53 |
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.