Stress Test Data Framework Dictionary 2021: Version 02

Shocks

This worksheet captures details of all the risk factor shocks applied by the firm to produce the results of the market risk stress. Each risk factor shock will be categorised by whether the shock was specified by the Bank of England or by the firm.

202101 Market_Risk_Stressed_ProfitorLoss_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Market risk asset class String (255 long) Marketriskassetclass2 Marketriskassetclass Yes Yes
2 Geographic region String (255 long) Marketriskgeographicregion Yes Yes
3 Risk factor String (255 long) Riskfactor Yes Yes
4 Risk factor tenor String (255 long) Riskfactortenor Yes Yes
5 Risk factor currency String (255 long) Currency Riskfactorcurrency Yes Yes
6 BoE or firm defined shock String (255 long) BoEorfirmdefinedshock BoEorfirmdefinedshock Yes Yes
7 Liquidity type String (255 long) Liquiditytype Liquiditytype Yes Yes
8 Liquidity horizon String (255 long) Liquidityhorizon Yes Yes
9 Shock type String (255 long) Shocktype Shocktype Yes Yes
10 Shock unit String (255 long) Shockunit Shockunit Yes Yes
11 Shock size Float Shocksize Yes -