Glossary entry (derived from question below)
English term or phrase:
worst case curve parallel and twist moves
English answer:
most unfavourable yield curve changes
Added to glossary by
Nesrin
Apr 1, 2007 09:32
17 yrs ago
English term
worst case curve parallel and twist moves
English
Bus/Financial
Finance (general)
From a document about a commodity fund...
Scenario and Stress Testing:
- Used to identify potential ‘tail’ losses that VaR (Value at Risk) does not capture.
- Stress tests – ***worst case curve parallel and twist moves*** and taken for each metal using 10 years of historic data and applied to the current portfolio.
- Stress tests are combined to create scenarios showing ‘worst case losses.’
I can't make heads or tails of the sentence part between ***. Can anyone attempt to shed some light on this? Sorry if it appears to be more than one term, but I wouldn't know how to break it up into separate terms (which words belong with which).
Thanks a lot!
Scenario and Stress Testing:
- Used to identify potential ‘tail’ losses that VaR (Value at Risk) does not capture.
- Stress tests – ***worst case curve parallel and twist moves*** and taken for each metal using 10 years of historic data and applied to the current portfolio.
- Stress tests are combined to create scenarios showing ‘worst case losses.’
I can't make heads or tails of the sentence part between ***. Can anyone attempt to shed some light on this? Sorry if it appears to be more than one term, but I wouldn't know how to break it up into separate terms (which words belong with which).
Thanks a lot!
Responses
| 4 +2 | most unfavourable yield curve changes |
Ralf Lemster
|
Responses
+2
10 mins
Ralf Lemster
Germany
Germany
Specializes in field
Germany
The language of financial markets
Native in: German
Works in: English to German, German, German to English, and 1 more.
Related KudoZ points
:
143
Selected
most unfavourable yield curve changes
A 'parallel shift' describes a change in the yield or forward curve where the yield for all parts of the curve (= all maturities) change by the same amount (up or down, e.g. an upwards move by 50bp). A 'twist' refers to a change in the yield curve slope, where the relationship between different parts of the curve also changes (e.g. 0-5 years up 20 bp, 5-10 years unchanged, 10+ years down 20bp).
'Worst case' refers to those parallel shifts or twists which have the worst potential result for the portfolio.
In the context of metals trading, 'curve' refers to the forward structure of prices.
'Worst case' refers to those parallel shifts or twists which have the worst potential result for the portfolio.
In the context of metals trading, 'curve' refers to the forward structure of prices.
Reference:
Note from asker:
| Thanks Ralf! |
4 KudoZ points awarded for this answer.
Comment: "Thanks again Ralf for the very helpful explanation"
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