Are any parameters for the sensitivity analysis specified? For example, what is the percentage change in the index against which the risk exposure is measured?
Answer Companies using sensitivity analysis should select hypothetical changes in market rates or prices that are expected to reflect reasonably possible near-term changes in those rates and prices. Companies should use changes not less than 10% of end-of-period market rates or prices unless there is economic justification for a different amount. The rule provides that the magnitude of selected hypothetical changes in rates or prices may differ among and within market risk exposure categories. Question 55.How does a company select the appropriate hypothetical change in market rates or prices for sensitivity analysis in the case of multiple risk exposures within the same risk category? Should the hypothetical changes to each position be in the same direction (e.g., assume all foreign currency rates increase) or should the hypothetical changes be chosen to report the maximum possible loss (e.g., assume the foreign exchange rates increase or decrease depending on whether the registrant ha
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