PET - Plain English Taxonomy

Name: StressTestingChangeInImpliedVolatilityDimension
Label: Stress Testing Change In Implied Volatility
TREF ID: DM381
Type: Predefined
Description:
This dimension is used to represent the relevant stress testing scenario to which a change in implied volatility is applied to the calculation of the reported information.
Usage:

Dimension Members
Name Label TREF ID Description
ImpliedVolatility100PctIncrease Implied Volatility 100 Pct Increase DV4138
The information reported is based upon the application of a stress testing scenario representinga 100 % increase in the implied volatility used in the valuation calculations of the relevant positions.
ImpliedVolatility200PctIncrease Implied Volatility 200 Pct Increase DV4136
The information reported is based upon the application of a stress testing scenario representinga 200 % increase in the implied volatility used in the valuation calculations of the relevant positions.
ImpliedVolatility250PctIncrease Implied Volatility 250 Pct Increase DV4140
The information reported is based upon the application of a stress testing scenario representinga 250 % increase in the implied volatility used in the valuation calculations of the relevant positions.
ImpliedVolatility50PctDecrease Implied Volatility 50 Pct Decrease DV4137
The information reported is based upon the application of a stress testing scenario representinga 50 % decrease in the implied volatility used in the valuation calculations of the relevant positions.
ImpliedVolatility75PctDecrease Implied Volatility 75 Pct Decrease DV4139
The information reported is based upon the application of a stress testing scenario representinga 75 % decrease in the implied volatility used in the valuation calculations of the relevant positions.
ImpliedVolatilityNoChange Implied Volatility No Change DV4135
The information reported is based upon the application of a stress testing scenario representingno change in the implied volatility used in the valuation calculations of the relevant positions.