المدربScenario conditioning fills the factors a scenario does not specify with their expectation given the specified ones. Under a joint normal model with covariance , shocks to the specified factors give for the others.
أمثلة
Example 22.6 (A ten-year shock)
Shock the ten-year yield up 100 basis points. Alone, it costs the book USD 14.80 million. Filled in with the ten-day covariance of daily moves since 2020, the scenario also moves the two-year up 80 basis points, the euro down 0.36% and USDJPY up 2.25%; the loss is USD 10.04 million, because the two-year short gains. The scenario sits 5.3 standard deviations from the centre of the ten-day distribution.