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Interest Rate Down Shock Factor

Calculate the Downward Shock Factor instantly.

Downward Shock Factor

-0.29

1Step 1

Interpolation Span

Interpolation Span=max⁡(0.000001,Upper Table Maturity−Lower Table Maturity)\textit{Interpolation Span} = \max(0.000001, \textit{Upper Table Maturity} - \textit{Lower Table Maturity})
2Step 2

Maturity Offset

Maturity Offset=max⁡(0,Target Maturity−Lower Table Maturity)\textit{Maturity Offset} = \max(0, \textit{Target Maturity} - \textit{Lower Table Maturity})
3Step 3

Interpolation Weight

Interpolation Weight=min⁡(1,Maturity OffsetInterpolation Span)\textit{Interpolation Weight} = \min(1, \frac{\textit{Maturity Offset}}{\textit{Interpolation Span}})
4Step 4

Downward Shock Factor

Downward Shock Factor=Lower Downward Shock Factor+Interpolation Weight×Upper Downward Shock Factor−Lower Downward Shock Factor\textit{Downward Shock Factor} = \textit{Lower Downward Shock Factor} + \textit{Interpolation Weight} \times \textit{Upper Downward Shock Factor} - \textit{Lower Downward Shock Factor}
5Step 5

Downward Shock Factor

Downward Shock Factor=Downward Shock Factor\textit{Downward Shock Factor} = \textit{Downward Shock Factor}

Understand the Interest Rate Down Shock Factor

Overview

This calculator isolates the downward interest-rate shock factor interpolation for one maturity point.[1]

Important Notes

  • Legal shock table inputs remain editable so users can run sensitivity analyses.
  • The output is an atomistic building block for the Interest Rate Risk engine; it does not revalue assets or liabilities.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 167 (Decrease in the term structure of interest rates) - EIOPA

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.