Effects of Swaption Implied Volatilities Stress Tests
Document ID: 2006-272 (previously 2006-015)
Published on: 1st March 2006
Author: Craig McCulloch, Calvin Stewart
In this document we consider the effect of stresses in the calibration to swaption implied volatilities. In particular, we discuss the case in which a large movement can lead to extreme values of cash returns produced by the ESG, and how to deal with this.
