VaR, stress and limits

Linear shock on the model book.

Modelled response to a two-notch credit-cost revision.

Duration transmission on the modelled book.

Modelled transmission, not issuer duration evidence.

Modelled unhedged sensitivity.

Modelled cost and gap-risk overlay.

Modelled input-cost and terms-of-trade transmission.

Correlated equity and currency drawdown.

Replication cost under stressed turnover.

Historical replay on modelled weights, no policy response assumed.

Historical replay; FX transmission dominates the loss.