From: Model order reduction for the simulation of parametric interest rate models in financial risk analysis
Performance Scenario
5 years
10 years
Model
ROM
UnRisk
Favorable (90th percentile)
1.013
1.014
1.105
1.101
Moderate (50th percentile)
1.009
1.002
1.067
1.066
Unfavorable (10th percentile)
0.988
0.984
1.038
1.041