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You're making a lot of very specific assertions in this thread about what bank officers or regulators would/should have done, or what the effect of SIFI stress

You're making a lot of very specific assertions in this thread about what bank officers or regulators would/should have done, or what the effect of SIFI stress tests would have been, without any actual evidence to back this up. Do you actually have inside information or prior experience on these things?

fwlr 4y ago
I have no inside information on SVB or their depositors, and no prior experience with managing a bank run. (I also have no exposure to SVB, nor do I have any stock market positions that may be affected by it.) If you want my motivation for discussing it all day: I’m curious, it’s an interesting and fast-moving puzzle that a lot of smart people are discussing. If you want my qualifications for offering so many specific assertions: I’ve read the primary sources and it just doesn’t seem like it would fix or prevent this the way other people assume it would. If in my enthusiasm I’ve oversold myself as an expert, I apologize unreservedly.
anon84873628 4y ago
At least they're the only person who bothered to look up the interest rates used in the stress tests (although citing sources would have been nice)
- fwlr 4y ago
  https://news.ycombinator.com/item?id=35119007 https://news.ycombinator.com/item?id=35119007 Sources here for DFAST 2022, 2021, 2020. 2019 is in the parent comment to that. You’re looking for Appendix A, Supervisory Scenarios, Tables A3 and A5 (Domestic Variables). Note that the actual interest rate used is not explicitly specified anywhere I could see, there’s a footnote that it was calculated by Federal Reserve staff according to Lars E. O. Svensson (1995), “Estimating Forward Interest Rates with the Extended Nelson-Siegel Method”. The 10 year treasury bond return is derived largely from just the interest rate, though, and it’s also the variable we actually care about - if they did give us the interest rate we would just be using it to calculate the Treasury rate anyway.

fwlr 4y ago

I have no inside information on SVB or their depositors, and no prior experience with managing a bank run. (I also have no exposure to SVB, nor do I have any stock market positions that may be affected by it.) If you want my motivation for discussing it all day: I’m curious, it’s an interesting and fast-moving puzzle that a lot of smart people are discussing. If you want my qualifications for offering so many specific assertions: I’ve read the primary sources and it just doesn’t seem like it would fix or prevent this the way other people assume it would. If in my enthusiasm I’ve oversold myself as an expert, I apologize unreservedly.

anon84873628 4y ago

At least they're the only person who bothered to look up the interest rates used in the stress tests (although citing sources would have been nice)

fwlr 4y ago
https://news.ycombinator.com/item?id=35119007 https://news.ycombinator.com/item?id=35119007 Sources here for DFAST 2022, 2021, 2020. 2019 is in the parent comment to that. You’re looking for Appendix A, Supervisory Scenarios, Tables A3 and A5 (Domestic Variables). Note that the actual interest rate used is not explicitly specified anywhere I could see, there’s a footnote that it was calculated by Federal Reserve staff according to Lars E. O. Svensson (1995), “Estimating Forward Interest Rates with the Extended Nelson-Siegel Method”. The 10 year treasury bond return is derived largely from just the interest rate, though, and it’s also the variable we actually care about - if they did give us the interest rate we would just be using it to calculate the Treasury rate anyway.