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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)
by 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 agohttps://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.