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> Duration is stress tested at the larger banks. Then why do we read this: “Fed’s Bank Tests Overlooked Risk of Rapid Rise in Interest Rates”. https://www.blo
by votepaunchy 3y ago
> Duration is stress tested at the larger banks.
Then why do we read this: “Fed’s Bank Tests Overlooked Risk of Rapid Rise in Interest Rates”.
https://www.bloomberg.com/news/articles/2023-03-15/fed-s-key-bank-test-overlooked-interest-rate-risk-for-a-decade https://www.bloomberg.com/news/articles/2023-03-15/fed-s-key...
- JumpCrisscross 3y agoShort answer is we didn’t pay attention to it but we do now and we always measured it. That’s how SVB’s issues were flagged in 2021 [1]. (The systemic solution will be re-defining HQLAs in the LCR to reflect market value [2].) [1] https://www.nytimes.com/2023/03/19/business/economy/fed-silicon-valley-bank.html https://www.nytimes.com/2023/03/19/business/economy/fed-sili... [2] https://www.richmondfed.org/-/media/richmondfedorg/publications/research/economic_brief/2016/pdf/eb_16-01.pdf https://www.richmondfed.org/-/media/richmondfedorg/publicati...