I think OCC’s report provides an expectation for a +100bps (+1%) interest rate hike. All of their models showing smallest largest losses for banks will occur when +1% increase in interest rates. Except for the big boys with >$10B, which would lose less with +300bps (+3%) in interest rate.
by laflammaster I've a idea on QES – Quanto Fairness Swaps. They're a kind of ...Read more