Stress-Testing for
Interest Rate Risk
...The first quarter 2005 data
offers us a similar opportunity to
back-test the interest rate risk peer
information. Since June 2004 the Fed has
raised its target fed funds rate seven
times from 1.00 to 2.75 as of March 2005.
Shorter-term treasury yields and prime
have also risen substantially since last
summer. Despite the fact that long-term
treasury yields have remained unusually
low, most banks are experiencing the
impacts of a generally rising rate
environment....[more]
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