Rate shocks and rate ramps and twists…oh my!

Originally published 2/25/2011 © 2021 Olson Research Associates, Inc.

A basic overview and discussion of interest rate risk stress-testing.

Following last year’s IRR Advisory from the regulators (indeed ever since the original Joint Policy Statement in 1996) industry experts, auditors, accountants, analysts, and regulators have been throwing around IRR stress-test terminology like everyone knows exactly what they are talking about. The word cloud to the right shows just a few of these often used, but often misunderstood terms.

Over the next several weeks I’m going to attempt to explain (in plain English I hope!) what some of these frequently used terms mean. Here’s my partial list of things I’m going to cover (in no particular order). As I get a post written I’ll hot link the text below. If you can think of anything to add I’d welcome your ideas. Please leave a comment.