Interest rate margin
In the source text is it says "Steps A through C are repeated for an interest rate shock factor decrease of ∆y (i.e. −∆y) and the capital requirement for an interest rate decrease of ∆y is the greater of zero and A − B + C"
which implies max(0, A-B+C) not the |A-B| where C = 0 that is in the sample excel sheets/2019-2 Fall exam problem. ** if C >0 then do we use the max formula?
Comments
Steps D and E are basically saying take |A - B + C| since they are repeating the steps twice. C is irrelevant because they never test on derivatives. It's not possible to calculate the duration of derivatives by hand so the point is moot as it won't appear on the exams