Interest Rate Shock Factor
Can we update the Interest Rate portion for MCT to say "shock factor" of 1.25% should be memorized?
Section 5.1.2 has a statement that is very specific
The Δy interest rate shock factor is 1.25% (Δy = 0.0125).
I relation to Spring 2018 Q 14 - this seems to be why a shock factor was not provided in the question. Furthermore, the syllabus only exclude the specific risk factors (not shock factors).
Surprisingly, they accepted an answer that used 0.5\% without comment in sample 2 (technically should've lost 1/4 mark).
In Spring 2017 Q20 they provided the official shock factor:
Calculate the margin required for interest rate risk at target based on a 125 basis point interest rate shock factor.
Fall 2016 Q 15 - included 125 basis points for interest MCT - although incorrectly labeled (should've stated "shock factor"). As well as provided (1.25%) in Spring 2016 Q13. Spring 2018 Q14 suggests memorizing this value (1.25%) is expected (although possibly not required).
Comments
Sure, good idea. I inserted a comment below the BattleTable in OSFI.MCT and also in the section on market risk. We will also tweet it so people see it on the main page right after logging in.