5. Regression analysis of interest rate risk Suppose that Wilson Bank seeks to understand its exposure to interest rate risk. To do this, Wilson performs a regression analysis with the following regression model that relates the bank's performance (as measured by its stock return) to the interest rate and overall market. R = Bo + BiRm + B2i + u , where R is the bank's stock return, Rm is the return on the stock market, i is an interest rate proxy, in percentage terms, and u is the error term After running the regression on historical data, the coefficient estimate of B2 is -2.6. Furthermore, analysis of interest rate fluctuations indicates to Wilson that the change in interest rates overall will not exceed 2%, with 99% confidence. Hint: Both numeric entry boxes should be a positive number. According to this analysis, a 1 percent increase in interest rate will lead to of %. Furthermore, according to this model, the maximum loss will be % (with 99% confidence)