Capital Markets Examiner School, Providence, RI

Scenarios

 Typically Driven by Guidance  Shocks  Ramps  Non-Parallel  +/- 100 through 400 basis points  Time horizons  Forecasting expected movements in the Yield Curve

 Advanced Modeling Incorporates Movement Expectations

Shock Scenarios

 Most Impactful, Least Likely

 All tenor points along the Yield Curve move simultaneously  Parallel

 Reveals Exposures in the greatest stress situations