Capital Markets Examiner School, Providence, RI

Evaluating IRR Simulation Models

 Model Inputs  Call Report, Chart of Accounts, or Hybrid  Scenarios  Magnitude, Pace (Shock vs. Ramps), Time Horizon, Yield Curve Shifts (Parallel vs. Non- parallel)  Assumptions  Is management able to input and change assumptions?  Outputs  NII, EVE, NI  One-off Simulation Runs  Can management run what-if simulations on strategic ideas?

Model Inputs - Call Report Based Models