Capital Markets Examiner School, Providence, RI

Model Validation

Inputs (GL, Loans,  Investments,  Deposits)

Model Outputs  (Net Interest  Income and  Economic Value of  Equity)

Interest Rate Risk  Measurement  Model/System

Scenarios (Shocks, Ramps, Non‐ Parallel)

Assumptions (Prepayments,  Betas, Average Life)

Inputs/Scenarios/Assumptions

Inputs (GL, Loans,  Investments,  Deposits)

Model Outputs  (Net Interest  Income and  Economic Value of  Equity)

Interest Rate Risk  Measurement  Model/System

Scenarios (Shocks, Ramps, Non‐ Parallel)

Assumptions (Prepayments,  Betas, Average Life)