Capital Markets Examiner School, Providence, RI
Back Testing
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)
Independence of the Process
Individuals responsible for evaluating risk monitoring and control procedures should be independent of the function they are assigned to review
Model Validation Process Review Corporate Governance
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