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