Capital Markets Examiner School, Providence, RI

Model Input Approaches

 Call Report  Easy Approach, usually found on “economical” models  Highly Aggregated  Chart of Account  General Ledger is mapped over to model inputs by line item  Aggregation occurs at bank/model discretion  Also utilizes subsidiary reports and inputs (loans, investments, deposits)  Hybrid  Call Report based inputs with additional information from subsidiary reports

Evaluating the Model Inputs

 Determine the approach used  Is this appropriate given the risk profile you’ve assessed from the balance sheet structure and any significant risk drivers such as deposits and funding, loan repayment, or unfunded commitments?

 How is the General Ledger and other information loaded?  Integrated into the core processing system?  Updated to a secure portal?

 Data Quality Assurance?  Management controls, Internal Audit, and Independent Review