Capital Markets Examiner School, Providence, RI

Earnings-at-Risk: short-term IRR

 There are two significant characteristics of the earnings at risk measurement that should be reviewed.

 First, what rate shock, up or down, produces the worst case change? Is the bank exposed to rising or falling rates?

 Second, what is the amount of projected change or magnitude of risk? How much exposure is there?

 Do results expose any anomalies or points of risk on the balance sheet?

Non-linear Simulation Results