Capital Markets School - October 2023

Internal Use Only

Advisory on Interest Rate Risk Management (2010) Reminds the Board they have the ultimate responsibility for the risks undertaken by the institution Expects institutions to have an adequate system of internal controls to ensure the integrity of all elements of their interest rate risk process • Adequacy of corporate governance • Compliance with policies and procedures • Comprehensiveness of interest rate risk measurement and management information systems Model Validation

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Internal Use Only

Interagency Advisory on Interest Rate Risk Management Frequently Asked Questions (2012) Question 9 – Can independent certifications/validations commissioned by model vendors satisfy supervisory expectations for model validation?

Question 10 – Can you provide some examples of effective back testing practices?

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