Capital Markets School - October 2023

Internal Use Only

Inputs/Scenarios/Assumptions

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)

21

Internal Use Only

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)

22