Capital Markets School - October 2023

Internal Use Only

Earnings-at-Risk: short-term IRR • There are two significant characteristics of the earnings at risk measurement that should be reviewed:

1. What rate shock, up or down, produces the worst case change? Is the bank exposed to rising or falling rates? 2. 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?

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Internal Use Only

Non-Linear Simulation Results

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