Large Bank Examination Workshop February 2026

Exercise #2: Review Sample Model Output

Case Study: Review a redacted model output report.

Review the Executive Summary of the Bank’s ALM risk Model output to understand the economic context the bank was operating in during September 2022.

1. Earnings at Risk Overview (pg. 3) and Capital at Risk Overview (pg. 4)

a. Are there any policy limit exceptions? If so, list them:

b. In September of 2022, why do you think the Overview does not discuss the downward rate shock scenarios?

c. Are the limit exceptions in the downward rate scenario an indication that the model is not functioning as intended?

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