Bank Analysis School September 2023 - Presentations & Resources

Internal Use Only

Model Risk Governance Framework

Model Validation Letter (model math)

Independent Review (inputs & assumptions)

Back-Testing (confirms accuracy)

Internal Use Only

Most Criticisms are Based on the 2010 FIL  Policy and risk limits  Earnings forecasted over at least a two-year period  Static earnings simulation  Economic value of equity modeled  Range of severe scenarios (e.g. 400 basis points, non-parallel)  Stress testing of critical assumptions  Document key assumptions  Independent review  Back-testing