Assumptions & Back-Testing


IRR

Assumptions,

Quality Control,

& Back-Testing...

 

 

Our Forecasting & Interest Rate Risk Reporting Systems rely upon very robust Assumptions, Quality Control, and Back-Testing measures.   These measures are designed to assure our Firm and Client Banks, as well as Auditors and Regulators that each element of this intricate forecasting process maintains its integrity and provides the most accurate assessment of where the Bank’s Balance Sheet and Income Statement is headed, based upon known variables which will be impacted by unknown variables in the future.  

Each of these processes also provides guidance and insight into activities which are complex in nature and extremely dynamic over time.  These activities are also continually influenced by both endogenous and exogenous factors, which most observers may not be prepared to factor into the equation.   

An integral part of this process is our Third Party Review which is performed periodically for the benefit of both our Firm and Client Banks.  Additionally, we are also reviewed by our Clients' Auditors and Regulators on a regular basis.  We believe this continuous scrutiny enables us to provide a Forecasting & Reporting System that is not only credible but also robust. 


Each of our various Quality Control & Back-Testing Reports are available for your Bank's Board of Directors and Executive Management upon request and are always included in any Reporting Package we prepare for your Auditors or Regulators (Regulatory Reporting) to review. 

Monthly  ~ Quality Control & Back-Testing Reports include:

  • Data Consolidation Model
  • Internal Performance Assessment
  • Variance Trend Analysis
  • Quality Control & Assessment Model   

Quarterly ~ Assumptions, Quality Control & Back-Testing Reports include:

  • Executive Summary & Trends Analysis for Earnings at Risk & Capital at Risk
  • Executive Summary & Trends Analysis for Value at Risk
  • Interest Rate Risk Assessment & Validation of Results (One Year "look-back")
  • Balance Sheet ~ Basic Assumptions (Account Specifications)

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