Model Review, Back Testing & Reporting
Increasingly, banking regulators have been requiring institutions to perform back testing of their asset liability management (ALM) modeling results and estimated risk profiles. We can assist you satisfy this increasingly important output verification process using a risk-based approach uniquely tailored to your institution’s model and financial reporting framework.
Our back testing analysis is based upon market benchmarking, model projections, internal financials, publicized financial results, and correlation metrics, as well as standard accounting measures.
In addition to addressing compliance requirements as specified by key regulatory guidances, including OCC Bulletin 2000-16 and FDIC's Model Governance, our back testing services incorporate strategic perspectives helping senior bank management to better understand the value of the ALM model's output relative to key earnings and risk sensitivity metrics.
Overall, we can help you determine and confirm the directional correctness of your ALM model’s estimated exposures or predicted results versus the bank’s reported performance or actual results.
