Back Testing Report Basics

(RA 270, 75 min.)

Dates and Times this Quarter:

Wednesday, June 10, 2009, at 1:00 P.M., Mtn.

 

Program Objectives: Are you the one that uses the IRR reports for decision making, the one who the examiners and/or auditors talk to about the IRR reports and the ALM audit? If the answer is “yes”, then this program is for you. Your regulator will be focused on your ability to Back Test any financial modeling being performed by your institution, including IRR (OCC 2000-16). It is the objective of this program to ensure that you completely understand what your IRR report’s back test is telling you about the source of differences between projected and actual IRR results.

Program Level/Prerequisites: This 75 minute Web-based program is specifically designed for those officers with the responsibility for the IRR reports, those who present it to the ALCO, and for those who use it for decision-making.

Program Content: Your Back Testing report is a tool to assist you in determining if your IRR model is doing a good job of predicting future interest income and expense behavior in various interest rate environments. There are a variety of reasons that the projected and actual results may not be the same. Discover how you can use this report to find your ALM report inaccuracies. Understand the model’s assumptions, the impact of immediate and parallel shifts, rate sensitivity, prepayment assumptions, and the like. The Back Testing Report can be the key to improvement in the accuracy of your ALM model report.

Time Allotment: - 75 minute Web-based program.

Advanced Preparation Required: Time spent by participants in advance of this session to review their most recent Back Testing Report and the associated ALM Reports (current, and the one produced previously at the time interval indicated on the Back Testing Report), would be time well spent. Consider comparing what the “old” report said in terms of projections based on the rate scenario that proved to be closest to your actual experience. Do you see indications of differences in the back testing report? Jot down your questions, and the areas you do not see reflected in the back test. Don’t hesitate to ask questions during the program.

Instructional Method: This program uses a Group Internet-based training method.

CPE Credit: One (1) CPE credit recommended.

Registration: Complete the attached form and email of fax it to us at least three (3) business days prior to the program you wish to attend. Your registration instructions and a packet containing program materials will be emailed to you 1 to 3 days prior to the program date.

Cost: $150 per institution connection. You may include as many people as you like in the session at your location.

Registration Form (pdf)

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