Validating Pre-Provision Net Revenue (PPNR) Models

Once you have registered through the RMA website you will receive an email to complete your registration for this event in Zoom.

With pre-provision net revenue (PPNR) models constantly under the microscope of regulators and auditors, building and validating strong PPNR models is crucial to the success and stability of banks. Doing so is easier said than done, however, without high-quality and complete data, a sound model selection process, and model outcomes analysis that is adapted to stress scenario forecasting.

To provide you and your institution with a framework for sound PPNR model validation, this 3-hour workshop presented by the RMA Model Validation Consortium will take you through a case study covering the most crucial aspects of successful PPNRs. The session will start with a review of the general concepts and best practices for all validations, then discuss those in the context and challenges of PPNRs. This will be followed by a detailed validation, applying the principles introduced and extending them to the particular components of a typical PPNR validation. 

You Will:

• Review existing and learn new concepts and best practices for model validation and how to apply them specifically to PPNRs
• Walk through a case study covering the key components of PPNR validation
• Prepare your institution to better satisfy regulatory requirements for PPNR CCAR modeling 

Who Should Attend?

• Liquidity Risk Analysts, Asset Liability Risk Analysts, Model Risk Analysts, and Credit Risk Analysts
• Other Junior- to Mid-level Associates who play an active role in PPNR validations, as well as the overall CCAR/DFAST programs 

Instructor

Paul Rognon
Quantitative Associate, RMA Model Validation Consortium (MVC)

Workshop Format

The workshop will consist of presentations by the instructor and hands-on exercises to be completed by the workshop participants. Participants will have the opportunity to ask questions and get one-on-one assistance from the Course Assistant who will also attend the workshop. 

Participants are expected to perform parts of the validation (e.g. testing, commentary) on their own computers using the instructions provided prior to the workshop. Jupyter Python Notebooks and example data files will be used for presentation and distributed during the workshop.