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Pre-Provision Net Revenue Model Validation (PPNR)

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  • Financial Modeling

Pre Provision Net Revenue (PPNR) measures net revenue from spread and non-interest income. A major regional bank built PPNR model within a framework with time series modeling, using both internal management and macroeconomic variables. Prescio reviewed the model development methodology, model selection, back testing and sensitivity analysis. Prescio identified the issues of model methodology and made several recommendations for improving the model performance.