Modeling Challenges in PPNR Quantitative vs . Qualitative Approach and Variable Selection

  • Published 2017
Issue As a crucial part of capital planning, Pre-Provision Net Revenue (PPNR) modeling has been under the spotlight for careful review and scrutiny from the Federal Reserve Board (FRB) since 2012 for the annual Comprehensive Capital Assessment and Review (CCAR) submission. Although bank holding companies (BHCs) have become better equipped at utilizing PPNR… (More)