Zions model change reverses positive EVE projections
Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
Zions Bancorporation’s adjustment to its interest rate risk (IRR) model resulted in significant differences in the projected economic value of equity (EVE) – the net present value of constant-composition assets and liabilities – compared to its historical-based assumptions.
The bank introduced a new IRR model in the second quarter to reflect different customer deposit behaviour in light of higher interest rates. Unlike the model traditionally employed by the bank, which draws data from a
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