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The CRO of a regional bank wants to ensure that the modeling assumptions used in the bank's economic capital models are sound. The CRO asks a member of the validation team to review the bank's process of assessing the interest rate risk in its banking book and to validate the assumptions used in its interest rate models. Which of the following assumptions would be most appropriate for the bank to make?
A
The bank changes the interest rate it offers to depositors by the full amount of any change in market interest rates.
B
The bank models its retail non-maturity deposits as floating-rate, putable bonds.
C
The bank assumes that its residential mortgages exhibit positive convexity as interest rates decrease.
D
The bank models its interest rate risk in the banking book independently from its credit risk.