interest-rate-sensitivity-analysis

You can model interest rate scenarios including parallel shifts, steepeners, and flatteners to quantify their specific impact on Net Interest Income (NII) sensitivity and EVE delta.

Duration gap analysis assesses NII sensitivity by measuring the mismatch between asset and liability repricing profiles, quantifying how basis risk and rate shocks impact the bank's net interest income.

Yes, Interest Rate Risk in the Banking Book (IRRBB) analysis supports regulatory compliance by modeling the prescribed shock scenarios required under BCBS 368 to evaluate capital adequacy against rate fluctuations.

Yes, you can generate a comprehensive ALCO committee report detailing the bank's exposure to interest rate fluctuations, complete with NII sensitivity metrics and recommended hedging strategies.

The best way to model yield curve scenarios for EVE delta analysis is by applying parallel shifts, steepeners, and flatteners to the repricing profile to capture the economic value of equity changes.

Basis risk quantification is needed when assessing IRRBB exposure to ensure accurate NII sensitivity calculations, capturing risks arising from imperfect correlations between different interest rate benchmarks.