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interest-rate-sensitivity-analysis

Analyze interest rate risk impact on NII and EVE using duration gap analysis.

6|5|Updated Feb 4, 2026
Search Tags:#ALCO#NII#EVE#interest rate risk#IRRBB#duration gap#basis risk
One-click install
npx skills add https://github.com/writer/skills --skill interest-rate-sensitivity-analysis-writer
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: interest-rate-sensitivity-analysis
Source: https://github.com/writer/skills/tree/main/skills/interest-rate-sensitivity-analysis
Command: npx skills add https://github.com/writer/skills --skill interest-rate-sensitivity-analysis-writer

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes references (resource) and assets (resource) components.

What problem does it solve?

This Skill helps financial institutions understand and quantify the impact of interest rate fluctuations on their Net Interest Income (NII) and Economic Value of Equity (EVE), enabling better risk management and regulatory compliance.

Core Features & Use Cases

  • NII Sensitivity Analysis: Quantifies how changes in interest rates affect projected net interest income.
  • EVE Sensitivity Analysis: Assesses the impact of interest rate shocks on the economic value of the institution's assets and liabilities.
  • Duration Gap & Basis Risk: Analyzes structural mismatches and benchmark discrepancies that contribute to interest rate risk.
  • Use Case: A bank needs to prepare its Interest Rate Risk in the Banking Book (IRRBB) report for regulators. This Skill can model various yield curve scenarios, calculate the resulting NII and EVE changes, and summarize the findings in a format suitable for regulatory submission.

Quick Start

Use the interest-rate-sensitivity-analysis skill to analyze my NII sensitivity and recommend clear next actions based on the provided repricing gap report and yield curve data.

Frequently Asked Questions about interest-rate-sensitivity-analysis

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate interest rate risk impact on Net Interest Income and Economic Value of Equity?▼

Interest rate risk impact on NII and EVE is calculated using duration gap analysis and repricing profiles to quantify how rate shocks affect projected income and asset values. This Skill models yield curve scenarios to compute the resulting changes.

What is duration gap analysis for measuring interest rate risk in the banking book?▼

Duration gap analysis measures structural mismatches between asset and liability maturities to assess interest rate risk. It evaluates how rate fluctuations alter the economic value of equity and net interest income across various yield curve scenarios.

How do I prepare an IRRBB report for regulators based on Basel Committee standards?▼

Preparing an IRRBB report involves modeling yield curve scenarios, calculating NII and EVE sensitivity changes, and applying Basel Committee standards with institution-specific behavioral assumptions to generate a regulatory submission format.

Can I assess basis risk and benchmark discrepancies using yield curve scenario modeling?▼

Basis risk and benchmark discrepancies are assessed by modeling yield curve scenarios that evaluate how different rate benchmarks react to market shocks. This Skill analyzes these discrepancies to quantify their contribution to overall interest rate risk.

Does this interest rate sensitivity analysis apply institution-specific behavioral assumptions for ALCO reporting?▼

Yes, this interest rate sensitivity analysis applies institution-specific behavioral assumptions alongside Basel IRRBB standards. It models various yield curve scenarios to calculate NII and EVE changes, making the output suitable for ALCO reporting.

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