Interest Rate Sensitivity Analysis

Overview

Translates interest rate risk data—repricing gaps, NII sensitivity, EVE changes, duration profiles—into structured analysis and narratives for ALCO review, IRRBB regulatory submissions, and strategic planning. Applies Basel Committee IRRBB standards (BCBS 368) including the six prescribed shock scenarios and institution-specific behavioral assumptions.

When to Use

• Preparing NII-at-risk and EVE-at-risk reports for ALCO
• Analyzing impact of parallel and non-parallel yield curve shifts
• Explaining basis risk between funding and lending benchmarks
• Drafting IRRBB sections of ICAAP or Pillar 2 submissions
• Evaluating hedging strategy effectiveness
• Assessing embedded optionality (prepayment, early redemption, behavioral deposits)

Required Inputs