Interest Rate Risk Modelling (IRRBB)
IRRBB-compliant interest rate risk modelling for banks. Sensitivity analysis, gap analysis, economic value of equity, and AI-driven scenario generation for regulatory compliance.
IRRBB-Compliant Interest Rate Risk Modelling
Interest rate risk in the banking book (IRRBB) is a critical risk for banks and financial institutions. Regulatory bodies including the EBA and ECB require robust modelling of interest rate sensitivity across economic value of equity (EVE) and net interest income (NII) perspectives, with comprehensive stress testing under prescribed and institution-specific scenarios.
redskios builds interest rate risk modelling platforms that deliver full IRRBB compliance: repricing gap analysis, behavioural modelling for non-maturing deposits and prepayable instruments, basis risk quantification, and multi-scenario stress testing with AI-generated scenarios that complement regulatory prescribed shocks.