irrbb

Auditable CRR III RWA, capital, IRRBB and ICAAP Python reference library

EU banking regulatory risk frameworks implemented in Python: IRRBB, FRTB, CSRBB, credit risk IRB, and liquidity risk (LCR, NSFR, stress testing, ILAAP).

K-IRRBB behavioral models in Excel/VBA for interest rate risk in the banking book: non-maturity deposit stability, decay, interest rate pass-through, calibration, scenario analysis, and backtesting.

Python implementation of the BCBS 368 IRRBB standardised framework — EVE & NII sensitivity across 6 prescribed shock scenarios, 19 repricing buckets, full cash flow discounting, Streamlit dashboard.

A modular Python engine for banking book ALM, integrating IRRBB, liquidity risk (LCR/NSFR), stress testing, and treasury management actions.

Portfolio hub and website for independent financial risk models: SA-CCR, SFTs, CVA, FRTB-SA, IRRBB behavioural models, LCR and NSFR. Explore tools and methods for benchmarking, model challenge, audit, advisory and education.

Repository foundations for a planned Excel/VBA toolkit to model loan prepayments and independently benchmark behavioural assumptions for IRRBB and ALM. Setup stage: no workbook, model engine or validated numerical outputs yet.

Agent AI de gestion actif-passif sur Microsoft Foundry : EVE sous les six chocs de taux de Bâle, marge nette d'intérêt, impasses, couverture par swap, LCR et NSFR, politique en RAG, garde-fou, évaluation 12/12.

Interest Sensitivity (IS) Gap–based IRRBB model to analyze Net Interest Income (NII) impact under upward and downward interest rate shocks, implemented in Python with FRM-aligned methodology.

Python implementation of a leverage-adjusted Duration Gap model to estimate Economic Value of Equity (EVE) sensitivity under interest rate shocks, aligned with FRM and IRRBB methodology.

Utiliser les taux d'intérêt canadiens pour prévoir les taux futurs et les récessions, puis mesurer ce qu'une hausse coûte à une banque fictive.

Exact calibration of US Treasury and German Bund curves under four interpolation schemes (incl. Hagan-West monotone convex): forward rates, key-rate DV01, curve PCA and Euro-Bund futures basis (conversion factors, CTD, implied repo). Public data, tested against Bundesbank and Eurex, reproducible in two commands.

IRRBB analysis of an illustrative Singapore bank: repricing gap, NII/EVE under MAS Notice 637 shocks, CASA behaviour and a sized SORA OIS hedge for ALCO.