IRRBB models
Economic value of equity and net interest income sensitivity, repricing gap analysis, and the behavioural assumptions that make both meaningful.
Advisory
The models underneath your treasury reporting.
Interest rate risk in the banking book, foreign exchange exposure and liquidity risk — modelled properly, and built to be re-run by your own team.
Context
What you are facing
Treasury risk reporting in many institutions here is a repricing gap table produced monthly, read briefly at ALCO, and disconnected from any decision.
The gap table is built on contractual dates, so it inherits every assumption the ILAAP is supposed to test. It measures earnings sensitivity but not economic value, which is the measure a supervisor increasingly asks for. It rarely captures optionality — the prepayment behaviour in your loan book, the withdrawal behaviour in your deposit book — and it says nothing about basis risk between a policy-linked asset and a differently-priced liability.
None of this is difficult to model. It is simply rarely modelled.
Deliverables
What we deliver
Concrete outputs, not activities.
Behavioural inputs
Non-maturing deposit repricing, prepayment behaviour and embedded optionality, estimated from your own data.
Standardised outlier testing
Against the thresholds your supervisor applies, so you know before they do.
Foreign exchange risk
Net open position measurement, sensitivity and value-at-risk where the position warrants it.
Liquidity risk models
Gap analysis, ratio computation and stress testing.
Basis risk assessment
Between differently-referenced assets and liabilities, which matters more in a rate environment that moves.
ALCO reporting
Outputs in a form that supports a decision rather than filling a pack.
Methodology
How we work
Step 01 of 04
01
Discover
Balance sheet structure, repricing characteristics and the reporting your ALCO currently receives.
Where we have done this
These models are usually built inside a wider engagement. The behavioural deposit models underpinning five ILAAP frameworks, and the interest rate and liquidity components of eight ICAAP engagements, were developed as part of that work across Uganda and Tanzania.
Related services
The deepen motion — where existing clients extend.
Next step
Bring us your ALCO pack.
The quickest way to see what is missing is to look at what your committee currently receives. We will tell you what can be added and what it would take.