irrbb

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.

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

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

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.

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.

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.

Portfolio hub and website for independent financial risk models: SA-CCR, IRRBB behavioural models and FRTB-SA. 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.

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.

Yield curve bootstrap and rates pricing on real market data. USD curve bootstrapped from US Treasury CMT par yields (home.treasury.gov), EUR curve ingested from ECB AAA-govt zeros (Svensson model). Bond/swap pricing, IRRBB scenarios, 22 invariant tests. Reproducible in one command.