Interest Rate Risk Management

This module includes consulting services, tools and a solution that helps the bank to implement methods, processes and IT solution for measurement, monitoring and controlling the effects of interest rate risks, such as:

Repricing risk, arising from timing and repricing differences of the banks assets and labilities
Yield curve risk, resulting from adverse changes in market curves
Basis risk, arising from imperfect correlation in the adjustment of interest rates revenues and expenses
Optionality risk, arising from the embedded options in specific contracts.

The solution will enable the bank to:

Consistently integrate data and generate cash flows for any instrument and portfolio
Calculate gaps and cummulative gaps
Measure short term interest risk and it´s impact on the net interest revenue for selected future period
Measure long term interest rate risks and it´s impact on the economic value of the portfolio
Simulate effects of adverse changes in liquidity and market rates
Conduct stress test by executing rates schifts, paralle or portfolio specific
Provide information for supervisory authorities

Technology component of the solution can easily be supported with special modules of our integrated Risk Framework— ALM Modules , which is supporting cash flow and interest income analysis and management by any time band, in a chosen observation period.

Transparenza Ltd.
Lettenbach Str. 29, 86420 Diedorf, Germany
tel. +49 (0) 821 4866 712, mob. +49 (0) 172 107 4134

info@transparenza.biz