How alexcrescentini/icaap_irrbb_analysis works
This repository is a notebook-based IRRBB analysis: it builds Basel III rate shocks and a synthetic bank balance sheet, calculates NII and EVE under contractual and behavioral NMD assumptions, then stress-tests those assumptions against supervisory thresholds. The README documents this workflow and lists data and output artifacts; notebook source was not available, so links beyond that documented workflow are omitted.
Main entry points: 02_irrbb_behav_nmd.ipynb NII and EVE · 01_balance_sheet.ipynb Synthetic balance sheet · 00_basel_shocks.ipynb Basel shocks · 03_irrbb_stress_test.ipynb Behavioral stress test
Components 10
Inputs
- Treasury rates
data/daily-treasury-rates.csv
Analysis
- Basel shocks
00_basel_shocks.ipynb - Synthetic balance sheet
01_balance_sheet.ipynb - NII and EVE
02_irrbb_behav_nmd.ipynb - Behavioral stress test
03_irrbb_stress_test.ipynb
Results
- Yield curves
output/basel_iii_yield_curves.csv - Assets
output/assets.csv - Liabilities
output/liabilities.csv - Analysis figures
output/figs
Other components
- Analyst
Connections 13
- Analyst → Basel shocks: runs
- Analyst → Synthetic balance sheet: runs
- Analyst → NII and EVE: runs
- Analyst → Behavioral stress test: runs
- Treasury rates → Basel shocks: provides rates
- Basel shocks → NII and EVE: provides shocks
- Synthetic balance sheet → NII and EVE: provides instruments
- NII and EVE → Behavioral stress test: provides baseline
- Basel shocks → Yield curves: writes curves
- Synthetic balance sheet → Assets: generates
- Synthetic balance sheet → Liabilities: generates
- NII and EVE → Analysis figures: reports metrics
- Behavioral stress test → Analysis figures: reports sensitivities