How jliu2025/irrbb-optionrisk-stresstest works
This is an exploratory IRRBB option-risk stress-testing project. The documented workflow is to provide a loan/deposit balance sheet, run the stress-testing notebook across rate shocks, export scenario results, and explore them in Power BI. The graph separates behavioral assumptions, financial impact measures, and reporting. Notebook internals are not available, so the modeled stages reflect README descriptions rather than verified implementation details.
Main entry points: StressTesting.ipynb Stress simulation · StressTesting_Report.pbix Power BI dashboard · Balance_sheet.csv Portfolio data · Stress_Test_Output.csv Scenario results
Components 11
Behavioral Modeling
- Portfolio data
Balance_sheet.csv - Loan prepayment
StressTesting.ipynb - NMD withdrawals
StressTesting.ipynb
Stress Analysis
- Stress simulation
StressTesting.ipynb - Rate shock scenarios
StressTesting.ipynb - 12-month ΔNII
StressTesting.ipynb - Lifetime ΔEVE
StressTesting.ipynb - Year-end cash
StressTesting.ipynb
Results and Reporting
- Scenario results
Stress_Test_Output.csv - Power BI dashboard
StressTesting_Report.pbix
Other components
- Portfolio analyst
Connections 12
- Portfolio analyst → Portfolio data: edits portfolio
- Portfolio analyst → Stress simulation: runs simulation
- Stress simulation → Portfolio data: reads portfolio
- Stress simulation → Rate shock scenarios: simulates
- Stress simulation → Loan prepayment: models
- Stress simulation → NMD withdrawals: models
- Stress simulation → 12-month ΔNII: calculates
- Stress simulation → Lifetime ΔEVE: calculates
- Stress simulation → Year-end cash: calculates
- Stress simulation → Scenario results: writes results
- Portfolio analyst → Power BI dashboard: explores results
- Power BI dashboard → Scenario results: loads results