How ovcgit/irrbb_model works
This repository is an IRRBB risk-analysis framework for banking-book portfolios. The principal workflow takes balance-sheet, market and behavioral data through parsing and preparation, then calculates EVE and NII sensitivities under rate scenarios, checks risk limits, and produces reports or dashboards. The architecture separates input handling, financial modeling and outputs, with configuration controlling analysis and reporting. The README documents several capabilities whose internal wiring is not shown in the sampled excerpts; links are limited to documented workflow and described module responsibilities.
Main entry points: main.py Framework entry point · core.py IRRBB calculation engine · parsers.py Input parsers · transformers.py Data transformers
Components 16
Data preparation
- Input parsers
irrbb_model/data_management/parsers.py - Data transformers
irrbb_model/data_management/transformers.py - Data validation
irrbb_model/data_management/validation.py
Risk modeling
- Framework entry point
irrbb_model/main.py - IRRBB calculation engine
irrbb_model/core.py - Banking instruments
irrbb_model/financial_instruments/fixed_income.py - Instrument abstractions
irrbb_model/financial_instruments/base.py - Cash-flow schedules
irrbb_model/cash_flows.py - Rate scenarios
irrbb_model/term_structure.py - Behavioral models
irrbb_model/behavioral_models.py
Risk outputs
- Risk-limit monitoring
irrbb_model/risk_management.py - Reports and dashboards
irrbb_model/reporting.py
Configuration
- Analysis configuration
irrbb_model/config.py
Other components
- Analyst or CLI user
- Portfolio and market files
- Report consumer
Connections 15
- Analyst or CLI user → Framework entry point: runs analysis
- Framework entry point → Analysis configuration: loads settings
- Framework entry point → Input parsers: loads input
- Portfolio and market files → Input parsers: provides data
- Input parsers → Data transformers: standardizes data
- Data transformers → Data validation: prepares data
- Framework entry point → IRRBB calculation engine: runs calculations
- IRRBB calculation engine → Banking instruments: builds instruments
- Banking instruments → Instrument abstractions: extends
- IRRBB calculation engine → Rate scenarios: models rate scenarios
- IRRBB calculation engine → Behavioral models: models behavior
- IRRBB calculation engine → Cash-flow schedules: analyzes cash flows
- Framework entry point → Risk-limit monitoring: checks limits
- Framework entry point → Reports and dashboards: generates reports
- Reports and dashboards → Report consumer: delivers results