Modules/Insight Core

CSRBB Insight Core

Production and analysis of credit spread risk in the banking book: EVE (economic value of equity) and NII (net interest income) sensitivities incorporating credit spread changes, on the securities portfolio and other positions at fair value.

KernelIRRBBCSRBBGAPLCRNSFRALMMFlowQuant ALMSolvency
Role, inputs, outputs

Spread risk, calibrated and explained.

Inputs
Securities portfolioCDS / market histories
CSRBB Insight Coredeterministic engine
Outputs
CSRBB shocks calibrated by segmentEVE · NII sensitivitiesSecurities portfolio analysisAnalysis by entity and by currencyMulti-bridge between reporting datesExplanation, regulatory, management and custom reporting
Role

EVE and NII sensitivities incorporating credit spread changes, on the securities portfolio and other positions at fair value, with a scope defined in line with regulatory requirements.

Capabilities

Spread shocks calibrated on the bank's portfolio, upward and downward, using a proven methodology that can be adapted to the institution's own.

Methodological basis

The module provides several calibration methodologies, natively implemented in the solution. The client picks the one that fits its framework, and the module adapts to any other methodology specific to the institution.

ICAAP

Contribution to the ICAAP

Credit spread risk in the banking book, integrated into the ICAAP (internal capital adequacy assessment process) and its stress tests.

Functional scope

What the module covers.

Credit spread shock calibrationDefinition of CSRBB up / down shock scenarios by counterpartyEVE / NII under spread shocksCSRBB scope definition and validationAnalysis routineExplanation of resultsReporting and history
Shock calibration

Shocks calibrated on your portfolio.

Calibration starts from the analysis of the securities portfolio. Spreads are decomposed using the method chosen by the user on each carrying segment, and each bucket gets both an upward and a downward shock.

rialto-kernel · chat CSRBB
Calibrate the CSRBB shocks
RIALTO · Kernel
Asset-swap method · 19 segments · ES, 99.5% stress.
Shocks by bucket (family × rating)bp
ES 99.5% downES 99.5% up
600−60
CORP_FIN × A
CORP_FIN × AA
CORP_FIN × AAA
CORP_FIN × BBB
CORP_FIN × NR
CORP_NONFIN × A
CORP_NONFIN × AA
CORP_NONFIN × NR
SOU_FIN × A
SOU_FIN × AA
SOU_FIN × AAA
SOU_NONFIN × A
SOU_NONFIN × AA
SOU_NONFIN × AAA
SOU_NONFIN × NR
Illustrative example · fictitious data
EVE calculation

ΔEVE measured under each shock.

Calibrated shocks are applied to the CSRBB (credit spread risk in the banking book) scope. RIALTO returns ΔEVE, its asset / liability split, its weight in CET1 (Common Equity Tier 1) and the detail by calibration unit, upward and downward.

rialto-kernel · chat CSRBB
Compute the ΔEVE
RIALTO · Kernel
Under a systemic credit-spread shock on scope PER_000, ΔEVE is 53.4 M€ (asset leg −23.9 M€, liability leg 77.3 M€), i.e. 1.62% of CET1. Measure: ES, 99.5% stress.
Calibration unit
ΔEVE up
ΔEVE down
CORP_FIN
39.0 M€
−10.3 M€
CORP_NONFIN
−0.2 M€
0.1 M€
SOU_FIN
−0.4 M€
0.4 M€
SOU_NONFIN
15.0 M€
−15.8 M€
Scenario · 99.5% stressPER_000
Illustrative example · fictitious data
Scope
CSRBB scope, in line with regulatory requirements
↑↓
up and down scenarios by counterparty
10/2026
demonstration possible

See RIALTO reason over your numbers.

We simulate a full analysis with your data types and the scenario of your choice.

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