Modules/Insight Core

IRRBB Insight Core

Production, analysis, stress and simulation of interest rate risk in the banking book: EVE (economic value of equity), NII (net interest income), NPV, duration, repricing gaps, sensitivities by maturity bucket, breakdowns by item and sphere.

KernelIRRBBCSRBBGAPLCRNSFRALMMFlowQuant ALMSolvency
Role, inputs, outputs

Interest rate risk in the banking book (IRRBB), from data to committee.

Inputs
Base & shocked cash flowsRate curvesShock scenariosNew business
IRRBB Insight Coredeterministic engine
Outputs
EVE · NII · NPV · duration · average rate · rank · gapsBridge and multi-bridge between reporting datesConfigurable analysesRAF alertsMulti-currency, by entity and for the groupIRRBB ITSRegulatory, management and custom reporting
Role

Production and analysis of interest rate risk in the banking book: EVE (economic value of equity), NII, NPV, duration, rate gaps, sensitivities by maturity bucket, breakdowns by item and sphere.

Inputs

Base and shocked cash flows (provided by the bank or generated by Flow Insight Core), rate curves, regulatory and internal shock scenarios, new business for dynamic NII.

Outputs

Metrics and sensitivities, bridges between reporting dates (rate, volume and time effects), regulatory (ITS IRRBB) and internal management reporting, RAF monitoring with threshold alerts, and natural-language dialogue with the data and metrics.

Agentic analysis

Explanation of changes, breakdown of contributors, native or user-configurable analysis routines, committee-ready commentary, natural-language querying.

ICAAP · ILAAP

Contribution to the ICAAP and ILAAP

Interest rate and 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.

Conversational platformEVE / NII / NPV calculationDuration and rate gapsRegulatory and internal scenariosAnalysis routinesEnriched analysis indicatorsInteractive bridge: rate, volume, time effectsRAF monitoring and threshold alertsIndustrialised reporting: regulatory and managementCalculation and report historyBuilt-in consistency checksStress simulations in conversationSupervisory outlier testSix BCBS shock scenariosRepricing gapEVE bridge between reporting dates
In conversation

EVE sensitivity, scenario by scenario.

In the IRRBB (interest rate risk in the banking book) chat, the expert asks for Bank A's EVE sensitivity under the six regulatory scenarios. RIALTO writes the summary, identifies the worst shock and attaches, for each scenario, a chart by maturity bucket in a collapsible pane.

  • Worst shock: parallel shift up, −€478.2m, or −12.47% of Tier 1 capital, within the −15% threshold
  • Six scenarios, one pane each: global, interest and principal sensitivity across 13 buckets
  • Interest / principal breakdown, table or chart view, PNG or dashboard export
rialto-kernel · chat IRRBB
R

Global EVE sensitivity by scenario (13 buckets):

  • Curve flattening : −23,418,377 (−0,61% of Tier 1)
  • Short rates down : +164,092,540 (+4,28% of Tier 1)
  • Short rates up : −156,911,208 (−4,09% of Tier 1)
  • Parallel shift down : +420,377,655 (+10,96% of Tier 1)
  • Parallel shift up : −478,206,319 (−12,47% of Tier 1)
  • Curve steepening : −58,241,906 (−1,52% of Tier 1)
  • Worst shock: Parallel shift up (−478,206,319)
  • Below the alert threshold: most adverse sensitivity −12.47% of Tier 1 (threshold −15%)
Expand allCollapse all
SENSI EVE · Parallel shift upCard↗
TableChart
Bars ⌄CopyPNG
2025-12-31 · Banque A · Parallel shift up · computed
Dashboard
Total net EVE sensitivity: −€478,206,319 (−12.47% Tier 1)
Global (% Tier 1)Interest (% Tier 1)Principal (% Tier 1)
SENSI EVE · Curve flatteningCard↗
TableChart
Bars ⌄CopyPNG
2025-12-31 · Banque A · Curve flattening · computed
Dashboard
Total net EVE sensitivity: −€23,418,377 (−0.61% Tier 1)
Global (% Tier 1)Interest (% Tier 1)Principal (% Tier 1)
SENSI EVE · Short rates downCard↗
TableChart
Bars ⌄CopyPNG
2025-12-31 · Banque A · Short rates down · computed
Dashboard
Total net EVE sensitivity: +€164,092,540 (+4.28% Tier 1)
Global (% Tier 1)Interest (% Tier 1)Principal (% Tier 1)
SENSI EVE · Short rates upCard↗
TableChart
Bars ⌄CopyPNG
2025-12-31 · Banque A · Short rates up · computed
Dashboard
Total net EVE sensitivity: −€156,911,208 (−4.09% Tier 1)
Global (% Tier 1)Interest (% Tier 1)Principal (% Tier 1)
SENSI EVE · Parallel shift downCard↗
TableChart
Bars ⌄CopyPNG
2025-12-31 · Banque A · Parallel shift down · computed
Dashboard
Total net EVE sensitivity: +€420,377,655 (+10.96% Tier 1)
Global (% Tier 1)Interest (% Tier 1)Principal (% Tier 1)
SENSI EVE · Curve steepeningCard↗
TableChart
Bars ⌄CopyPNG
2025-12-31 · Banque A · Curve steepening · computed
Dashboard
Total net EVE sensitivity: −€58,241,906 (−1.52% Tier 1)
Global (% Tier 1)Interest (% Tier 1)Principal (% Tier 1)
Illustrative example · fictitious data
EVE·NII
sensitivities and NPV
ITS
IRRBB regulatory reporting
3
bridge effects: rate, volume, time
RAF
continuous threshold alerts

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