IRRBB / EVE / NII model¶
| ID | MOD-035 |
| System | SD06 |
| Repo | bank-risk-platform |
| Build status | Deployed |
| Deployed | Yes |
| Last commit | 54197c02fff0ca78a988e6140d31778e59f05b46 |
Computes Economic Value of Equity and Net Interest Income sensitivity across rate shock scenarios. Repricing gap analysis by time bucket and currency.
Streamlit dashboard¶
MOD-035 ships a Streamlit page RISK_CAPITAL.STREAMLIT_IRRBB_DASHBOARD providing:
- EVE sensitivity under all six standard interest rate shock scenarios (+200bp, -200bp, +100bp, -100bp, twist, parallel)
- NII sensitivity over 12-month horizon per scenario
- Scenario comparison chart with prior period overlay
- Limit headroom for each scenario against board-approved IRRBB limits
Consumed by MOD-171 (Risk Intelligence Dashboard) in the IRRBB sensitivity section. Cross-schema SELECT on RISK_CAPITAL.* published views required for RISK_INTELLIGENCE_ROLE.
Module dependencies¶
Depends on¶
| Module | Title | Required? | Contract | Reason |
|---|---|---|---|---|
| MOD-042 | CDC pipeline — Neon logical replication to S3 Iceberg | Required | — | IRRBB model runs in Snowflake against rate-sensitive balance sheet data fed by the CDC pipeline. |
| MOD-085 | Market rates ingestion & normalisation | Required | contract/dbt/ |
Swap and OIS yield curves for interest rate shock scenarios are consumed via dbt source() on the market.* schema published by MOD-085. Not via EventBridge subscription (ADR-046). |
| MOD-104 | AWS shared infrastructure bootstrap | Required | — | MOD-104 provisions the S3 Iceberg bucket (Snowflake external tables), KMS key, and bank-risk-platform EventBridge bus ARN. Required before this module can be deployed. |
| MOD-102 | Snowflake account configuration & governance | Required | — | Snowflake account and governance provisioned by MOD-102 must exist before this module can read or write Snowflake. |
| MOD-033 | RWA & capital ratio engine | Optional | — | RWA / capital adequacy module provides risk_capital.capital_positions.tier1_capital for the BCBS outlier threshold calculation (FR-215). MOD-035 v1 falls back to a synthetic Tier 1 fixture in IRRBB_SHOCK_SCENARIOS when MOD-033 is absent; real Tier 1 is picked up automatically via lazy resolution once MOD-033 deploys. |
| MOD-171 | Risk Intelligence Dashboard | Required | — | Risk Intelligence Dashboard aggregates IRRBB sensitivity published views in its IRRBB page — MOD-035 Streamlit is linked from the dashboard. |
Required by¶
| Module | Title | As | Contract |
|---|---|---|---|
| MOD-150 | Risk management platform | Hard dependency | — |
| MOD-171 | Risk Intelligence Dashboard | Hard dependency | — |
Policies satisfied¶
| Policy | Title | Mode | How |
|---|---|---|---|
| CLQ-004 | Interest Rate Risk in the Banking Book (IRRBB) Policy | CALC |
IRRBB metrics computed from live balance sheet positions — not a quarterly exercise |
| REP-002 | Prudential Reporting Policy | CALC |
IRRBB disclosures populated from model output — consistent with internal monitoring |
| GOV-002 | Risk Appetite Statement Policy | ALERT |
EVE sensitivity breach of limit triggers automatic alert to ALCO and CRO |
Capabilities satisfied¶
(No capabilities mapped)
Part of SD06 — Snowflake Analytics & Risk Platform
Compiled 2026-05-22 from source/entities/modules/MOD-035.yaml