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interest-rate-sensitivity-analysis

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Analyze interest rate risk impact

Finance & Accounting#ALCO#interest rate risk#IRRBB#duration gap#NII sensitivity#EVE analysis
AuthorGoldenZero
Version1.0.0
Installs0

System Documentation

What problem does it solve?

This Skill automates the complex analysis of interest rate risk, translating raw financial data into clear insights on how rate changes impact Net Interest Income (NII) and Economic Value of Equity (EVE).

Core Features & Use Cases

  • NII and EVE Sensitivity Analysis: Quantify the impact of various interest rate scenarios (parallel shifts, steepeners, flatteners) on earnings and economic value.
  • IRRBB Compliance: Supports regulatory requirements like BCBS 368 by modeling prescribed shock scenarios.
  • Use Case: When preparing for an ALCO committee meeting, use this Skill to generate a comprehensive report detailing the bank's exposure to interest rate fluctuations and recommend hedging strategies.

Quick Start

Analyze my interest rate sensitivity and recommend clear next actions.

Dependency Matrix

Required Modules

None required

Components

scriptsreferencesassets

💻 Claude Code Installation

Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.

Please help me install this Skill:
Name: interest-rate-sensitivity-analysis
Download link: https://github.com/GoldenZero/skills/archive/main.zip#interest-rate-sensitivity-analysis

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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