What metrics are included in the final output?

The output includes a repricing gap table, NII and EVE sensitivity results, duration and convexity summaries, and specific action items for risk mitigation.

How does this skill help with ALCO meetings?

It provides a standardized workflow to gather balance sheet data and generate the gap schedules, sensitivity tables, and executive summaries required for Asset-Liability Committee reporting.

What is IRR management in banking?

Interest Rate Risk (IRR) management involves identifying and controlling the risk to a bank's earnings and capital arising from movements in interest rates, typically measured through NII and EVE.

Can it model non-parallel yield curve shifts?

Yes, the workflow includes instructions for modeling non-parallel scenarios such as flattening, steepening, and inversion of the yield curve.

Does it support regulatory standards?

Yes, the skill includes quality checks specifically aligned with OCC, FDIC, and Fed guidance, such as the 2010 Interagency Advisory on Interest Rate Risk Management.

Bank Interest Rate Risk Management

Name: Bank Interest Rate Risk Management
Author: lev-os

bylev-os

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分析と監視

Manages interest rate risk analysis for banking institutions through EVE, NII sensitivity, and repricing gap modeling.

This skill provides a structured framework for managing bank Interest Rate Risk (IRR) to support Asset-Liability Committee (ALCO) decision-making and ensure regulatory compliance. It facilitates the creation of comprehensive risk management reports by calculating Economic Value of Equity (EVE), Net Interest Income (NII) sensitivity, and repricing gaps across various time buckets. Ideal for risk officers and financial analysts, it guides the modeling of parallel and non-parallel yield curve shifts, the assessment of hedging strategies, and the validation of non-maturity deposit (NMD) assumptions to keep the bank within its risk appetite.

主な機能

01EVE and NII sensitivity modeling across +/- 100-300 bps shocks

02Hedging strategy evaluation for swaps, caps, and floors

03Regulatory compliance verification for OCC, FDIC, and Fed guidelines

04Repricing gap analysis across standardized time buckets

052 GitHub stars

06Comprehensive ALCO management report generation

ユースケース

01Evaluating the effectiveness of derivative hedging positions against risk limits

02Running scenario analysis for parallel and non-parallel yield curve shifts

03Preparing quarterly ALCO packages with rate-sensitivity metrics for board review

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add lev-os/agents managing-interest-rate-risk-banking

For use in Claude.ai and ChatGPT

主な機能

01EVE and NII sensitivity modeling across +/- 100-300 bps shocks

02Hedging strategy evaluation for swaps, caps, and floors

03Regulatory compliance verification for OCC, FDIC, and Fed guidelines

04Repricing gap analysis across standardized time buckets

052 GitHub stars

06Comprehensive ALCO management report generation

ユースケース

01Evaluating the effectiveness of derivative hedging positions against risk limits

02Running scenario analysis for parallel and non-parallel yield curve shifts

03Preparing quarterly ALCO packages with rate-sensitivity metrics for board review

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add lev-os/agents managing-interest-rate-risk-banking

For use in Claude.ai and ChatGPT