IRRBB Shocks Definition and Calculations Questions (Doc ID 2618302.1)

Last updated on MARCH 10, 2023

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.7 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Enterprise Performance Management (EPM)

Goal

Interest Rate Risk in the Banking Book (IRRBB) Shocks Definition and Calculations Questions.

Solution

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In this Document

Question 1: How are the rate shocks calculated for the curves for the Interest Rate Risk in the Banking Book (IRRBB) standard approach?

Question 2: What is the difference between the enhanced approach and the normal scenario definition (as both of them are completely user defined)?

Question 3: Why do you have to define a volatility curve to avoid getting the message "No Reference Volatility Curves available for the selected Currency"?

Question 4: In what ways is the process affected by the CPR in a standard approach scenario?

Question 5: How are the amounts and shocks calculated?

Question 6: Can shock be applied on a fixed rate loan for Constant Balance Sheet Scenario to calculate net interest income (NII) Sensitivity in OFSAA?

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