IRRBB Shock Impact Not Found in FSI_O_RESULT_MASTER
(Doc ID 2964489.1)
Last updated on AUGUST 03, 2023
Applies to:Oracle Financial Services Asset Liability Management - Version 8.1.1 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI / AAI)
Oracle Financial Services Asset Liability Management (ALM)
Interest Rate Risk in the Banking Book (IRRBB)
On ALM 8.1.1, the defined IRRBB shock impact is not found in FSI_O_RESULT_MASTER. Have configured discount method, Forecast Rate scenarios using IRRBB standard approach shocks and process ALM CAshflow engine. However, no impact observed on Modified duration in FSI_O_RESULT_MASTER. Output remained constant in all scenarios irrespective of different shocks.
This is being attempted for the first time.
The issue can be reproduced at will with the following steps:
1. Configure Discount Rates rule
2. Configure Forecast Rates rule
3. Run ALM process and check the FSI_O_RESULT_MASTER results.
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