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Interest Rate Risk

Interest Rate Risk - Liquidity, Risk Intelligence, Capital Optimization

LiRiCo Interest Rate Risk (IRR) Module allows Banks to keep their exposure to adverse movements in interest rates under control and to provide added value strategies to minimize or mitigate risks.

Thanks to a complete and expandable engine, the IRR module is able to supports several type of analysis (e.g. EV and NII Sensitivity, Repricing and Duration Gap) fitted on Banks portfolio composition.
Promptly results allows Institutions to compare and evaluate different kind of business strategies.

In addition to standard models, LiRiCo provides behavioural models (e.g. committed lines, prepayment, non-maturity deposits) and user-defined calculations and functions.

As essential part of interest rate risk analysis, the user is able to build various stress scenarios based on different kind of risk factors (e.g. interest rate, volatility, inflation) and to examine effects on the entire balance sheet, considering, where useful, the single BS item.