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Financial Analyst
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- The Balance Sheet Management, Interest Rate Analyst (IRA) team is responsible for reporting and analyzing the Bank’s Interest Rate Risk (IRR) profile across various metrics, including Net Interest Income (NII), Basel 3 Capital (B3 Capital), and Economic Value of Equity (EVE).
- The IRA team conducts daily, monthly, and quarterly monitoring of the bank’s balance sheet positioning and performs ad hoc analytics to support Treasury decision-making.
- Starting with the Bank’s spot data position and baseline forecast, the team applies various interest rate shocks—both parallel and non-parallel—to quantify and report the Bank’s IRR. The scenarios typically focus on +/-100 basis points (bps) shocks, though larger and smaller shocks are also modeled, analyzed, and reported.
- The Bank has established risk limits for each metric across the various interest rate shocks, both at the Risk Appetite Statement (RAS) and non-risk appetite levels.
- Measure and analyze Interest Rate Risk for the banking book.
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