What we doAdvisory & ConsultancyInterest-Rate Risk in the Banking Book
Interest-rate risk priced into the decisions that matter.
Every bank measures IRRBB; few manage with it. The EVE and NII numbers are produced, filed and never touch a pricing or hedging decision. The behavioural models underneath — non-maturity deposits, prepayment — are thin, undocumented, or inherited from a system nobody calibrated. Meanwhile the revised BCBS principles have raised what supervisors expect a framework to show. BIZENIUS builds IRRBB measurement that translates into ALCO decisions: the trade-off between earnings stability and economic value, priced and owned.
Where this begins
The gaps this practice is asked to close.
The numbers exist; the decisions don’t
EVE and NII sensitivities are reported every month — and no pricing, hedging or balance-sheet decision has referenced them in a year.
The behavioural models are an inheritance
Deposit duration and prepayment behaviour came with the ALM system. Nobody has recalibrated them to this balance sheet, and the documentation would not survive a model review.
The framework predates the principles
The revised BCBS principles moved the standard — shock scenarios, behavioural evidence, disclosure. A framework calibrated to the old guidance is exposed at the next review.
What we deliver
Measurement your ALCO can act on.
An IRRBB engagement leaves your institution with a framework that answers the two questions that matter — what would a rate shock do to value, and what would it do to earnings — and a committee that uses the answers.
The measurement framework
EVE and NII under the full supervisory shock set and your own scenarios — methodology documented to the standard a model reviewer expects.
The behavioural model set
Non-maturity deposit treatment, prepayment and pipeline behaviour calibrated on your data, with the evidence file that defends each choice.
Limits & risk appetite
An IRRBB appetite the board can hold — limits on both value and earnings measures, with escalation that has owners.
The ALCO pack
Reporting redesigned around decisions: the positions, the trade-off, the options — in the form your committee will actually use.
The supervisory file
Framework documentation aligned to the revised BCBS principles, ready for the review that will eventually come.
How the engagement runs
Diagnose. Design. Build. Embed.
Diagnose
Your measurement, models and governance against the revised principles — and against how your ALCO actually decides.
Design
The target framework: scenario set, behavioural methodology, limit structure, reporting lines.
Build
With your ALM and risk teams — calibrations, documentation and the ALCO pack produced together on your data.
Embed
ALCO walkthrough, model handover and training through the Capability Arc — your team owns the framework.
Perimeter and fee are fixed at the diagnostic — including which behavioural models we rebuild and which we validate.
Asked before engaging
The questions ALM heads put to us first.
We already produce EVE and NII numbers. What would change?
What changes is what the numbers can carry. Most frameworks produce sensitivities that no one would stake a decision on, because the behavioural layer underneath is unevidenced. We rebuild that layer on your data, then redesign the reporting so ALCO sees a priced trade-off — earnings stability against economic value — instead of a table.
Does this cover the revised BCBS principles?
Yes — the framework is built against the revised principles: the supervisory shock scenarios, behavioural evidence expectations, governance and disclosure. If your current framework was calibrated to the earlier guidance, the diagnostic will show precisely where the gap is.
How long does an IRRBB engagement take?
Fixed at the diagnostic. The driver is the behavioural model set: validating existing models is faster than rebuilding them from data. Either way the perimeter, duration and fee are agreed before we begin.
Who does the work?
Practitioners who have run banking-book risk and taught it — the same bench that delivers our IRRBB masterclass teaches the framework to your team as we build it.
What do you need from us?
Position and repricing data, deposit and prepayment histories, current model documentation, and time with the ALM team and ALCO chair. Everything is listed at the diagnostic.
The Capability Arc™
This practice is one point on the arc.
Most IRRBB clients pair the framework with the masterclass their team learns it from — and the engine that runs the scenarios on demand.
Learn it · Training
Interest Rate Risk in the Banking Book Masterclass
The revised BCBS principles and what they demand of your framework — taught by the bench that builds them.
Automate it · Smart IT
Stress Testing & Scenario Engine
Shock scenarios defined, applied and aggregated in one governed engine — a board request answered in days.
The ask
Request a confidential framework review.
A senior practitioner reads your IRRBB framework against the revised principles — and tells you, privately, where a model review or supervisory visit would land.
Confidential by default; under NDA on request. A senior practitioner responds within two working days.
Interest-Rate Risk in the Banking Book
Leave the question with us.
Two lines on the mandate is enough — a senior practitioner replies within one business day.