Interest Rate Risk in Banking Book (IRRBB)
IRRBB Prepayment Scalars for Enhanced Approach.
Multipliers for prepayment and early redemption are now supported for IRRBB Enhanced Approach scenario types. Multiplier values, same as Standardized Approach, have been seeded which can be modified from the IRRBB settings user interface.
Business Benefit:
- New functional feature.
Steps to Enable and Configure
Select ‘IRRBB Shocks’ in Forecast Rates assumption and configure Enhanced Approach scenario types