Interest Sensitivity (IS) Gap–based IRRBB model to analyze Net Interest Income (NII) impact under upward and downward interest rate shocks, implemented in Python with FRM-aligned methodology.
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Updated
Jan 3, 2026 - Python
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irrbb
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Python implementation of a leverage-adjusted Duration Gap model to estimate Economic Value of Equity (EVE) sensitivity under interest rate shocks, aligned with FRM and IRRBB methodology.
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Updated
Jan 3, 2026 - Python
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