IRRBB & ALM
How interest rates move a bank’s value (EVE) and income (NII): stress scenarios, repricing gaps, limits, reverse stress and the report the ALCO reads.
See the stress capsuleBanking risk · ALM · implementation
Risk numbers you can defend, in systems that actually run.
Independent consultant for interest-rate risk (IRRBB), asset–liability management and behavioural modelling. Fifteen years of turning risk methodology into validated, production-grade systems for banks.
IRRBBALMMarket riskBehavioural modelsAIROSAS
IRRBB · reverse stressIllustrative model
Illustrative example: a reverse stress test searches for the smallest parallel rate shock that moves economic value by 15 percent of Tier 1 capital, and reports the headroom beyond the 400 basis point regulatory test.
Breakeven · down—
Breakeven · up—
Headroom vs 400 bp—
15+years in banking risk, ALM and risk-system delivery
4 × 7stress sets × scenarios, run together in one controlled pass
19standard maturity buckets, every cash flow revalued
4models validated against a bank’s own workbook: NMD, TDRR, CPR, AIRO
Currently engaged · 2026
Upgrading a large Indian bank’s risk platform, and proving the numbers still match.
The bank measures its interest-rate risk (IRRBB), its balance-sheet liquidity and funding (ALM) and its internal funds pricing (FTP) on SAS Risk Management. I’m helping move that platform from version M7 to M8.
In plain terms: change the engine without changing the answers.
The client is not named.
Assess
What changes between M7 and M8, and what could break, before anything is touched.
Compare
The old and new set-ups side by side: configuration, data flows and calculations.
Migrate
Stand up the new platform and bring the models and reports across.
Validate
Run both versions and reconcile the EVE, NII and FTP outputs, old against new.
Expertise
Where I help
From the methodology on paper to the number on the ALCO report, and every step in between.
Behavioural models
How deposits and loans really behave, not just what the contract says: non-maturity deposits, early withdrawal, prepayment. Each reconciled to the bank’s workbook.
Read the NMD noteSAS risk systems
Configuration, calculation, data and reporting in SAS Risk Management, Stored Processes and Viya, including version upgrades and migrations.
View capability profileMarket risk & valuation
Instrument valuation, VaR and sensitivity analysis, scenarios, and the regulatory reporting built on top of them.
See delivery experiencePricing & options (AIRO)
Caps, floors and early-repayment rights hidden in loans and deposits, valued so the bank’s risk numbers include them.
Read the AIRO methodIndependent review
A second pair of eyes on someone else’s model or implementation: reconcile it, challenge it, and document what holds and what doesn’t.
How models are validatedLive demonstrations
Working demonstrations, not slideware.
Each one runs in your browser. Change an input and watch every number recompute.
IRRBB · Interactive
Reverse stress test
Find the exact rate move that breaks the 15% limit, and the headroom beyond the regulatory test.
Open the toolIRRBB · Capsule
Stress capsule: EVE & NII
Four stress sets across seven scenarios: value and income impact, with reverse-stress headroom.
Open the capsuleIRRBB · Reporting
Management report pack
The ALCO view: gap ladder, EVE by scenario and limit status in one place.
See the reportBehavioural · Walkthrough
Deposit behaviour (NMD)
How much of a savings balance is core, how much reprices, and how long it stays, step by step.
Walk through itAIRO · Black-76
Cap & floor loan
Value the hidden rate options in a floating-rate loan, caplet by caplet, with live strikes and volatility.
Open the valuationAIRO · Rate tree
Prepayment option
Price a borrower’s right to repay early on a rate tree, with the exercise-or-wait map.
Open the treeBuilt to show method and structure. No client is named.
Selected work
What I’ve built and validated
Reusable builds and independent validation work, described in client-safe terms.
Ready-to-implement accelerator
IRRBB stress capsule
- Four stress sets across seven scenarios in one run
- EVE across the full 19-bucket structure
- One-year NII by the gap method
- Reverse stress by binary search to the breakeven shock
- Nine-sheet management report and a full run history
Modelling & validation
Behavioural models
- NMD: core and volatile split, rate pass-through, regulatory cap
- TDRR: outlier treatment, three regressions, lifetime conversion
- CPR: prepayment and its effect on cash flows
- Every model reconciled to the bank’s own workbook before it is improved
Quantitative valuation
AIRO: embedded options
- Caps and floors valued caplet by caplet with Black-76
- Option-adjusted EVE added to the standard result
- Early-repayment rights priced on a rate tree (worked example)
- Built-in sanity checks on every valuation
Trust the formula cell, not the header.
In one validation, a column header said one thing while the formula behind it did another. The sign of the regression coefficient gave it away. Reconcile to the numbers first, then improve on them.
How the models are validatedInsights
Notes from the work
Plain-English write-ups of the methods, on illustrative data.
IRRBB
Reverse stress testing
How far can rates move before the limit breaks?
Behavioural
Non-maturity deposits
Non-stable share, pass-through, core, and the 90% cap.
Behavioural
Term-deposit redemption
Outlier treatment, three regressions, lifetime conversion.
Options
Valuing embedded options
Black-76 for caps and floors, and when a tree is needed instead.
Framework
IRRBB methodology document
The full approach, from cash flows to the regulatory test.
Validation
How the models are checked
Reconcile first, challenge second, then backtest.
Contact
Let’s talk about your risk platform.
Direct with a bank, or as part of a consulting or technology team. Remote or on-site.
- Advice: work out what is needed and design the approach
- Build: models, systems, upgrades and reports
- Independent review: check work that has already been done
- anindya.kundu51@gmail.com
- Phone
- +91 98203 22468
- anindya-kundu-risk
- Based in
- Bengaluru, India