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* IRRBB initial version * Upgrade to v0.8.1 * Upgrade IRRBB to v0.8.1 Added gif for dashboard * Update readme for IRRBB * format irrbb * distinguished between atoti-ce and atoti features, updated dashboards * add content file * Move historicalPnL into sub-cube to improve performance * Set query time limit for simulated rate * Update readme with article link * Update logo * Update icon in readme * Update dashboard to use product type instead of risk factor type --------- Co-authored-by: Hetal Kapadia <83311196+printhellohetal@users.noreply.github.com> Co-authored-by: printhellohetal <printhellohetal@gmail.com>
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notebooks/01-use-cases/finance/risk-management/liquidity-risk/README.md
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| <p align="center"> | ||
| <img src="https://data.atoti.io/notebooks/banners/atoti-logo.png" alt="Atoti logo" style="width: 50%;"> | ||
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| <p align="center"> | ||
| <a href="https://github.com/atoti/atoti/discussions"><img src="https://img.shields.io/github/discussions/atoti/atoti" alt="GitHub Discussion"></a> | ||
| <a href="https://hits.seeyoufarm.com"><img src="https://hits.seeyoufarm.com/api/count/incr/badge.svg?url=https%3A%2F%2Fgithub.com%2Fatoti%2Fnotebooks&count_bg=%23FF7375&title_bg=%23555555&icon=&icon_color=%23E7E7E7&title=hits&edge_flat=false" alt="Hits"></a> | ||
| <a href="https://stackoverflow.com/questions/tagged/atoti"><img src="https://img.shields.io/badge/StackOverflow-atoti-f58024.svg" alt="stackoverflow"></a> | ||
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| ## Financial use cases for Liquidity Risk | ||
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| <img src="https://img.shields.io/badge/🔒-Atoti-291A40" /><b> indicates the licensed version of Atoti is required.</b> | ||
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| <tr> | ||
| <td><b>Notebooks</b></td> | ||
| <td><b>Related media</b></td> | ||
| </tr> | ||
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| <td rowspan="1"><a href="https://github.com/atoti/notebooks/blob/main/notebooks/01-use-cases/finance/risk-management/liquidity-risk/irrbb/main.ipynb"><img src="https://img.shields.io/badge/🔒-Atoti-291A40" /> irrbb </a></td> | ||
| <td><a href="https://atoti.io/articles/irrbb-with-atoti/?utm_source=github">📰 Measuring Interest Rate Risk in the Banking Book (IRRBB) with Atoti</a></td> | ||
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| <br/> | ||
| <p align="center"> | ||
| Reach out to <a href="https://www.activeviam.com/contact-us/"><img src="https://data.atoti.io/notebooks/banners/ActiveViam-RVB-150dpi.png" alt="atoti logo" width="150px" /></a> for more information. | ||
| </p> |
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notebooks/01-use-cases/finance/risk-management/liquidity-risk/irrbb/README.md
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| # Interest rate risk in the banking book (IRRBB) | ||
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| Credit: This notebook is contributed by [Victor Kwong](https://www.linkedin.com/in/victor-kwong-85318995/), Head of Business Development, in [ActiveViam](https://activeviam.com/) Australia. Victor has extensive experience in financial sector, specialising in risk modelling and technology changes. He has held various quantitative and technology roles across Market risk, Counterparty risk and Balance Sheet management functions in banks. | ||
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| The objective of the notebook is to demonstrate how the [APRA APS117](https://www.apra.gov.au/sites/default/files/2022-11/Prudential%20Standard%20APS%20117%20Capital%20Adequacy%20-%20Interest%20Rate%20Risk%20in%20the%20Banking%20Book%20-%20clean.pdf), Interest Rate Risk Banking Book calculation, can be performed within [Atoti](https://atoti.io/). The Atoti solution allows users not only to perform the risk calculation but also allows users to perform data analytics of the expected shortfall number from bank level down to the trade level. With the extension data, user can easily calculate the risk in different hierarchies such as bank’s entity, charts of accounts or banking book desk structure. User can understand simultaneously where the risk come from for example, the product or the risk factor that contribute most risk. | ||
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| Furthermore, user can compare the risk results under various APRA behaviour stress assumptions, understand how the cash flows are impacted, hence the sensitivities and risk attribution of it | ||
| Under the end-to-end Banking book risk management, this solution can be extended for stress testing, backtesting, theoretical PnL explain, limit management and so on. | ||
| At the time of this publication (May 2023), the APS117 IRRBB regulation has not been finalised yet. | ||
| For any interests of knowing further about this IRRBB solutions, please reach out to your ActiveViam local representatives. |
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