Portfolio
Modelling Portfolio
Institutional modelling domains. Each module documents objective, methods, data sources, calibration, validation, outputs, business users and regulatory relevance.
Modules
Expand any domain for the full template
A reusable template captures how each module is built, validated and governed.
Methods
- ▪Yield curve PCA decomposition
- ▪Behavioural assumption overlays
- ▪Delta NII / EVE engines
- ▪Liquidity gap and LCR/NSFR projection
Data sources
- ▪Bank position data
- ▪Public yield curves (ECB, Fed)
- ▪Historical rate volatility
- ▪Deposit behaviour studies
Outputs
- ▪Delta NII by shock
- ▪EVE sensitivities
- ▪Liquidity projections
Business users
- ▪ALCO
- ▪Treasury
- ▪Risk committee
Regulatory relevance
- ▪EBA IRRBB Guidelines
- ▪Basel III
- ▪ICAAP / ILAAP
Calibration approach
Historical yield curve shocks calibrated against multi-year benchmarks; behavioural assumptions calibrated on portfolio-specific deposit history with documented overrides.
Validation & backtesting
Backtesting against realised NII outcomes, benchmarking versus supervisory shock scenarios, sensitivity attribution.
Work with Jonas