Imberg RaPID© is an integrated risk management platform for interest rate, rate of return, market, credit, liquidity risk, Asset & Liability Management and regulatory Central Bank reporting. The following describes the IRRBB part only.
Stress testing of rate curves
A Bank must, at minimum, include in its stress test scenarios the impact of 200 basis point upward and downward parallel change in interest rates in addition to other scenarios in order to calculate EVE and NII.
Imberg RaPID© allows defining various scenarios in a flexible and easy way.
Other stress testing
In addition, stress scenarios must include conditions under which key business assumptions and para meters break down.
Imberg RaPID© allows defining behavioral and credit stress like:
The parametrization of these stresses can be done in an easy way by using drop downs, or more sophisti cated by using mathematical formulas:
- Changes of macro-economic factors like GDP, oil price, inflation rate etc.
- Prepayments
- Prolongation
- Redemption
- Drawdown
- Rating change
- Replication
- Changes of the default probability
- Changes of the LGD / recovery rates
- Delayed payments
- Guarantees
Additional functionality
-Integrated ETL (Extract Transform Load) for easy and fast data integration (text, SQL, Json Rest, XML Soap).
-Audit Trail for all modifications.
-Reconciliation between Core Banking System and Accounting.
-Data quality cockpit in order to measure the data quality and amend / correct data.
-Job Control for automating processes
-Workflow (BPMN) for process modeling.
-Drill-down on almost every report to the single transaction.
-Workflow management using BPMN
-Principle of 4 eyes
-Full drill-down to the underlying data
-Scenario comparison
Reporting
Imberg RaPID© has more than 150 standard reports, which allows fine tuning and customization.
Imberg RaPID – IRRBB (Interest Rate Risk in the Banking Book)
