OpenChainGraph Suite · ART-183 · Prudential & Basel Risk
IRRBB EVE Shock Calculator
Calculate Delta EVE under the 6 BCBS d368 / EBA standardised IRRBB shock scenarios (parallel up/down, short up/down, steepener, flattener), recalibrated effective 1 Jan 2026. Duration-based sensitivity over 6 standardised repricing time buckets. Root node of the irrbb-supervisory-outlier-test chain. Zero network.
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Scope
Root node of irrbb-supervisory-outlier-test chain (art-183→184→185). BCBS d368 Annex 2 recalibrated shock scenarios, effective 1 Jan 2026: parallel up/down (±200bp reference magnitude), short up/down (decaying to 0 by the 20y tenor), steepener (short −0.65×, long +0.90×), flattener (short +0.80×, long −0.60×). Delta EVE approximated via duration × net repricing gap × shock per bucket. Enter net cash-flow gap (assets minus liabilities repricing) per standardised time bucket.
Presets
Net Repricing Gap by Standardised Time Bucket (€M)