Flagship Methodology
Multi-Step IRRBB Framework
Standard IRRBB — limit-setting, rate shocks, EVE sensitivity — is largely a compliance tool. This framework goes further: tracing how behavioral assumptions, hedge positioning, and funding structure compound through the balance sheet into capital outcomes — and what to do about it.
Each step below links to the corresponding research post. For detailed documents and questions, reach out.
Starting Point
Foundational Baseline
Generating an interest rate risk profile from SVB's 12/31/2022 public balance sheet using industry-average behavioral assumptions — establishing the measurement floor every institution can replicate from public data alone.
Research post forthcomingRisk Attribution
Attribution
Replacing industry averages with bank-specific behavioral assumptions — NMD decay, deposit betas, prepayment speeds — and tracing how each compounds into EVE/NII sensitivity. In SVB's case: 79.5 percentage points of EVE exposure attributable to assumption differences alone.
Research postHedge Strategy Evaluation
Mitigation
Evaluating structural hedging from SVB's true risk position — not industry averages. Three posts examine the full analysis:
- Part 1 — Hedge sizing, cost-benefit framework, and capital protection trade-offs Part 1
- Part 2 — Exchange-traded vs. OTC structures: accounting effectiveness and classification impact Part 2
- Part 3 — The laddered strategy (2Y/5Y/7Y): $16M annual cost saving and $2.1B capital efficiency gain quantified Part 3
Assumption Failure Scenarios
Stress Testing
Testing what happens when behavioral assumptions fail — not just rates move. Four scenarios: deposit stickiness reversion, pricing power loss, digital disruption, and combined adverse stress. The finding: a hedge sized for the wrong liability duration provides limited protection when that duration collapses.
Research postStrategic Action
Decisions
With attribution and stress outputs in hand, evaluating the full strategic menu — from status quo to layered defense — against baseline performance, stress capital impact, and regulatory positioning.
Research post