Behavioural modelling

Roles that need it

• ALM Analyst
• Liquidity Risk Analyst
• Model Validation Analyst
• Data Scientist (Banking)

Skills it belongs to

• Asset-liability management and rate risk
• Applied statistical modelling for pricing and risk (GLM, survival)
• Forecasting methods and time series

Related concepts

• EVE (economic value of equity)Economic value of equity is the present value of banking book assets minus liabilities. EVE sensitivity measures how this value changes under interest rate shocks. The EU supervisory outlier test flags a bank when the decline under six standard scenarios exceeds 15 percent of Tier 1 capital.
• NII sensitivityNII sensitivity measures how a bank's net interest income over a horizon, typically 12 months, changes under interest rate scenarios such as parallel shocks. It captures repricing gaps, basis risk and deposit behaviour. EU supervisors apply an NII outlier test alongside the EVE test.
• IRRBB (Interest rate risk in the banking book)IRRBB is the risk to a bank's earnings and economic value from changes in interest rates on positions such as loans, deposits and hedges. Banks measure it with the economic value of equity and net interest income, and the supervisory outlier test flags outliers.
• Liquidity gap (maturity ladder)A liquidity gap compares expected cash inflows and outflows in time buckets, from overnight to several years, to show when a firm would run short of funding. The cumulative gap, together with the liquidity buffer, gives the survival horizon under stress.

Sources

• Interest rate risk in the banking book, BIS (external site) accessed 31 Oct 2026

Updated 31 Oct 2026.