EVE (economic value of equity) · Concepts · European Finance Observatory

Roles that need it

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.
Asset and liability management (ALM)Asset and liability management is the management of a balance sheet's interest rate, liquidity and funding risks so that assets and liabilities fit together in maturity, currency and rate. ALM teams run the ALCO (asset and liability committee), hedging and funds transfer pricing.
Behavioural modellingBehavioural modelling estimates how customers actually use products, as opposed to contract terms: how long non-maturity deposits stay, how fast mortgages prepay and how much credit lines are drawn. Results drive rate risk, liquidity metrics and funds transfer pricing.

Updated 31 Oct 2026.