TODO_TAGS_REVIEW
TODO_AP2_EXPORT_REVIEW

Rate Shock Ladder Replay

US OCC/FDIC interest-rate-risk parallel shock ladder: sweeps four prescribed parallel magnitudes (+/-100/200/300/400bp) over a bucketed repricing-gap schedule, returning both a duration-weighted delta-EVE leg and a 12-month cumulative-gap delta-NII leg per shock. Optional non-parallel steepener/flattener presets are caller-declared (short/long tenor bps split), not baked-in regulatory scalars. Distinct from the shipped BCBS d368 / EBA standardised six-scenario convention (art-183/art-185): sweeps multiple magnitudes rather than one, and combines EVE+NII in a single kernel. Complements CC-A repricing-gap schedules or user-supplied gap tables. NaN-safe. Zero network, zero PII.

Tool URL: https://ainumbers.co/chaingraph/art-369-run-rate-shock-ladder.html

post/v1/tools/run_rate_shock_ladder

Request

  • Base URL: https://ainumbers.co
  • URL: https://ainumbers.co/v1/tools/run_rate_shock_ladder
  • Auth: none declared

Request body

nii_12m_gapunknown required
repricing_gapsunknown

Response

Successful tool execution result

buckets_usedstring[]
conventionstring
magnitudes_bpsinteger[]
nii_12m_gapinteger
total_net_gapinteger
worst_delta_eveinteger
worst_scenariostring

Changes

No recorded changes to this operation across all 1 revision of this API.