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Market Risk

Calculate interest rate capital requirements, according to time structure of the institution’s assets and liabilities, analyzing the different rates, currencies and products in which the institution does business.

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Structural Interest Rate Risk derives from the potential risk that the results (accounting perspective) or the net worth of the entity (economic perspective) will be affected as a consequence of interest rate movements. This risk arises due to the difference between when the lending and borrowing rates of the entity are recalculated.

The interest rate risk from the perspective of the bank’s net worth is produced by movements, whether parallel or not, in the relevant interest rate curves, triggering changes in the economic value of the bank’s net worth.


  • Support for the design, automation and implementation of Interest Rate Risk tracking reports from an economic perspective, considering base and stress scenarios.
  • Application of the Basel sensitivity analysis methodology, analyzing the institution’s rate sensitive asset and liability structure.
  • Determination of demand deposit stability and the structural vector of deposits, by creating a model to determine the hard core of deposits with no term by applying the Basel proposed methodology.
  • Automation of management reports and regulatory requirements.

Successful cases:

  • Banco Bandes Uruguay
  • Banco Hipotecario del Uruguay
  • Banco Continental Paraguay
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