INTEREST RATE RISK

Interest rate risk are expressed on a delta per bucket basis ranging from one day call to 30 years. A zero coupon curve is bootstrapped from liquid interest bearing securities in the market that forms the backbone for calculating deltas and stress testing of the interest rate risks. The input rates to the zero coupon curve are stress-tested to sketch a full picture of potential risks with regards interest rates over the spectrum of the yield curve. The user can also click drag and drop certain points on the curve that allows the user more flexibility from a what-if scenario planning perspective.