MORS Software is pleased to announce the launch of its new Interest Rate Risk (IRR) Scenario Engine. The new MORS IRR Scenario Engine enables dynamic simulation of customer behaviour and growth of the balance sheet combined with the simulation of changes in interest rates. MORS IRR Scenario Engine is an additional module for MORS Balance Sheet Manager.
The new functionality includes powerful scenario calculations with any “what-if” balance sheets combined with any sophisticated stress testing of key performance indicators, such as Net Interest Income (NII), Net Interest Margin (NIM), Earnings at Risk (EaR) and Economic Value of Equity (EVE). All scenarios can be easily set up, and the results are available instantly and on-demand, as they are supported by MORS in-memory analytics.
The new MORS IRR Scenario Engine supports regulatory requirements as well as internal risk scenarios. The IRR Scenario Engine is fully compliant with the EBA and Basel regulation on Interest Rate Risk in the Banking Book (IRRBB).
Mika Mustakallio, CEO of MORS Software, said: “Dynamic simulation of the balance sheet is now easy and available instantly. This next generation IRR Scenario Engine will greatly help banks to dynamically simulate the effects of changes in customer behaviour and interest rates on key balance sheet categories, such as Non Maturing Deposits (NMD) and customer loans. We believe many banks will find it beneficial to be able to perform any stress tests and “what-if” analysis on an on-demand basis, with the results being available instantly.”
MORS Software provides Treasury, Risk, Liquidity & ALM solutions for banks.
MORS offers integrated real-time analytics for treasury, risk, liquidity and dynamic Asset and Liability Management (ALM). Breaking silos, MORS holistic approach enables monitoring of key liquidity and interest rate risk metrics across treasury and banking book.