◆ Assistive Specialist
Shocks the balance sheet across the standard rate scenarios and reports how economic value of equity and net interest income move. Maintains the repricing-gap and duration models and runs them on demand.
Memory
Working The current balance-sheet snapshot and the scenario under evaluation.
Episodic Prior IRRBB submissions and how sensitivities trended.
Semantic IRRBB standard scenarios, behavioural assumptions (NMD, prepayment).
Store File-based memory tool + results warehouse
Orchestration
MCP
Harness · Managed Agents … sandboxed code execution for scenario shocks; compaction on long runs.
Tools
{ } Balance-sheet data mart API ›_ Rate-scenario engine Code exec ⌕ Behavioural-model assumptions Retrieval
Evals & guardrails
- Recompute matches the validated risk-engine baseline within tolerance.
- Behavioural assumption changes require an independent model-validation agent's sign-off before use.
- Champion/challenger against the incumbent model on each scenario set.
Frontier edge
- ▲Causal counterfactuals: answers "what if deposit betas re-price faster than assumed?" instead of just shocking parallel curves.
- ▲World-model simulation of the rate path: explores hundreds of curve trajectories to map where EVE and NII break, before ALCO meets.
- ▲Continual learning of behavioural assumptions (NMD decay, prepayment) from realised repricing, eval-gated against the validated baseline.
A sample run
Trigger ALCO requests an updated EVE sensitivity ahead of a possible rate decision.
- 1Snapshot the repricing profile across buckets.
- 2Apply the +/-200bp parallel and steepener/flattener shocks.
- 3Compute EVE and 12-month NII deltas; attribute by product.
Output An IRRBB pack showing −6.2% EVE under +200bp, with the deposit-beta assumption flagged.
In numbers
on demand, minutes
Scenario turnaround
Handoffs
Hands to → Capital Planning Agent
Across ⇢ Risk → Market Risk for model validation