Best-practice Balance Sheet Risk and Compliance
Managing a balance sheet in today’s complex, fast-paced environment requires bringing together risk management, performance measurement and regulatory compliance into a single coherent framework. Confidently planning the balance sheet and forecasting income enables an institution to set their strategy, define their goals, and assess their success and effectiveness. Utilizing those forecasts to establish a modern management process for interest rate risk and liquidity risk is critical to ensuring the safety and soundness of the institution. Succinct analysis and digestible reporting are necessary to comply with regulatory demands and to go beyond simply identifying and mitigating risk to using it as a tool to build stable, long-term earnings for the institution.
Delivering a regulatory approved IRR/ALCO reporting package modeling both a static/flat balance sheet and multiple client-specified balance sheet projections using a full complement of interest rate environments (including shocks, ramps, flatteners, steepeners, twists, etc…) relevant to current conditions.
Liquidity Stress Testing
An extension of your ALM simulations specifically stressing the various sources and uses of funds under adverse conditions to analyze its impacts, assess the effectiveness and viability of your balance sheet strategy, evolve your contingency funding plan, and satisfy regulatory demands.
Balance Sheet Risk Profile Manager
An extension of your ALM simulations giving you the ability to run your own simple portfolio what-if scenarios to instantaneously see how different strategies affect the institution’s risk profile.
Assumption Stress Tests
A stress of each individual assumption (prepayments, rate betas, decay rates, surge volumes and pricing spreads) and model driver to assess their impact, illustrate the institution’s sensitivity to changes in each variable and to comply with such regulatory requirements.
An annual back-test measuring the ability of the model and modeling assumptions to forecast income for a known set of input metrics and key rates that actually occurred over the first year of forward income simulation.
A loan or portfolio report on the various cash flow characteristics (WAL, etc…) necessary for populating a CECL solution.