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ALM and treasury systems

ALM – at the cutting edge of a long tradition

ALM (asset liability management) covers all of the core functions of the treasury unit: interest rate risk management / interest income management, liquidity risk management and funds transfer pricing. Effective asset liability management therefore demands a whole-bank perspective. Crucially, this involves analysing all of your balance sheet positions while also maintaining a clear view of your off-balance sheet positions. 

 

Reflecting and merging all of the bank's activities in a single, uniform architecture (both in terms of methodologies and technical systems) is a particular challenge. As such, asset liability management is a vital aspect of the treasury unit's whole-bank management remit.

 

Has your bank established an integrated ALM data repository? How do you integrate interest rate risk measurement and income management within your treasury unit? Are liquidity costs integrated into FTP? Please contact our ALM specialists if you wish to discuss these and other matters.

ALM – latest developments

The regulator's main focus is currently on credit and liquidity risk (as per Basel III). However, at the same time MaRisk increasingly demands an overarching perspective, in particular comprehensive stress-testing and scenario analysis for the treasury unit. ALM data repositories are often the best starting point for these analyses as they store much of the data required. By contrast, credit risk concentrates on the asset side, while market risk concentrates on the trading book.

 

What is meant by comprehensive stress scenarios? Is there a particularly effective approach to inverse stress testing? How can we create the necessary data repository? Our experts will be happy to discuss all of these questions with you at your own offices.

Support from design to implementation

We believe in an integrated approach to consulting. We support our customers from the initial quick check of their existing ALM system through to the design and introduction of any upgrade or replacement that may be required. We have years of experience of a wide range of ALM-system (amongst others Ambit Focus and RiskPro). If required, we can even help you implement your own in-house solutions to ensure that your ALM system meets your precise requirements. Our experts are also on hand to provide support in the area of testing and with comprehensive project management.

 

Why not call us? Our experience in ALM and treasury systems is at your disposal.