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Financial Risk Management | Asset Liabilities Management

ALM FIT™

Banks face a common challenge — to satisfy regulatory expectations with respect to measuring and managing interest rate risk in the bank. The active asset and liabilities management of this risk with a robust asset liability management framework is crucial to a bank’s overall risk management process and to protect earnings and capital.

In our Financial Insight & Technology Solutions, ALM FIT helps your institution meet regulatory expectations and incorporate best practices into your interest rate risk management program.

Key Benefits:

  • Saves you time and money by providing robust and comprehensive risk modeling and management from a turnkey solution
  • Frees up staff for other activities while having access to bank experts for value-added insight
  • Eliminates the need for software management (configuration and maintenance), giving you time to focus on results and emerging trends

PCBB’s Asset Liability Management Service

Reports

  • Multi-level reports facilitate review of results with board and management, while also providing a level of detail geared towards regulators:
    • Executive overview (graphics)
    • Primary ALCO package
    • Individual scenario results (summaries)
    • Detailed model configuration
  • Identify conditions that drive changes in your bank's balance sheet and risk profile
  • Evaluate reasonableness & usability of data and inputs
  • Back-testing vs. projections included

Support

  • Professional staff also reviews results with you and/or your board, examiners and auditors
  • Ongoing support to help your staff prepare for regulatory and accounting reviews

Scenarios Evaluated:

  • Static — required to quantify core risk
  • Dynamic — required to quantify risk embedded in the bank's operating plan
  • What-if or alternative strategies, sensitivity analysis, integrated stress scenarios (simulation of combined rate, credit and liquidity events)

Shock Scenarios Generated:

  • Immediate (+/- 100, 200, 300, 400)
  • 2-year ramp (+/- 200, 400, 600, 800)
  • Alternative — curve twist (steeper, flatter, inversion, etc.)

Risk Measures

  • Economic value (static and forward)
  • GAP (repricing & liquidity)
  • Earnings (net interest income, net income)
  • Cash flow (source/use)

How Do I Get Started?