Identify opportunities for profit and concentrations of risk
Algo Asset Liability Management is an asset and liability management framework that helps banks and financial institutions identify opportunities for profit and concentrations of risk across the balance sheet. It offers an integrated view of market and liquidity risk across multiple risk factors and asset classes to help support shareholder value creation and significantly reduce financial uncertainty in constructing hedging strategies.
Algo Asset Liability Management features include:
- Sophisticated analytics and reporting tools help assess earning sensitivity, future market valuation and liquidity risk.
- Comprehensive regulatory compliance supports Basel III, IAS 39 and FAS 133 international accounting rules and more.
- Scenario-based Optimizer enables risk-informed assessment of the trade-off between earnings and values.
- Comprehensive asset and liabilities coverage spans off-balance sheet items, with measures such as NIM and FTP.
- Internal limits support enables forecasts of future business to take into account corporate limits for liquidity and hedging policies.
Sophisticated analytics and reporting tools
- Offers your firm a comprehensive set of tools to help manage shareholder value creation, identify concentrations of risk and opportunities for profit. Algo Asset Liability Management’s sophisticated analytics include dynamic balance sheet income simulation, deterministic and stochastic scenarios, EaR, CFaR, VaR and market value sensitivity analysis.
- Enhances ease of use with over 100 pre-defined reports in a Web-based reporting platform. These include static and dynamic interest rate reports, liquidity and beta gap reports, and duration and convexity reports. You also have the option of quickly and easily building your own user-defined reports with the included report builder.
Comprehensive regulatory compliance
- Algo Asset Liability Management helps you address the requirements of IAS 39 and FAS 133 international accounting rules by facilitating proactive assessment and management of positions such as hedged items and associated hedging derivatives.
- Supports compliance with the FSA’s Individual Liquidity Adequacy Standards, as well as the banking book requirements of Pillar 2 for Basel III.
- Offers balance sheet managers a scenario-based Optimizer to help in constructing optimal hedges based on an objective function that incorporates economic, earnings, and risk perspectives. This patented, multi-period, non-parametric stochastic optimization tool facilitates your risk-informed assessment of the trade-off between earnings and values.
- Enables you to simulate and test portfolios, with advanced scenario-generation capabilities that use risk factors to generate scenarios – including historical, subjective stress, and Monte Carlo - across different time steps.
Comprehensive asset and liabilities coverage
- Helps your firm’s decision makers to dynamically identify concentrations of risk categorized by risk factor and strategy with coverage for a comprehensive range of asset and liability product classes, and pricing models.
- Offers a flexible framework to help you determine profitability and risk. Algo Asset Liability Management’s framework includes traditional measures such as Net Interest Margin (NIM) in percentages and absolute amounts, and Funds Transfer Pricing (FTP) based on a range of cost of funds rates, as well as credit spreads, liquidity spreads, capital consumptions add-ons, and a user-defined spread to cover operational costs.
Internal limits support
- Supports internal limits for liquidity and hedging policies, even within conditional dynamic strategies. This allows your forecasts of future business to take into account corporate limitations that restrict risk exposure.
- Algo Asset Liability Management is designed with a simulation-based risk methodology that gives asset and liability managers the flexibility to define measures appropriate to their particular needs. These simulation-based measures span a wide range of analysis, including numerical sensitivities, user-defined stress tests, historical replays, and probabilistic risk measures.
Algo Asset Liability Management Resources: