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Solutions

Treasury Management

 

Establishing your asset-liability management (ALM) framework, covering investment portfolio, own funds, wholesale funding, FX hedging (structural and corporate positions), related credit risk as well as issues related to subsidiary operations (stand-alone and consolidation).

Liquidity Risk Management

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Develop or enhance liquidity risk management practice, regulatory compliance (LCR, NSFR), establishing liquidity buffers, stress testing, cost-benefit attribution and contingency planning.


 

Interest Rate Risk Management

 

Balance sheet modelling, scenario analysis and stress testing. Design and review of ALCO structure, mandate, decision process and reports. Earnings and Economic Value risk metrics and valuation models.

 

FTP and Profitability

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FTP setup, risk transfer rules and pricing, cost / benefit allocation. Linking balance sheet management to financial planning and analysis. Treasury performance attribution analysis.

Analytics

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Deposit modeling (decay/average lives and betas), mortgage prepayments, contingent liquidity requirements, model documentation.
 

Risk Governance

 

Developing and evaluating existing risk management framework: establishing tolerance and limits, management structure, policies and procedures, systems, models and model risk management, internal / external reporting. Achieving alignment between treasury, risk management, finance and business lines.

In-House Training

Providing a cost-efficient alternative to ensure the different areas and staff involved in the integrated balance sheet management have the required level of knowledge and understanding.

ALM in Outsourcing

The service is a joint venture with MORS Software, operated by experienced ALM practitioners. The service delivers a complete ALM reporting package on a monthly or weekly basis.

The service is a low risk and cost-effective way to implement or advance treasury, interest rate and liquidity risk management frameworks. 

MORS Software

We represent MORS Software and their Treasury ALM solution in the Americas.

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