Our proprietary model is used to generate regulatory required IRR/ALM reporting. The standard report package includes Earnings at Risk (12 & 24 month EaR) and Value at Risk (VaR, NEV) calculations for parallel rate shocks. We also perform regulatory required:
An Executive Summary report is prepared and used as the basis for discussion with the ALCO and Board of Directors.
The ALM system produces cash flows under multiple rate shocks. These are fed into a cash sources & uses model that is used by the financial institution to stress-test their liquidity using institution specific assumptions. Features allow you to increase/decrease loan demand & deposit growth, enter contingency funding sources, and forecast the cumulative coverage ratio over a 12-month horizon.
An ALM subject matter expert will call into periodic ALCO meetings to discuss the ALM model results. This ALM specialist will also call into an annual board meeting for general training on ALM and to discuss your ALM results at a level suitable for board members.
An independent ALM expert performs the model validation. The report is provided to every client and is updated annually or as functionality changes.