ALM & Market Risk
The liquidity and structural market risk, arising from the typical misalignment of assets and liabilities, is the most ubiquitous form of market risk. It would not be an exaggeration to say ALM risk is something that all Banks face and manage, irrespective of their size, form and nature of business. ALM management is not only expected to enable sophisticated, dynamic modelling and net interest income simulation, but also manage risk effectively, covering ever growing regulatory requirements like (IRBB, ICAAP, Basel II/III and stress testing).
AFS ALM delivers both Static and Dynamic Asset Liability Management. The Static ALM module enables organizations to measure interest rate risk inherent in the balance sheet using the economic value perspective – enabling you to quantify the market value changes of assets, liabilities, and economic value of capital resulting from interest and exchange rate movements – all in an intuitive user interface.
Dynamic ALM involves projections and extrapolation of ALM risk and income profile on a scenario and simulation basis.
The solution is suitable for conventional as well as Islamic banking institutions.
Strategic Market Risk
AFS Market Risk allows quantifying and monitoring market risk in both the trading and banking book. The modular architecture of the AFS ALM and Market Risk platform allows combining the mitigation of market risk in all areas of the Balance Sheet, for conventional as well as Islamic Banking institutions.
The market risk module identifies and evaluates market risk wherever it originates, thus allowing the bank to reliably measure and proactively manage its risk exposure. The sophisticated risk analytics include exposure and sensitivity analysis, scenario analysis and the computation of value-at-risk (VaR). Over 150 derivatives and cash instruments of all major asset classes, including equities, commodities, credit, foreign exchange, inflation and interest rates are covered by the AFS Market Risk.