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• Dynamic Hedging
  • Execution and Outsourcing
  • Software / Systems
  • Consulting and Implementation
  • Training
• Asset Liability Management
  • Asset Management Outsourcing
  • ALM Execution and Outsourcing
  • Risk Optimization
  • Software / Systems
  • Consulting and Implementation
  • Training
• Liability Driven Investing
  • Asset Management Outsourcing
  • LDI Execution and Outsourcing
  • Risk Optimization
  • Software / Systems
  • Consulting and Implementation
  • Training
• Enterprise Risk Management
  • Consulting and Implementation
  • Training
• Training
  • Asset Liability Management
  • ERM Techniques & Practices
  • Dynamic Hedging
  • Program Info
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  • E-learning
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• News and Resources
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ALM Attribution Analysis

• Analyze and report of cross-period interest rate impacts
• Explain cross-period movements in economic surplus and duration metrics using source-of-change analysis
• Reconcile  actual / expected impacts due to interest rates
• Quantify the value added of ALM strategies
• Evaluate the impact of inter-segment notes

Rebalancing and Optimization

• Test trades using the built-in trade sheet
• View impact of asset trades on risk position instantaneously
• Perform real-time testing of portfolio rebalancing strategies
• Perform risk optimization to maximize financial objectives within risk limits

Data Management

• Aggregate cash flows for analysis across multiple lines of business and multiple scenarios
• Consolidate cash flows from different projection systems
• Load and manage cash flows from large volume scenario testing
• Enable flexible risk analysis from segment detail up to total company level

Monitoring And Reporting

• Comprehensive interest rate risk analysis and reports
• Risk limit compliance monitoring and reports
• Sensitivity testing for equity risk
• Output of key statistics required for Standard & Poor’s Financial Product Company (FPC) capital adequacy model
• Powerful ALM attribution analysis and movement reporting
• Analyze segment level or consolidated cash flow profiles
• Perform analysis and reporting of risk results at any level of aggregation from individual segment to total company
• Modified duration and modified convexity
• Effective duration and effective convexity
• Partial duration and partial convexity
• Key rate duration and key rate convexity
• PVBP (present value of basis point) statistics
• Cross-period yield curve impact and movement analysis
• Chart cash flow profiles, yield curve movement, price behaviour curves, partial durations, and risk distributions
• Test and report risk distributions under virtually unlimited number of scenarios

Live Market Feed

• Load market curves using available live feed from Bloomberg or other market data source
• Select from default or customized government, swap and credit curves