AVATI Solutions
Assest Liability Management

Asset Liability Management

RiskCube ALM enables the bank to assess its future asset liability cash flow profile based on multiple factors such as liquidity, interest rate impact, earnings, and economic value.

This solution enables financial institutions to manage their structural and dynamic liquidity risk, interest rate risk, dynamic asset allocation and enable dynamic cash flow modeling for sensitivity and scenario analysis. Apart from complying with key regulatory benchmarks and reporting for ALM it also caters to advanced Basel III concepts such as Liquidity risk and Net Stable Funding ratio based on central bank guidelines incorporating principles of Basel II and III.

It enables comprehensive multi-dimensional analysis of the balance sheet through customer behavior modeling, economic valuation, interest rate scenarios and other analytical variables. RiskCube ALM helps you optimize size and use of surplus cash reserves releasing strategic cash for revenue generation.

It also enables historical simulation, sensitivity and Scenario Analysis through advanced techniques such as sampling, conditional event mapping and expert judgment. It has the capability to incorporate and model scenarios for assets and liabilities and movement of interest rate curves providing risk based liquidity and rate sensitive profile of the organization.

KEY FEATURES

» MetaData Management and Rule Configuration

Cash Flow Generation Engine with proprietary algorithms for deal level data modeling of facility, transaction, General ledger and accounts. A complex rule engine for defining cash flow splitting, bucketing, assumptions and general ledger mapping.

» Stress Testing & Scenario Analysis

Scenario analysis through unencumbered volatility adjusted liquid assets for estimation of forward liquidity exposure and coverage of cash obligations. Dynamic simulation for multiple scenario analysis and stress testing.

» Business and Functional Rules

Metadata management complementing the business rule engine which allows simultaneous setup of business rules for differentiated reporting through one touch batch processing, execution & reporting.

» Structural Liquidity & Interest Rate Risk Analysis

Distinct and cumulative analysis of long term liquidity profiles to assess structural trends in cash flow pattern for the bank. Interest rate sensitivity analysis with gap measurement and computation of basis and yield curve risk.

» Platform for Planning, Forecasting and budgeting risk appetite

Forecasting, budgeting and planning of existing and future cash flows for advanced balance sheet and interest rate management. Helps banks manage maturity and interest rate risk concentrations across various time intervals for strategic balance sheet management.

» Integrated Data Model and Risk Data Warehouse

Our Risk Data Warehouse and integrated data model lends capability to integrate with key risk management modules such as Basel II / III capital calculation, capital consolidation, portfolio management and Internal capital adequacy assessment plan (ICAAP). A module wise approach enables ease of implementation for each component of our offering.

» Basel III & BCBS Liquidity guidelines

Comprehensive coverage and reporting of various key liquidity measures under Basel III and other Basel Committee guidelines such as such Liquidity Ratio, Net Stable Funding Ratio, Leverage ratio etc.

» Multiple Interest Rate Benchmarks

Capability to incorporate multiple yield curves for managing basis risk for a variety of assets across multiple time horizons.

» Data and General Ledger Reconciliation

Distinctive general ledger reconciliation with additional reconciliation layer for data and reporting reconciliation.

» Scalability

Scalable and flexible design and technology allows phased implementation from basic to advanced approaches in line with evolving risk management practices.