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Algo ALM
Algo ALM provides a comprehensive assessment of earning sensitivity and future market valuation as well as liquidity risk using a dynamically modeled balance sheet. Earnings and value are supported by a single, integrated and analytical framework with common scenarios, growth and reinvestment assumptions, as well as common cash flow generation and valuation models.
With Algo ALM, balance sheet professionals can aggregate, measure, monitor and restructure the market and liquidity risk of the balance sheet according to their specific needs. Algo ALM supports:
- A full range of assets, liabilities, and off balance sheet items
- Liquidity risk and interest rate risk in the banking book requirements of Basel II, Pillar 2
- Flexible facilities to chart accounts as well as group and consolidate transactions
- Traditional ALM analytic tools and reports including static and dynamic interest rate and liquidity gap reports, beta gap reports and duration and convexity reports
- Advanced analytic tools including dynamic balance sheet income simulation, EaR, CFaR, VaR and market value sensitivity analysis
- IAS 39/FAS 133 prospective testing
- Matched-maturity funds transfer pricing (FTP)
- Integration of a variety of liquidity risk issues, including liquidity mismatch analysis, liquid asset portfolio, market liquidity, collaterals, concentrations, etc.
- Full liquidity risk functionalities, incorporating full cash flow simulation, dynamic behavioural modelling and comprehensive stochastic and stress scenarios, which are analytics capabilities that support compliance with regulations, including the FSA's Individual Liquidity Adequacy Standards
- A patented scenario-based optimizer to assess the trade-off between earnings and values
An interactive application, Algo ALM makes output available through a web-browser based decision support system. Reports may be viewed online, printed, exported to spreadsheets or stored in reporting databases. Supplied with a set of standard ALCO reports, an easy to use Ad-hoc report builder, as well as tabular and advanced graphical displays, Algo ALM is an intuitive and complimentary solution for advanced analytics.
Benefits
Improves risk management
Algo ALM provides advanced tools, including deterministic and stochastic scenarios within static and dynamic strategies, to help measure, monitor, and manage risks in association with returns and shareholder value analytics.
Supports multiple perspectives on risk
Algo ALM enables users to analyze both the short-term earnings view as well as the long-term economic view of risk. Combined with advanced analytics, this dual perspective is invaluable to asset and liability professionals.
Enhances strategic decision making
Algo ALM provides extensive coverage of asset and liability product classes, pricing models, scenario tools, and risk analytics. Using a consistent framework, a firm is able to dynamically identify concentrations of risk categorized by risk factor and strategy, providing clear support for risk-informed, strategic decisions.
Adapts to internal policies
Algo ALM enables internal limits of liquidity and hedging policies to be followed, even within conditional dynamic strategies. This unique flexibility sets Algo ALM apart from other solutions that allow institutions to forecast future business - but will not take into account corporate limitations that restrict risk exposure.
Combining extensive instrument coverage with advanced analytical methods and a flexible architecture, Algo ALM offers balance sheet managers a complete framework for addressing current Basel II, Pillar II requirements and the FSA's Individual Liquidity Adequacy Standards.
Adapts to evolving business needs
Built on a highly scalable, flexible risk architecture, Algo ALM's design enables firms to quickly respond to additions and changes in asset and liability classes, business lines, investment strategies, and risk methodologies. A scalable client server and web-based reporting structure are tailored to meet the needs of different groups across an organization.
Related Downloads
Response to the Basel Committee's request for comments on the consultative document: Proposed Enhancements to the Basel II Framework
Integrated Risk Management: Market and Credit Risks
Algo ALM Fact Sheet
Industry-leading asset and liability management solution for the enterprise.
Algo Liquidity Risk Fact Sheet
Integrated, industry-leading framework to measure and manage liquidity risk.
Algo ALM for IAS 39 Fact Sheet
Address international hedging accounting standards with the industry's leading asset and liability management solution.
Related Information
Featured White Papers
Algorithmics' Response to the FSA's CP 09/13 - Strengthening Liquidity Standard 2: Liquidity Reporting
Liquidity Risk Management Assessing and Planning for Adverse Events
Liquidity Risk: Comparing Regulations Across Jurisdictions and the Role of Central Banks
From Compliance to Value Creation: The Evolution of Enterprise Risk Management
Ask a group of risk and finance executives to define enterprise risk management (ERM) and you will hear a number of overlapping answers.