SOFTWARE
ALM Calculation Engine v3.1
ALM Calculation Engine v3.1 is a powerful Excel based utility to manage the risk exposure associated with a given set of asset and liability cash flows. Installation is required in order for the utility to be fully integrated with the user's existing systems. Additional functionality is added through customization of the software based on each user's specific needs.
ALM Calculation Engine v3.1 performs the necessary calculations to conduct the various activities in the ALM process including:
- measurement of risk exposure,
- analysis of strategies and assumption changes,
- monitoring of ALM position against approved risk limits,
- risk reporting,
- portfolio rebalancing and
- optimization.
Measurement
- Monthly-based cash flow projections
- Fitted yield curve derived from market data
- Spot rate curve simultaneously bootstrapped and fitted using an iterative process that ensures fitted curve is calibrated to market prices
- Forward rate curve derived from fitted spot rates
- Exact bond characteristics used to derive yield curve (i.e. does not require simplifying assumption of par yields)
- Cash flow analysis
- Scenario testing
- Impact of yield curve movement on economic surplus
- Key rate durations and key rate duration analysis
- Partial durations and partial duration analysis
- Duration and convexity
- Effective duration and effective convexity
- Dollar duration and dollar convexity
Analysis
- Comparison of ALM position under user specified assumptions
- Testing of impact on economic surplus due to change in interest rates
- Quantification of value added of ALM strategies
Monitoring
- Monitoring of risk position within approved risk limits
Reporting
- Customized risk reporting for decision support
Portfolio Rebalancing
- Project asset cash flows for securities with bond-like characteristics
- Test impact of proposed trades on ALM position
Optimization
- Rebalancing and portfolio optimization can be performed by instantaneously viewing the impact of proposed trades
ALM Calculation Engine v3.1 can also project asset cash flows for securities with bond-like characteristics and can be customized to generate the asset cash flows for a file of asset holdings.