Asset Liability Management

Modern asset liability management (ALM) is facing the challenges of increasing regulatory requirements and ongoing cost pressure. Digitalisation is not only a challenge, but above all an opportunity to set up modern ALM solutions.

Our many years of intensive collaboration with the operational and strategic treasury and risk functions of German, European and international banks of all sizes have provided us with in-depth ALM expertise. With our comprehensive solutions, we address both the regulatory and economic requirements for the management of liquidity, interest rate and structural currency positions.

Our project experience shows that, in addition to methodological expertise, technical know-how in implementation ("ALM architecture and IT landscape") is crucial to success. Our solutions therefore cover the entire spectrum from conception to implementation. We place a particular focus on processes and booking models, which enable the efficient implementation of state-of-the-art models.

In the area of liquidity risk management, we work with our clients to develop efficient methods and processes for measuring, managing and reporting liquidity positions. This applies equally to short and medium-term as well as structural liquidity positions. Over the past few years, we have further developed our solutions in many areas and consistently focused on digitalisation in order to ensure efficiency and regulatory compliance for our clients, for example: Liquidity stress testing, modelling of deposits, calibration of liquidity reserves, funds transfer pricing, forecasting and prediction of liquidity positions, liquidity contingency plans, LCR and NSFR reporting.

In recent years, a particular focus has been on intraday liquidity. Our clients face a number of challenges in this area, which we successfully help them to overcome. The issues from the perspective of intraday liquidity risk management range from the calculation and reporting of key figures and stress testing to the determination of risk appetite and the corresponding limits. Exciting challenges also arise outside of risk controlling, in treasury or payment transactions. Here we have already supported various banks in the automation of processes and the further development of intraday forecasting as well as the intraday management of the various central bank and nostro accounts.

The management of interest rate risk in the banking book (IRRBB) is undergoing significant development at many banks due to the historically low interest rate environment and the increased regulatory (reporting) requirements. In this environment, we support banks in achieving appropriate IRRBB management and mastering the regulatory challenges. We have established ourselves as the market leader in the area of IRRBB for medium-sized and large German banks. With the help of our practical benchmark knowledge, our clients achieve targeted and efficient further development of their IRRBB management. In particular, we carry out cost-efficient IRRBB gap analyses for our clients, develop practical solutions for IRRBB calculation and management, deploy our own solutions in a targeted manner as required (e.g. for NII simulation and stress tests), provide support with make-or-buy decisions or the selection of vendor systems and implement complete IRRBB management approaches.