How much confidence do you have in your ALM model?

Does it give you and your ALCO members the information you need to manage risk and generate earnings?

Will your model and modeling process satisfy regulators?

These are the questions many institutions are asking themselves as they cope with tighter regulatory requirements and an ever-challenging business environment.

1. to help satisfy your regulatory obligations in accordance with the Joint Policy Statement on Interest Rate Risk

2. to provide substantive ideas and recommendations for improving your overall balance sheet decision-making process

The ALM Model Validation is conducted by senior DCG consultants and includes an on-site review and discussions with bank personnel involved with the modeling process.

Our consultants are experienced with all major ALM modeling systems being used today by the banking community. These systems include ALMeter, Baker, BancWare, BankMaster, BASIS, FTI, Plansmith, Profitstars, QRM, FIMAC/Risk Analytics, SAM/Foresight, Sendero, SRI, and ZMFS.

As part of the ALM Model Validation process, we will evaluate and analyze:

• interest rate risk measurement based on the complexity of bank's activities
• data sources for investments, loans, deposits, borrowings, off-balance sheet derivatives, interest rate scenarios, prepayments and other embedded options, product pricing assumptions and forecasts for new volumes
• modeling assumptions and methodologies
• valuation (EVE) techniques
• validity of IRR scenarios
• back testing procedures
• forecast vs. actual results
• internal controls, processes, documentation and staffing needs

This service features a detailed evaluation of the measurement techniques used for:

• liquidity
• interest rate risk
• capital and earnings management
• investments

With the Policy and Reporting Review, our consultants will review your institution's policy statements to assess whether they accurately represent the institution's operating philosophy, and whether they give your institution the flexibility it needs to make prudent and proactive decisions.

In addition, the Policy and Reporting Review will examine all documents that make up your ALCO reporting package.

Our consultants will determine how effectively your reporting is able to communicate your current risk profile and provide the necessary information for ALCO members to make critical strategic decisions.

To learn more about any of these services, please contact Michael Guglielmo at mguglielmo@darlingconsulting.com / 978-463-0400 ext. 159 or Travis Thompson at tthompson@darlingconsulting.com / 978-463-0400 ext. 154.